NPORT-P
    false
    
      
      
        
          0001444822
          XXXXXXXX
        
      
      
      
      
        S000042050
        C000130629
        C000130630
        C000145946
      
      
      
    
  
  
    
      AQR Funds
      811-22235
      0001444822
      549300V0TAB4ICSX2404
      2 Greenwich Plaza
      Greenwich
      
      06830
      203-742-3600
      AQR Style Premia Alternative Fund
      S000042050
      549300H47CIW5R9UN420
      2022-12-31
      2022-03-31
      N
    
    
      849895824.37
      82749149.25
      767146675.12
      0.00000000
      178148159.55000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      8385822.44000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        60616.34000000
        0.007901531997
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4855557.37000000
            USD
            43302000.00000000
            NOK
            2022-06-15
            60616.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20733.23000000
        0.002702642228
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            240228.07000000
            USD
            1269000.00000000
            BRL
            2022-06-15
            20733.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1325.83000000
        -0.00017282614
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            182000.00000000
            CAD
            144229.85000000
            USD
            2022-06-15
            -1325.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1075.70000000
        -0.00014022090
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200751.00000000
            CLP
            56911.28000000
            USD
            2022-06-15
            -1075.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -238681.00000000
        -0.03111282467
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            14736001.00000000
            NZD
            9961160.39000000
            USD
            2022-06-15
            -238681.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42654.10000000
        0.005560097095
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1436968.00000000
            EUR
            1636802.55000000
            USD
            2022-06-15
            42654.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2352.55000000
        0.000306662347
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2433000.00000000
            BRL
            502682.61000000
            USD
            2022-06-15
            2352.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7534.12000000
        -0.00098209641
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520064.00000000
            BRL
            99413.54000000
            USD
            2022-06-15
            -7534.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3738.00000000
        -0.00048726014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168784.66000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3738.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        85703.11000000
        0.011171671960
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1385865.19000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            85703.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1075.77000000
        -0.00014023002
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200749.00000000
            CLP
            56911.21000000
            USD
            2022-06-15
            -1075.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22265.56000000
        0.002902386300
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1823343.00000000
            EUR
            2045052.02000000
            USD
            2022-06-15
            22265.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        6927875.04000000
        PA
        
        -374085.26999999
        -0.04876320032
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus WIBOR +/- spread (-1.35% to 0.70%). PLN Currency. Maturity 50-60 Months 04/17/26 to 02/25/27
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-17
            0.00000000
            USD
            0.00000000
            USD
            6927875.00000000
            USD
            -360812.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        114.56000000
        0.000014933259
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            598500.00000000
            TWD
            21084.78000000
            USD
            2022-06-15
            114.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -201084.73000000
        -0.02621203174
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13080500.00000000
            CAD
            10260130.05000000
            USD
            2022-06-15
            -201084.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20608.53000000
        0.002686387188
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12655500.00000000
            NOK
            1457415.98000000
            USD
            2022-06-15
            20608.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8212.12000000
        -0.00107047586
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4301460.00000000
            SEK
            450131.90000000
            USD
            2022-06-15
            -8212.12000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796P37
        
          
          
        
        36476000.00000000
        PA
        USD
        36473093.23000000
        4.754383276743
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54916.14000000
        -0.00715849286
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            16597941.00000000
            ILS
            5158072.60000000
            USD
            2022-06-15
            -54916.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -102421.82000000
        -0.01335100878
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8305118.73000000
            USD
            6246000.00000000
            GBP
            2022-06-15
            -102421.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        73755.87000000
        0.009614311368
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5140249.83000000
            USD
            6959000.00000000
            AUD
            2022-06-15
            73755.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        854602353.34000051
        PA
        USD
        -7924068.15000000
        -1.03292739276
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus OBFR +/- spread (-2.27% to 0.02%). USD Currency. Maturity 35-61 Months 01/13/25 to 04/01/27
                
                  
                    Martin Marietta Materials, Inc.
                    
                      
                    
                    2618791.56000000
                    USD
                    -78041.88000000
                    USD
                  
                  
                    Harley-Davidson, Inc.
                    
                      
                    
                    967939.80000000
                    USD
                    -7861.44000000
                    USD
                  
                  
                    Bank OZK
                    
                      
                    
                    388570.00000000
                    USD
                    -4277.00000000
                    USD
                  
                  
                    Syneos Health, Inc.
                    
                      
                    
                    2645122.20000000
                    USD
                    92146.32000000
                    USD
                  
                  
                    Hawaiian Electric Industries, Inc.
                    
                      
                    
                    949901.81000000
                    USD
                    19532.37000000
                    USD
                  
                  
                    Waters Corp.
                    
                      
                    
                    1927832.29000000
                    USD
                    -66395.59000000
                    USD
                  
                  
                    Assurant, Inc.
                    
                      
                    
                    1047340.80000000
                    USD
                    75225.60000000
                    USD
                  
                  
                    Altria Group, Inc.
                    
                      
                    
                    1552922.25000000
                    USD
                    37151.25000000
                    USD
                  
                  
                    Rocket Cos., Inc., Class A
                    
                      
                    
                    3079750.72000000
                    USD
                    192304.91000000
                    USD
                  
                  
                    NIKE, Inc., Class B
                    
                      
                    
                    1187088.32000000
                    USD
                    -67135.42000000
                    USD
                  
                  
                    Essent Group Ltd.
                    
                      
                    
                    1043931.72000000
                    USD
                    -3344.60000000
                    USD
                  
                  
                    Entergy Corp.
                    
                      
                    
                    310671.75000000
                    USD
                    -23336.97000000
                    USD
                  
                  
                    Rollins, Inc.
                    
                      
                    
                    2505338.95000000
                    USD
                    -166546.07000000
                    USD
                  
                  
                    Arrow Electronics, Inc.
                    
                      
                    
                    4103055.81000000
                    USD
                    15218.28000000
                    USD
                  
                  
                    Sempra Energy
                    
                      
                    
                    1206092.88000000
                    USD
                    -62881.80000000
                    USD
                  
                  
                    Mettler-Toledo International, Inc.
                    
                      
                    
                    870602.46000000
                    USD
                    -13501.70000000
                    USD
                  
                  
                    AMC Entertainment Holdings, Inc., Class A
                    
                      
                    
                    2218708.80000000
                    USD
                    -804101.85000000
                    USD
                  
                  
                    Texas Capital Bancshares, Inc.
                    
                      
                    
                    1302255.13000000
                    USD
                    78028.97000000
                    USD
                  
                  
                    New York Times Co. (The), Class A
                    
                      
                    
                    2210909.04000000
                    USD
                    54501.03000000
                    USD
                  
                  
                    Nu Skin Enterprises, Inc., Class A
                    
                      
                    
                    4188925.44000000
                    USD
                    -1447.32000000
                    USD
                  
                  
                    First Citizens BancShares, Inc., Class A
                    
                      
                    
                    378060.80000000
                    USD
                    27302.54000000
                    USD
                  
                  
                    Polaris, Inc.
                    
                      
                    
                    1902184.52000000
                    USD
                    -133109.57000000
                    USD
                  
                  
                    Linde plc
                    
                      
                    
                    145660.08000000
                    USD
                    -12156.96000000
                    USD
                  
                  
                    Cemex SAB de CV
                    
                      
                    
                    292150.83000000
                    USD
                    -397.80000000
                    USD
                  
                  
                    Tesla, Inc.
                    
                      
                    
                    4441867.20000000
                    USD
                    -901192.86000000
                    USD
                  
                  
                    CNO Financial Group, Inc.
                    
                      
                    
                    1326934.83000000
                    USD
                    89907.90000000
                    USD
                  
                  
                    Colgate-Palmolive Co.
                    
                      
                    
                    197158.00000000
                    USD
                    754.00000000
                    USD
                  
                  
                    Uber Technologies, Inc.
                    
                      
                    
                    4290591.36000000
                    USD
                    -502653.36000000
                    USD
                  
                  
                    Travelers Cos., Inc. (The)
                    
                      
                    
                    687795.72000000
                    USD
                    42584.92000000
                    USD
                  
                  
                    BOK Financial Corp.
                    
                      
                    
                    174653.05000000
                    USD
                    -13626.47000000
                    USD
                  
                  
                    AptarGroup, Inc.
                    
                      
                    
                    3181077.50000000
                    USD
                    -114518.79000000
                    USD
                  
                  
                    Constellation Brands, Inc., Class A
                    
                      
                    
                    1029991.04000000
                    USD
                    -62739.93000000
                    USD
                  
                  
                    LendingTree, Inc.
                    
                      
                    
                    107463.66000000
                    USD
                    -14879.86000000
                    USD
                  
                  
                    Skechers USA, Inc., Class A
                    
                      
                    
                    1563961.20000000
                    USD
                    109354.50000000
                    USD
                  
                  
                    Ingevity Corp.
                    
                      
                    
                    62532.32000000
                    USD
                    741.76000000
                    USD
                  
                  
                    Insperity, Inc.
                    
                      
                    
                    1973654.68000000
                    USD
                    251570.47000000
                    USD
                  
                  
                    Assured Guaranty Ltd.
                    
                      
                    
                    451094.76000000
                    USD
                    40106.76000000
                    USD
                  
                  
                    Louisiana-Pacific Corp.
                    
                      
                    
                    1396209.12000000
                    USD
                    -47424.36000000
                    USD
                  
                  
                    Ciena Corp.
                    
                      
                    
                    597751.17000000
                    USD
                    7650.23000000
                    USD
                  
                  
                    Ally Financial, Inc.
                    
                      
                    
                    2043560.00000000
                    USD
                    27730.00000000
                    USD
                  
                  
                    Jack in the Box, Inc.
                    
                      
                    
                    288730.31000000
                    USD
                    34990.12000000
                    USD
                  
                  
                    Morgan Stanley
                    
                      
                    
                    98325.00000000
                    USD
                    0.00000000
                    USD
                  
                  
                    AngloGold Ashanti Ltd.
                    
                      
                    
                    93267.53000000
                    USD
                    -5551.17000000
                    USD
                  
                  
                    Chegg, Inc.
                    
                      
                    
                    1806453.76000000
                    USD
                    -266885.12000000
                    USD
                  
                  
                    Air Products and Chemicals, Inc.
                    
                      
                    
                    1448478.36000000
                    USD
                    -132786.36000000
                    USD
                  
                  
                    Philip Morris International, Inc.
                    
                      
                    
                    682661.98000000
                    USD
                    1893.30000000
                    USD
                  
                  
                    NextEra Energy, Inc.
                    
                      
                    
                    3394753.25000000
                    USD
                    -175929.25000000
                    USD
                  
                  
                    Newell Brands, Inc.
                    
                      
                    
                    2768612.74000000
                    USD
                    149612.38000000
                    USD
                  
                  
                    IAA, Inc.
                    
                      
                    
                    924732.00000000
                    USD
                    -87758.88000000
                    USD
                  
                  
                    Waste Management, Inc.
                    
                      
                    
                    527646.50000000
                    USD
                    -28363.08000000
                    USD
                  
                  
                    Bank of New York Mellon Corp. (The)
                    
                      
                    
                    1118957.98000000
                    USD
                    -57492.30000000
                    USD
                  
                  
                    Moody's Corp.
                    
                      
                    
                    1265962.32000000
                    USD
                    -52903.20000000
                    USD
                  
                  
                    Intercontinental Exchange, Inc.
                    
                      
                    
                    1918778.76000000
                    USD
                    -48506.82000000
                    USD
                  
                  
                    MGIC Investment Corp.
                    
                      
                    
                    127044.80000000
                    USD
                    4875.52000000
                    USD
                  
                  
                    Vale SA
                    
                      
                    
                    2042318.33000000
                    USD
                    127419.39000000
                    USD
                  
                  
                    Itau Unibanco Holding SA
                    
                      
                    
                    495348.21000000
                    USD
                    -65930.76000000
                    USD
                  
                  
                    Hain Celestial Group, Inc. (The)
                    
                      
                    
                    924431.20000000
                    USD
                    -19145.94000000
                    USD
                  
                  
                    Domino's Pizza, Inc.
                    
                      
                    
                    515681.67000000
                    USD
                    7462.85000000
                    USD
                  
                  
                    NVR, Inc.
                    
                      
                    
                    799641.33000000
                    USD
                    62008.16000000
                    USD
                  
                  
                    Mohawk Industries, Inc.
                    
                      
                    
                    1352786.40000000
                    USD
                    -137892.72000000
                    USD
                  
                  
                    Corning, Inc.
                    
                      
                    
                    1737316.79000000
                    USD
                    -33889.68000000
                    USD
                  
                  
                    Leggett & Platt, Inc.
                    
                      
                    
                    1950783.60000000
                    USD
                    120723.85000000
                    USD
                  
                  
                    McDonald's Corp.
                    
                      
                    
                    637487.84000000
                    USD
                    12790.72000000
                    USD
                  
                  
                    Primerica, Inc.
                    
                      
                    
                    2726685.78000000
                    USD
                    -172186.56000000
                    USD
                  
                  
                    Vontier Corp.
                    
                      
                    
                    2021831.09000000
                    USD
                    158465.69000000
                    USD
                  
                  
                    Charles Schwab Corp. (The)
                    
                      
                    
                    1661834.41000000
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                    United Bankshares, Inc.
                    
                      
                    
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                    Paramount Global, Class B
                    
                      
                    
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                    -142152.89000000
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                    Valley National Bancorp
                    
                      
                    
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                    12021.81000000
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                    SVB Financial Group
                    
                      
                    
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                    USD
                  
                  
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                    American Airlines Group, Inc.
                    
                      
                    
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                    Motorola Solutions, Inc.
                    
                      
                    
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                    FedEx Corp.
                    
                      
                    
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                    Hasbro, Inc.
                    
                      
                    
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                    MGM Resorts International
                    
                      
                    
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                    Walgreens Boots Alliance, Inc.
                    
                      
                    
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                    MetLife, Inc.
                    
                      
                    
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                    Planet Fitness, Inc., Class A
                    
                      
                    
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                    USD
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                    USD
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                    USD
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                    USD
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                    Liberty Media Corp.-Liberty SiriusXM
                    
                      
                    
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                    USD
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                    USD
                    523.80000000
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                    USD
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                    USD
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                    USD
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                    USD
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                    Live Nation Entertainment, Inc.
                    
                      
                    
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                    USD
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                    USD
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                    United Parcel Service, Inc., Class B
                    
                      
                    
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                    USD
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                    USD
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                    USD
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                    USD
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                    Boston Beer Co., Inc. (The), Class A
                    
                      
                    
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                    USD
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                    Aon plc, Class A
                    
                      
                    
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                    USD
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                    Eversource Energy
                    
                      
                    
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                    USD
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                    USD
                  
                  
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                    USD
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                    USD
                    -165143.20000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-13
            0.00000000
            USD
            0.00000000
            USD
            854602353.00000000
            USD
            -5901654.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        661.15000000
        0.000086182997
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            918500.00000000
            TWD
            32843.52000000
            USD
            2022-06-15
            661.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -55286.90000000
        -0.00720682260
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7020000.00000000
            GBP
            9163882.54000000
            USD
            2022-06-15
            -55286.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2498.74000000
        -0.00032571867
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2103769.93000000
            USD
            19719978.00000000
            SEK
            2022-06-15
            -2498.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11553.06000000
        0.001505977979
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            344513.98000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            11553.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20408.44000000
        -0.00266030482
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4448525.49000000
            USD
            4078878.00000000
            CHF
            2022-06-15
            -20408.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1328.06000000
        0.000173116829
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3735000.00000000
            CNY
            586564.50000000
            USD
            2022-06-15
            1328.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        661.19000000
        0.000086188211
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            918500.00000000
            TWD
            32843.56000000
            USD
            2022-06-15
            661.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3640.38000000
        -0.00047453506
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2115667.33000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -3640.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        18404071.96000000
        PA
        
        -396120.02000000
        -0.05163549981
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus SAFEX +/- spread (-0.10% to 0.06%). ZAR Currency. Maturity 50-60 Months 04/20/26 to 02/11/27
                
                  
                    Sasol Ltd.
                    
                      
                    
                    683723.23000000
                    USD
                    -1888.22000000
                    USD
                  
                  
                    Rand Merchant Investment Holdings Ltd.
                    
                      
                    
                    70846.25000000
                    USD
                    -7855.65000000
                    USD
                  
                  
                    Woolworths Holdings Ltd.
                    
                      
                    
                    121693.81000000
                    USD
                    4262.78000000
                    USD
                  
                  
                    Mr Price Group Ltd.
                    
                      
                    
                    34712.25000000
                    USD
                    2745.60000000
                    USD
                  
                  
                    Pepkor Holdings Ltd.
                    
                      
                    
                    93787.54000000
                    USD
                    12210.99000000
                    USD
                  
                  
                    FirstRand Ltd.
                    
                      
                    
                    489085.33000000
                    USD
                    -75734.24000000
                    USD
                  
                  
                    Discovery Ltd.
                    
                      
                    
                    1792792.17000000
                    USD
                    -280569.81000000
                    USD
                  
                  
                    Bidvest Group Ltd. (The)
                    
                      
                    
                    492882.48000000
                    USD
                    -16613.04000000
                    USD
                  
                  
                    Naspers Ltd., Class N
                    
                      
                    
                    474809.43000000
                    USD
                    44524.01000000
                    USD
                  
                  
                    Standard Bank Group Ltd.
                    
                      
                    
                    12573.01000000
                    USD
                    1680.19000000
                    USD
                  
                  
                    Clicks Group Ltd.
                    
                      
                    
                    679222.63000000
                    USD
                    -22703.51000000
                    USD
                  
                  
                    Exxaro Resources Ltd.
                    
                      
                    
                    1258752.29000000
                    USD
                    94915.75000000
                    USD
                  
                  
                    Old Mutual Ltd.
                    
                      
                    
                    188279.33000000
                    USD
                    -14762.14000000
                    USD
                  
                  
                    Northam Platinum Holdings Ltd.
                    
                      
                    
                    442622.18000000
                    USD
                    61284.72000000
                    USD
                  
                  
                    MultiChoice Group
                    
                      
                    
                    1218929.58000000
                    USD
                    95289.31000000
                    USD
                  
                  
                    Vodacom Group Ltd.
                    
                      
                    
                    105049.79000000
                    USD
                    -5459.01000000
                    USD
                  
                  
                    Absa Group Ltd.
                    
                      
                    
                    231436.55000000
                    USD
                    27484.69000000
                    USD
                  
                  
                    Nedbank Group Ltd.
                    
                      
                    
                    238287.47000000
                    USD
                    -15079.12000000
                    USD
                  
                  
                    Anglo American Platinum Ltd.
                    
                      
                    
                    2471.68000000
                    USD
                    221.46000000
                    USD
                  
                  
                    Tiger Brands Ltd.
                    
                      
                    
                    55353.46000000
                    USD
                    3031.24000000
                    USD
                  
                  
                    Shoprite Holdings Ltd.
                    
                      
                    
                    1097125.38000000
                    USD
                    13289.62000000
                    USD
                  
                  
                    Reinet Investments SCA
                    
                      
                    
                    782496.86000000
                    USD
                    108701.37000000
                    USD
                  
                  
                    Impala Platinum Holdings Ltd.
                    
                      
                    
                    935267.21000000
                    USD
                    -123498.33000000
                    USD
                  
                  
                    Kumba Iron Ore Ltd.
                    
                      
                    
                    835505.20000000
                    USD
                    63313.26000000
                    USD
                  
                  
                    SPAR Group Ltd. (The)
                    
                      
                    
                    199424.49000000
                    USD
                    14600.75000000
                    USD
                  
                  
                    Aspen Pharmacare Holdings Ltd.
                    
                      
                    
                    1116772.96000000
                    USD
                    83116.23000000
                    USD
                  
                  
                    African Rainbow Minerals Ltd.
                    
                      
                    
                    776683.07000000
                    USD
                    38414.88000000
                    USD
                  
                  
                    MTN Group Ltd.
                    
                      
                    
                    38571.54000000
                    USD
                    -624.24000000
                    USD
                  
                  
                    Capitec Bank Holdings Ltd.
                    
                      
                    
                    1924501.48000000
                    USD
                    -252506.56000000
                    USD
                  
                  
                    Sibanye Stillwater Ltd.
                    
                      
                    
                    1319357.87000000
                    USD
                    -186913.56000000
                    USD
                  
                  
                    Sanlam Ltd.
                    
                      
                    
                    691055.44000000
                    USD
                    -105689.32000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-20
            0.00000000
            USD
            0.00000000
            USD
            18404072.00000000
            USD
            -440809.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3814.10000000
        0.000497180020
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            786430.46000000
            USD
            2022-06-15
            3814.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11018.95000000
        0.001436355048
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            141369500.00000000
            INR
            1855060.66000000
            USD
            2022-06-15
            11018.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42863.24000000
        0.005587359157
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1419457.00000000
            EUR
            1617585.27000000
            USD
            2022-06-15
            42863.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -65567.77000000
        -0.00854696658
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18560790.00000000
            SEK
            1912185.62000000
            USD
            2022-06-15
            -65567.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20049.14000000
        0.002613468929
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1329926.69000000
            USD
            11890681.00000000
            NOK
            2022-06-15
            20049.14000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796N47
        
          
          
        
        42682000.00000000
        PA
        USD
        42680968.38000000
        5.563599473767
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24.04000000
        -0.00000313369
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5682.00000000
            SEK
            581.41000000
            USD
            2022-06-15
            -24.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2663.58000000
        0.000347206093
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            360034.34000000
            USD
            524000.00000000
            NZD
            2022-06-15
            2663.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        MEX BOLSA Index
        N/A
        
          
          
        
        4.00000000
        NC
        
        4920.92000000
        0.000641457515
        N/A
        DE
        
        MX
        N
        
        1
        
          
            
              Asigna Compensacion y Liquidacion
              549300T5G56HZH1I6F15
            
            Long
            
              
                MEX BOLSA Index
                MEXBOL Index
              
            
            2022-06-17
            2269160.00000000
            MXN
            4920.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3756.18000000
        -0.00048962996
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168802.84000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3756.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1828.60000000
        -0.00023836380
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2113855.55000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -1828.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17233.81000000
        -0.00224648174
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6585500.00000000
            ILS
            2051103.30000000
            USD
            2022-06-15
            -17233.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        163.32000000
        0.000021289279
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            64589.00000000
            CHF
            70282.52000000
            USD
            2022-06-15
            163.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9020.57000000
        -0.00117585988
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10272500.00000000
            CNY
            1600575.49000000
            USD
            2022-06-15
            -9020.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        269288.61000000
        0.035102623622
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4004890.63000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            269288.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        100809.92000000
        0.013140892513
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5292006.53000000
            USD
            2022-06-15
            100809.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        285002.16000000
        0.037150934657
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3989177.08000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            285002.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13671.51000000
        0.001782124650
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11071287.43000000
            USD
            9992000.00000000
            EUR
            2022-06-15
            13671.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        267.99000000
        0.000034933345
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            65167.00000000
            CHF
            71014.68000000
            USD
            2022-06-15
            267.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        77364.79000000
        0.010084745526
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4834588.00000000
            GBP
            6426493.84000000
            USD
            2022-06-15
            77364.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6708.24000000
        -0.00087444034
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2118735.19000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -6708.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -374.00000000
        NC
        
        56394.72000000
        0.007351230452
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2022-09-19
            -91129775.00000000
            CAD
            56394.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3737.79000000
        -0.00048723277
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168784.45000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3737.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8819.82000000
        0.001149691484
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            645397.20000000
            USD
            2083000.00000000
            ILS
            2022-06-15
            8819.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2496.11000000
        -0.00032537584
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2103767.30000000
            USD
            19719978.00000000
            SEK
            2022-06-15
            -2496.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17130.76000000
        0.002233048849
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1501865.16000000
            USD
            2022-06-15
            17130.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -65570.16000000
        -0.00854727813
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18560790.00000000
            SEK
            1912183.23000000
            USD
            2022-06-15
            -65570.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -641617.53000000
        -0.08363687816
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11879304.35000000
            USD
            1365409918.00000000
            JPY
            2022-06-15
            -641617.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -212305.13000000
        -0.02767464643
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6330399.43000000
            USD
            4658665.00000000
            GBP
            2022-06-15
            -212305.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        243349200.00000000
        PA
        
        270472.29000000
        0.035256920061
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.00000000
            USD
            0.00000000
            USD
            243349200.00000000
            TWD
            270472.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4109.44000000
        0.000535678525
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274436.00000000
            TWD
            188914.92000000
            USD
            2022-06-15
            4109.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7722.06000000
        0.001006594990
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            866563.78000000
            USD
            3700500.00000000
            PLN
            2022-06-15
            7722.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1665.43000000
        0.000217094077
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            17253.75000000
            USD
            92000.00000000
            BRL
            2022-06-15
            1665.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        226479.56000000
        0.029522328303
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4696457.00000000
            GBP
            6394205.04000000
            USD
            2022-06-15
            226479.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -914.09000000
        -0.00011915452
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490624.00000000
            ZAR
            32346.70000000
            USD
            2022-06-15
            -914.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        1192273.94000000
        PA
        
        62539.36000000
        0.008152203747
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Spain Net Return Index
                M7ES Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            1192273.94000000
            EUR
            62539.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -127706.53000000
        -0.01664695085
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18442156.00000000
            ILS
            5664502.97000000
            USD
            2022-06-15
            -127706.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        327992400.00000000
        PA
        
        403441.39000000
        0.052589863592
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.00000000
            USD
            0.00000000
            USD
            327992400.00000000
            TWD
            403441.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21880.18000000
        0.002852150795
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1328095.31000000
            USD
            11890678.00000000
            NOK
            2022-06-15
            21880.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        550452.94000000
        0.071753284978
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            13197522.77000000
            USD
            129021794.00000000
            SEK
            2022-06-15
            550452.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Euro Euribor
        N/A
        
          
          
          
        
        350.00000000
        NC
        
        -311820.29000000
        -0.04064676288
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                N/A
                3 Month Euro Euribor
                
                  
                
              
            
            2023-03-13
            86891875.00000000
            EUR
            -311820.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            500.00000000
            KRW
            0.41000000
            USD
            2022-06-15
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7600.41000000
        -0.00099073752
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8363000.00000000
            MXN
            407336.78000000
            USD
            2022-06-15
            -7600.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5091.56000000
        0.000663700979
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            197927.23000000
            USD
            68123500.00000000
            HUF
            2022-06-15
            5091.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -197973.09000000
        -0.02580641960
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10953014.14000000
            USD
            8189500.00000000
            GBP
            2022-06-15
            -197973.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16909.34000000
        0.002204186050
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            339157.70000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            16909.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5675.19000000
        0.000739778999
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274437.00000000
            TWD
            190480.70000000
            USD
            2022-06-15
            5675.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20870.07000000
        0.002720479756
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1329105.42000000
            USD
            11890678.00000000
            NOK
            2022-06-15
            20870.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10952.02000000
        0.001427630511
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            36450000.00000000
            NOK
            4149202.71000000
            USD
            2022-06-15
            10952.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9755.53000000
        -0.00127166424
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2128624.35000000
            USD
            2828000.00000000
            AUD
            2022-06-15
            -9755.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42946.62000000
        -0.00559822800
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2363501.00000000
            CHF
            2522920.53000000
            USD
            2022-06-15
            -42946.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2774.52000000
        0.000361667473
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4153500.00000000
            CNY
            653585.64000000
            USD
            2022-06-15
            2774.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7300.91000000
        -0.00095169675
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            516500.00000000
            BRL
            98913.84000000
            USD
            2022-06-15
            -7300.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -123.66000000
        -0.00001611947
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            171000.00000000
            ZAR
            11468.91000000
            USD
            2022-06-15
            -123.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15326.27000000
        0.001997827859
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            503838.75000000
            USD
            1653000.00000000
            ILS
            2022-06-15
            15326.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22441.48000000
        0.002925318029
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6490193.77000000
            USD
            5870500.00000000
            EUR
            2022-06-15
            22441.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6908.12000000
        -0.00090049533
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4917000.00000000
            BRL
            1004239.80000000
            USD
            2022-06-15
            -6908.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20732.93000000
        0.002702603123
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            240228.37000000
            USD
            1269000.00000000
            BRL
            2022-06-15
            20732.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9965.27000000
        -0.00129900452
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            27589000.00000000
            CNY
            4312949.87000000
            USD
            2022-06-15
            -9965.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -129146.19000000
        -0.01683461509
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10442000.00000000
            BRL
            2018180.76000000
            USD
            2022-06-15
            -129146.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7240.79000000
        -0.00094385992
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            337334.08000000
            USD
            9421019.00000000
            TWD
            2022-06-15
            -7240.79000000
          
        
        
          N
          N
          N
        
      
      
        Snam SpA
        8156002278562044AF79
        Snam SpA
        N/A
        
          
          
        
        -531665.00000000
        NS
        
        -3065873.82000000
        -0.39964636743
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -925.36000000
        -0.00012062360
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            19236.85000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -925.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8207.92000000
        -0.00106992838
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4320739.00000000
            SEK
            452190.38000000
            USD
            2022-06-15
            -8207.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11182.33000000
        0.001457652149
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            463230.85000000
            USD
            2008000.00000000
            PLN
            2022-06-15
            11182.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10648.64000000
        0.001388083966
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            783488.54000000
            USD
            2528500.00000000
            ILS
            2022-06-15
            10648.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4684.72000000
        0.000610668096
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            291587.25000000
            USD
            1254000.00000000
            PLN
            2022-06-15
            4684.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1618.45000000
        0.000210970085
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            564346.08000000
            USD
            2395500.00000000
            PLN
            2022-06-15
            1618.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -127836.03000000
        -0.01666383159
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            73854500.00000000
            MXN
            3536516.29000000
            USD
            2022-06-15
            -127836.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CAC 40 10 Euro Index
        N/A
        
          
          
          
        
        239.00000000
        NC
        
        591633.36000000
        0.077121283215
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              LCH Clearnet
              F226TOH6YD6XJB17KS62
            
            Long
            
              
                CAC 40 10 Euro Index
                FR0003500008
              
            
            2022-04-14
            15911425.00000000
            EUR
            591633.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        23.00000000
        NC
        USD
        503675.76000000
        0.065655731339
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-06
            5961542.50000000
            USD
            503675.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14927.96000000
        -0.00194590688
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            24224500.00000000
            MXN
            1186990.71000000
            USD
            2022-06-15
            -14927.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4058.93000000
        0.000529094387
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274440.00000000
            TWD
            188864.55000000
            USD
            2022-06-15
            4058.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34484.43000000
        0.004495154723
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10586402.00000000
            EUR
            11778863.08000000
            USD
            2022-06-15
            34484.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16141.16000000
        -0.00210405135
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3943000.00000000
            CAD
            3137298.68000000
            USD
            2022-06-15
            -16141.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        49632.96000000
        0.006469813610
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5240829.57000000
            USD
            2022-06-15
            49632.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        29.00000000
        NC
        USD
        514717.23000000
        0.067095021942
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-28
            7518293.50000000
            USD
            514717.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        547.57000000
        0.000071377484
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2111479.38000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            547.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2620.81000000
        -0.00034163088
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            703729.36000000
            USD
            4474500.00000000
            CNY
            2022-06-15
            -2620.81000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796U56
        
          
          
        
        15372000.00000000
        PA
        USD
        15301540.75000000
        1.994604323561
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796S67
        
          
          
        
        16508000.00000000
        PA
        USD
        16462278.12000000
        2.145910117830
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-08-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16103.85000000
        0.002099187876
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1346454.00000000
            EUR
            1509837.57000000
            USD
            2022-06-15
            16103.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10250.85000000
        -0.00133623077
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            340344.14000000
            USD
            9421019.00000000
            TWD
            2022-06-15
            -10250.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        37225.21000000
        0.004852424080
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1257230.00000000
            EUR
            1431975.30000000
            USD
            2022-06-15
            37225.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1326.01000000
        -0.00017284960
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            182000.00000000
            CAD
            144229.67000000
            USD
            2022-06-15
            -1326.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        437.92000000
        0.000057084259
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            26730.69000000
            USD
            9116500.00000000
            HUF
            2022-06-15
            437.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16383.96000000
        0.002135701102
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3722250.00000000
            SGD
            2762686.09000000
            USD
            2022-06-15
            16383.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71061.61000000
        0.009263106040
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1400506.69000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            71061.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -393.08000000
        -0.00005123922
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            381500.00000000
            MXN
            18535.36000000
            USD
            2022-06-15
            -393.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71799.81000000
        0.009359332749
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4558326.00000000
            GBP
            6058121.71000000
            USD
            2022-06-15
            71799.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        64.05000000
        0.000008349120
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            413500.00000000
            TWD
            14552.25000000
            USD
            2022-06-15
            64.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -31850.99000000
        -0.00415187747
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            29483000.00000000
            MXN
            1430972.53000000
            USD
            2022-06-15
            -31850.99000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796J42
        
          
          
        
        6797000.00000000
        PA
        USD
        6791045.08000000
        0.885234245320
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -179.08000000
        -0.00002334364
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            41000.00000000
            BRL
            8252.29000000
            USD
            2022-06-15
            -179.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43101.16000000
        0.005618372782
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1428467.07000000
            USD
            21706843.00000000
            ZAR
            2022-06-15
            43101.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -356.74000000
        -0.00004650218
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            102733500.00000000
            CLP
            128585.00000000
            USD
            2022-06-15
            -356.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5018.31000000
        -0.00065415261
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170064.97000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -5018.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        84008.78000000
        0.010950810676
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4684694.00000000
            GBP
            6236286.24000000
            USD
            2022-06-15
            84008.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71807.39000000
        0.009360320826
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4558326.00000000
            GBP
            6058129.29000000
            USD
            2022-06-15
            71807.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        55831.47000000
        0.007277809030
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            809823.85000000
            USD
            4209500.00000000
            BRL
            2022-06-15
            55831.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21054.30000000
        0.002744494720
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2373898.20000000
            USD
            2911453000.00000000
            KRW
            2022-06-15
            21054.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17595.60000000
        0.002293642216
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7618000.00000000
            EUR
            8468878.35000000
            USD
            2022-06-15
            17595.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33892.36000000
        -0.00441797652
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312501.00000000
            PLN
            748724.24000000
            USD
            2022-06-15
            -33892.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2301.02000000
        -0.00029994524
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            404500.00000000
            SEK
            40800.66000000
            USD
            2022-06-15
            -2301.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36889.68000000
        0.004808686682
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5585395.27000000
            USD
            49521477.00000000
            NOK
            2022-06-15
            36889.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4978.41000000
        -0.00064895151
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170025.07000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -4978.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        29934.63000000
        0.003902073875
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5533262.01000000
            USD
            49001023.00000000
            NOK
            2022-06-15
            29934.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22433.37000000
        0.002924260865
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6490201.88000000
            USD
            5870500.00000000
            EUR
            2022-06-15
            22433.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22666.72000000
        0.002954678777
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1339635.00000000
            EUR
            1508835.55000000
            USD
            2022-06-15
            22666.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4487.94000000
        -0.00058501720
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2116514.58000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            -4487.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6514.86000000
        0.000849232644
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            486080.75000000
            USD
            615932.00000000
            CAD
            2022-06-15
            6514.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -73438.50000000
        -0.00957294118
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            60987529.00000000
            SEK
            6425115.28000000
            USD
            2022-06-15
            -73438.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21295.49000000
        0.002775934601
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4248312.97000000
            USD
            3848632.00000000
            EUR
            2022-06-15
            21295.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3564.15000000
        -0.00046459824
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3725500.00000000
            BRL
            762559.83000000
            USD
            2022-06-15
            -3564.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42871.46000000
        -0.00558843066
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7248871.34000000
            USD
            6495500.00000000
            EUR
            2022-06-15
            -42871.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31704.56000000
        0.004132789859
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10586403.00000000
            EUR
            11776084.32000000
            USD
            2022-06-15
            31704.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -73446.53000000
        -0.00957398791
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            60987529.00000000
            SEK
            6425107.25000000
            USD
            2022-06-15
            -73446.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1119.24000000
        -0.00014589648
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1844000.00000000
            CNY
            287816.77000000
            USD
            2022-06-15
            -1119.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18154.01000000
        0.002366432729
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4190552.63000000
            USD
            3793735.00000000
            EUR
            2022-06-15
            18154.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8765.40000000
        -0.00114259766
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4269301.00000000
            SEK
            446151.90000000
            USD
            2022-06-15
            -8765.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4099.65000000
        0.000534402368
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1488834.05000000
            USD
            2022-06-15
            4099.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62851.53000000
        0.008192896096
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4219000.00000000
            GBP
            5603546.10000000
            USD
            2022-06-15
            62851.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Natural Gas
        N/A
        
          
          
        
        275.00000000
        NC
        USD
        2087581.47000000
        0.272122859643
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Natural Gas
                
                  
                
              
            
            2022-04-27
            15515500.00000000
            USD
            2087581.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1475.16000000
        -0.00019229178
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490626.00000000
            ZAR
            31785.76000000
            USD
            2022-06-15
            -1475.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        352572.84000000
        0.045958986910
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3921606.40000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            352572.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        2.00000000
        NC
        USD
        27319.74000000
        0.003561214678
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-25
            518575.00000000
            USD
            27319.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -2.00000000
        NC
        USD
        -36856.92000000
        -0.00480441631
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-04
            -518375.50000000
            USD
            -36856.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -11806.88000000
        -0.00153906422
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1835129.12000000
            USD
            139781086.00000000
            INR
            2022-06-15
            -11806.88000000
          
        
        
          N
          N
          N
        
      
      
        Prysmian SpA
        529900X0H1IO3RS1A464
        Prysmian SpA
        N/A
        
          
          
        
        49424.00000000
        NS
        
        1677263.05000000
        0.218636553399
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22014.89000000
        0.002869710671
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1506749.29000000
            USD
            2022-06-15
            22014.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        21281500000.00000000
        PA
        
        -1275916.33000000
        -0.16631973667
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2032-09-23
            4965053.48000000
            USD
            0.00000000
            USD
            21281500000.00000000
            JPY
            -1275916.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -138474.17000000
        -0.01805054684
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            34678000.00000000
            ZAR
            2212445.45000000
            USD
            2022-06-15
            -138474.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        3952208.45000000
        PA
        
        40728.68000000
        0.005309112497
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus TIIE +/- spread (-0.50% to 0.50%). MXN Currency. Maturity 50-58 Months 04/17/26 to 12/18/26
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-17
            0.00000000
            USD
            0.00000000
            USD
            3952208.00000000
            USD
            39903.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        592.44000000
        0.000077226431
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1822729.80000000
            USD
            139781086.00000000
            INR
            2022-06-15
            592.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        50017.06000000
        0.006519882262
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5241213.67000000
            USD
            2022-06-15
            50017.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        214764.61000000
        0.027995247449
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4558326.00000000
            GBP
            6201086.51000000
            USD
            2022-06-15
            214764.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        12500000.00000000
        PA
        
        139872.36000000
        0.018232805346
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-19
            69015.12000000
            USD
            0.00000000
            USD
            12500000.00000000
            CAD
            139872.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5018.11000000
        0.000654126539
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            475680.33000000
            USD
            601056.00000000
            CAD
            2022-06-15
            5018.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27349.80000000
        0.003565133094
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5024924.47000000
            USD
            47414507.00000000
            SEK
            2022-06-15
            27349.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4978.63000000
        -0.00064898019
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            170025.29000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -4978.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -632908.28000000
        -0.08250159982
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11870595.10000000
            USD
            1365409918.00000000
            JPY
            2022-06-15
            -632908.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21605.92000000
        0.002816400135
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1378898.00000000
            EUR
            1551332.47000000
            USD
            2022-06-15
            21605.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12790.61000000
        0.001667296543
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1983544.82000000
            USD
            1799500.00000000
            EUR
            2022-06-15
            12790.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -513.18000000
        -0.00006689463
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            88979.57000000
            USD
            6782086.00000000
            INR
            2022-06-15
            -513.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -85361.87000000
        -0.01112719024
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            21430000.00000000
            ZAR
            1367438.39000000
            USD
            2022-06-15
            -85361.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3296.86000000
        -0.00042975614
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1885780.00000000
            BRL
            384501.09000000
            USD
            2022-06-15
            -3296.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3842.32000000
        0.000500858587
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            154571.04000000
            USD
            670500.00000000
            PLN
            2022-06-15
            3842.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3297.34000000
        -0.00042981871
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1885780.00000000
            BRL
            384500.61000000
            USD
            2022-06-15
            -3297.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14233.28000000
        -0.00185535314
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            144696000.00000000
            HUF
            416983.66000000
            USD
            2022-06-15
            -14233.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3842.51000000
        0.000500883354
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            154570.85000000
            USD
            670500.00000000
            PLN
            2022-06-15
            3842.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -151259.87000000
        -0.01971720335
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            42010000.00000000
            ZAR
            2696716.75000000
            USD
            2022-06-15
            -151259.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33840.75000000
        -0.00441124899
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3421000.00000000
            BRL
            669664.85000000
            USD
            2022-06-15
            -33840.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17132.64000000
        0.002233293913
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1501867.04000000
            USD
            2022-06-15
            17132.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1852.37000000
        -0.00024146229
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            100558.66000000
            USD
            119993500.00000000
            KRW
            2022-06-15
            -1852.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7066.42000000
        -0.00092113023
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520061.00000000
            BRL
            99880.62000000
            USD
            2022-06-15
            -7066.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        79288.76000000
        0.010335541112
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4834588.00000000
            GBP
            6428417.81000000
            USD
            2022-06-15
            79288.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54909.69000000
        -0.00715765208
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            16597941.00000000
            ILS
            5158079.05000000
            USD
            2022-06-15
            -54909.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15203.30000000
        0.001981798330
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1599000.00000000
            EUR
            1789107.36000000
            USD
            2022-06-15
            15203.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        377643.83000000
        0.049227069900
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3896535.00000000
            USD
            20784434.00000000
            BRL
            2022-06-15
            377643.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42861.19000000
        0.005587091933
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1419456.00000000
            EUR
            1617582.11000000
            USD
            2022-06-15
            42861.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        587628.27000000
        0.076599207043
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15961798.76000000
            USD
            23909428.00000000
            NZD
            2022-06-15
            587628.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44.26000000
        0.000005769431
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            83000.00000000
            CNY
            13049.51000000
            USD
            2022-06-15
            44.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5675.43000000
        0.000739810284
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274438.00000000
            TWD
            190480.98000000
            USD
            2022-06-15
            5675.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -49368.87000000
        -0.00643538864
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4111500.00000000
            CHF
            4414163.32000000
            USD
            2022-06-15
            -49368.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -123.67000000
        -0.00001612077
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            171000.00000000
            ZAR
            11468.90000000
            USD
            2022-06-15
            -123.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41075.32000000
        0.005354298119
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1525809.72000000
            USD
            2022-06-15
            41075.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -29.00000000
        NC
        USD
        -559953.87000000
        -0.07299176130
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-28
            -7518293.50000000
            USD
            -559953.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5067.05000000
        -0.00066050602
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            170113.71000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -5067.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62650.21000000
        0.008166653396
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            887010.38000000
            USD
            4618000.00000000
            BRL
            2022-06-15
            62650.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -57.00000000
        NC
        
        7871.29000000
        0.001026047593
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2022-06-13
            -13986375.00000000
            CAD
            7871.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81751.78000000
        0.010656603574
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5272948.39000000
            USD
            2022-06-15
            81751.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7544.45000000
        -0.00098344296
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            35981500.00000000
            INR
            461802.81000000
            USD
            2022-06-15
            -7544.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9449.13000000
        0.001231724037
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5582862.00000000
            GBP
            7341265.48000000
            USD
            2022-06-15
            9449.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62649.10000000
        0.008166508704
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            887011.49000000
            USD
            4618000.00000000
            BRL
            2022-06-15
            62649.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE 100 Index
        N/A
        
          
          
          
        
        78.00000000
        NC
        
        463016.57000000
        0.060355677084
        N/A
        DE
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                FTSE 100 Index
                GB0001383545
              
            
            2022-06-17
            5839080.00000000
            GBP
            463016.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -4.00000000
        NC
        USD
        -54120.84000000
        -0.00705482298
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-27
            -1037063.00000000
            USD
            -54120.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4309.49000000
        0.000561755677
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274439.00000000
            TWD
            189115.07000000
            USD
            2022-06-15
            4309.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2097.90000000
        -0.00027346791
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            274079.32000000
            USD
            330637500.00000000
            KRW
            2022-06-15
            -2097.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        912.76000000
        0.000118981158
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2960000.00000000
            CNY
            464714.59000000
            USD
            2022-06-15
            912.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPI 200 Index
        N/A
        
          
          
        
        404.00000000
        NC
        
        3013389.97000000
        0.392804931277
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SPI 200 Index
                XC0006013624
              
            
            2022-06-16
            75537900.00000000
            AUD
            3013389.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20356.06000000
        0.002653476924
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10379695.00000000
            EUR
            11535417.40000000
            USD
            2022-06-15
            20356.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3813.12000000
        0.000497052274
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312500.00000000
            PLN
            786429.48000000
            USD
            2022-06-15
            3813.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -72.09000000
        -0.00000939715
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            26315.52000000
            USD
            749000.00000000
            TWD
            2022-06-15
            -72.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        153695.19000000
        0.020034655038
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7858883.94000000
            USD
            11576001.00000000
            NZD
            2022-06-15
            153695.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7289.01000000
        0.000950145550
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            140058.70000000
            USD
            2173500.00000000
            ZAR
            2022-06-15
            7289.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -711.16000000
        -0.00009270195
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8850000.00000000
            JPY
            72126.69000000
            USD
            2022-06-15
            -711.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8665.21000000
        -0.00112953758
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            98282.04000000
            USD
            2022-06-15
            -8665.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2076.34000000
        0.000270657498
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            29964500.00000000
            TWD
            1051971.29000000
            USD
            2022-06-15
            2076.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        73749.44000000
        0.009613473197
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5140256.26000000
            USD
            6959000.00000000
            AUD
            2022-06-15
            73749.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3470.35000000
        -0.00045237111
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5508000.00000000
            CNY
            859577.12000000
            USD
            2022-06-15
            -3470.35000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5020.77000000
        -0.00065447327
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170067.43000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -5020.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        173500301.94999993
        PA
        
        2319589.04000000
        0.302365781568
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus HONIX +/- spread (-1.03% to 0.02%). HKD Currency. Maturity 35-61 Months 01/13/25 to 03/24/27
                
                  
                    Genscript Biotech Corp.
                    
                      
                    
                    363890.94000000
                    USD
                    23215.67000000
                    USD
                  
                  
                    Minth Group Ltd.
                    
                      
                    
                    248539.51000000
                    USD
                    50978.07000000
                    USD
                  
                  
                    Sino Biopharmaceutical Ltd.
                    
                      
                    
                    532134.22000000
                    USD
                    58614.05000000
                    USD
                  
                  
                    China Youzan Ltd.
                    
                      
                    
                    167577.06000000
                    USD
                    69823.66000000
                    USD
                  
                  
                    China Merchants Port Holdings Co. Ltd.
                    
                      
                    
                    929307.99000000
                    USD
                    19058.42000000
                    USD
                  
                  
                    Lenovo Group Ltd.
                    
                      
                    
                    448468.26000000
                    USD
                    48473.73000000
                    USD
                  
                  
                    Kingboard Laminates Holdings Ltd.
                    
                      
                    
                    444888.41000000
                    USD
                    48386.63000000
                    USD
                  
                  
                    China Petroleum & Chemical Corp., Class H
                    
                      
                    
                    789113.28000000
                    USD
                    81769.35000000
                    USD
                  
                  
                    China Coal Energy Co. Ltd., Class H
                    
                      
                    
                    2274552.23000000
                    USD
                    248265.69000000
                    USD
                  
                  
                    Yankuang Energy Group Co. Ltd., Class H
                    
                      
                    
                    1056642.79000000
                    USD
                    -84095.71000000
                    USD
                  
                  
                    Kunlun Energy Co. Ltd.
                    
                      
                    
                    1016341.17000000
                    USD
                    -64341.62000000
                    USD
                  
                  
                    China Merchants Bank Co. Ltd., Class H
                    
                      
                    
                    2529938.74000000
                    USD
                    -95065.88000000
                    USD
                  
                  
                    New World Development Co. Ltd.
                    
                      
                    
                    527429.44000000
                    USD
                    32963.30000000
                    USD
                  
                  
                    Haitian International Holdings Ltd.
                    
                      
                    
                    920568.02000000
                    USD
                    80394.90000000
                    USD
                  
                  
                    China Tower Corp. Ltd., Class H
                    
                      
                    
                    250750.99000000
                    USD
                    -10596.36000000
                    USD
                  
                  
                    China Life Insurance Co. Ltd., Class H
                    
                      
                    
                    431157.97000000
                    USD
                    2736.22000000
                    USD
                  
                  
                    China Resources Gas Group Ltd.
                    
                      
                    
                    168355.05000000
                    USD
                    -22866.55000000
                    USD
                  
                  
                    BYD Electronic International Co. Ltd.
                    
                      
                    
                    23779.77000000
                    USD
                    -4558.95000000
                    USD
                  
                  
                    Zhejiang Expressway Co. Ltd., Class H
                    
                      
                    
                    82320.35000000
                    USD
                    -5251.78000000
                    USD
                  
                  
                    Flat Glass Group Co. Ltd., Class H
                    
                      
                    
                    920110.49000000
                    USD
                    115626.56000000
                    USD
                  
                  
                    China International Capital Corp. Ltd., Class H
                    
                      
                    
                    825039.38000000
                    USD
                    -42027.76000000
                    USD
                  
                  
                    China Molybdenum Co. Ltd., Class H
                    
                      
                    
                    573725.69000000
                    USD
                    -53927.23000000
                    USD
                  
                  
                    Pharmaron Beijing Co. Ltd., Class H
                    
                      
                    
                    177990.47000000
                    USD
                    -28815.98000000
                    USD
                  
                  
                    New China Life Insurance Co. Ltd., Class H
                    
                      
                    
                    2245826.87000000
                    USD
                    49689.79000000
                    USD
                  
                  
                    China Lesso Group Holdings Ltd.
                    
                      
                    
                    68413.99000000
                    USD
                    -7789.24000000
                    USD
                  
                  
                    Hengan International Group Co. Ltd.
                    
                      
                    
                    744155.78000000
                    USD
                    -73406.73000000
                    USD
                  
                  
                    China Resources Beer Holdings Co. Ltd.
                    
                      
                    
                    498887.14000000
                    USD
                    71036.16000000
                    USD
                  
                  
                    PetroChina Co. Ltd., Class H
                    
                      
                    
                    935398.61000000
                    USD
                    -45069.46000000
                    USD
                  
                  
                    Akeso, Inc.
                    
                      
                    
                    611366.61000000
                    USD
                    6646.31000000
                    USD
                  
                  
                    TravelSky Technology Ltd., Class H
                    
                      
                    
                    222354.35000000
                    USD
                    -32460.92000000
                    USD
                  
                  
                    Hygeia Healthcare Holdings Co. Ltd.
                    
                      
                    
                    197947.16000000
                    USD
                    42454.66000000
                    USD
                  
                  
                    China Medical System Holdings Ltd.
                    
                      
                    
                    1442626.94000000
                    USD
                    -42440.72000000
                    USD
                  
                  
                    ENN Energy Holdings Ltd.
                    
                      
                    
                    1026098.46000000
                    USD
                    -168283.27000000
                    USD
                  
                  
                    Tingyi Cayman Islands Holding Corp.
                    
                      
                    
                    60366.39000000
                    USD
                    -5172.99000000
                    USD
                  
                  
                    Shandong Gold Mining Co. Ltd., Class H
                    
                      
                    
                    1112355.92000000
                    USD
                    13821.29000000
                    USD
                  
                  
                    Venus MedTech Hangzhou, Inc., Class H
                    
                      
                    
                    312170.93000000
                    USD
                    35396.85000000
                    USD
                  
                  
                    Alibaba Health Information Technology Ltd.
                    
                      
                    
                    817678.71000000
                    USD
                    -65263.41000000
                    USD
                  
                  
                    Jinxin Fertility Group Ltd.
                    
                      
                    
                    100145.87000000
                    USD
                    29747.60000000
                    USD
                  
                  
                    China Resources Cement Holdings Ltd.
                    
                      
                    
                    648243.17000000
                    USD
                    12462.64000000
                    USD
                  
                  
                    Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H
                    
                      
                    
                    159922.44000000
                    USD
                    -46680.62000000
                    USD
                  
                  
                    Great Wall Motor Co. Ltd., Class H
                    
                      
                    
                    825549.27000000
                    USD
                    4100.77000000
                    USD
                  
                  
                    Haidilao International Holding Ltd.
                    
                      
                    
                    1475750.38000000
                    USD
                    -85954.45000000
                    USD
                  
                  
                    Fuyao Glass Industry Group Co. Ltd., Class H
                    
                      
                    
                    479098.98000000
                    USD
                    -29595.66000000
                    USD
                  
                  
                    Shenzhen International Holdings Ltd.
                    
                      
                    
                    603746.82000000
                    USD
                    52073.28000000
                    USD
                  
                  
                    Agricultural Bank of China Ltd., Class H
                    
                      
                    
                    1227128.76000000
                    USD
                    75759.97000000
                    USD
                  
                  
                    Kingboard Holdings Ltd.
                    
                      
                    
                    1157553.96000000
                    USD
                    140646.91000000
                    USD
                  
                  
                    Weimob, Inc.
                    
                      
                    
                    963020.00000000
                    USD
                    -198268.12000000
                    USD
                  
                  
                    Chow Tai Fook Jewellery Group Ltd.
                    
                      
                    
                    789992.88000000
                    USD
                    60922.26000000
                    USD
                  
                  
                    Xinyi Solar Holdings Ltd.
                    
                      
                    
                    734705.80000000
                    USD
                    6219.41000000
                    USD
                  
                  
                    Tsingtao Brewery Co. Ltd.
                    
                      
                    
                    125779.72000000
                    USD
                    12179.24000000
                    USD
                  
                  
                    Wuxi Biologics Cayman, Inc.
                    
                      
                    
                    758327.55000000
                    USD
                    -110451.86000000
                    USD
                  
                  
                    Yue Yuen Industrial Holdings Ltd.
                    
                      
                    
                    133930.78000000
                    USD
                    15715.71000000
                    USD
                  
                  
                    China Conch Environment Protection Holdings Ltd.
                    
                      
                    
                    462270.05000000
                    USD
                    -279240.25000000
                    USD
                  
                  
                    Jiumaojiu International Holdings Ltd.
                    
                      
                    
                    676904.24000000
                    USD
                    -58427.20000000
                    USD
                  
                  
                    Xinyi Glass Holdings Ltd.
                    
                      
                    
                    1740705.49000000
                    USD
                    20026.05000000
                    USD
                  
                  
                    China Southern Airlines Co. Ltd., Class H
                    
                      
                    
                    1000907.73000000
                    USD
                    -61506.74000000
                    USD
                  
                  
                    China Everbright Bank Co. Ltd., Class H
                    
                      
                    
                    788546.36000000
                    USD
                    32958.72000000
                    USD
                  
                  
                    3SBio, Inc.
                    
                      
                    
                    783540.41000000
                    USD
                    102444.27000000
                    USD
                  
                  
                    Zijin Mining Group Co. Ltd., Class H
                    
                      
                    
                    1255631.98000000
                    USD
                    -23417.06000000
                    USD
                  
                  
                    Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H
                    
                      
                    
                    1163304.52000000
                    USD
                    114598.15000000
                    USD
                  
                  
                    HKT Trust & HKT Ltd.
                    
                      
                    
                    828178.21000000
                    USD
                    -21704.56000000
                    USD
                  
                  
                    China Minsheng Banking Corp. Ltd., Class H
                    
                      
                    
                    1336118.66000000
                    USD
                    26697.37000000
                    USD
                  
                  
                    Wharf Real Estate Investment Co. Ltd.
                    
                      
                    
                    3276719.89000000
                    USD
                    -433647.62000000
                    USD
                  
                  
                    Swire Pacific Ltd., Class A
                    
                      
                    
                    1444266.44000000
                    USD
                    142231.73000000
                    USD
                  
                  
                    China Shenhua Energy Co. Ltd., Class H
                    
                      
                    
                    471113.49000000
                    USD
                    60271.98000000
                    USD
                  
                  
                    Sinotruk Hong Kong Ltd.
                    
                      
                    
                    1082099.52000000
                    USD
                    60121.84000000
                    USD
                  
                  
                    China Galaxy Securities Co. Ltd., Class H
                    
                      
                    
                    676612.57000000
                    USD
                    27902.12000000
                    USD
                  
                  
                    China Conch Venture Holdings Ltd.
                    
                      
                    
                    1077163.43000000
                    USD
                    490145.88000000
                    USD
                  
                  
                    Bosideng International Holdings Ltd.
                    
                      
                    
                    112128.69000000
                    USD
                    -13597.50000000
                    USD
                  
                  
                    Kingdee International Software Group Co. Ltd.
                    
                      
                    
                    889516.04000000
                    USD
                    -38987.24000000
                    USD
                  
                  
                    Chongqing Rural Commercial Bank Co. Ltd., Class H
                    
                      
                    
                    536060.26000000
                    USD
                    44004.03000000
                    USD
                  
                  
                    Jiangsu Expressway Co. Ltd., Class H
                    
                      
                    
                    125321.93000000
                    USD
                    -5539.70000000
                    USD
                  
                  
                    Uni-President China Holdings Ltd.
                    
                      
                    
                    605716.55000000
                    USD
                    44468.06000000
                    USD
                  
                  
                    Alibaba Group Holding Ltd.
                    
                      
                    
                    912965.09000000
                    USD
                    91281.85000000
                    USD
                  
                  
                    BOC Aviation Ltd.
                    
                      
                    
                    46345.32000000
                    USD
                    -5275.17000000
                    USD
                  
                  
                    Man Wah Holdings Ltd.
                    
                      
                    
                    1430913.12000000
                    USD
                    -17998.37000000
                    USD
                  
                  
                    China Gas Holdings Ltd.
                    
                      
                    
                    545521.56000000
                    USD
                    111182.84000000
                    USD
                  
                  
                    China Construction Bank Corp., Class H
                    
                      
                    
                    857679.61000000
                    USD
                    50873.48000000
                    USD
                  
                  
                    China Power International Development Ltd.
                    
                      
                    
                    724444.92000000
                    USD
                    47106.50000000
                    USD
                  
                  
                    Guangdong Investment Ltd.
                    
                      
                    
                    520452.64000000
                    USD
                    -21187.94000000
                    USD
                  
                  
                    Sun Hung Kai Properties Ltd.
                    
                      
                    
                    1885751.29000000
                    USD
                    82117.68000000
                    USD
                  
                  
                    Microport Scientific Corp.
                    
                      
                    
                    1270661.57000000
                    USD
                    -31625.14000000
                    USD
                  
                  
                    CLP Holdings Ltd.
                    
                      
                    
                    1138397.98000000
                    USD
                    -18420.67000000
                    USD
                  
                  
                    NetEase, Inc.
                    
                      
                    
                    43302.64000000
                    USD
                    2714.70000000
                    USD
                  
                  
                    SJM Holdings Ltd.
                    
                      
                    
                    555330.78000000
                    USD
                    27071.16000000
                    USD
                  
                  
                    Geely Automobile Holdings Ltd.
                    
                      
                    
                    221509.59000000
                    USD
                    -7454.34000000
                    USD
                  
                  
                    China Longyuan Power Group Corp. Ltd., Class H
                    
                      
                    
                    177571.88000000
                    USD
                    -5343.23000000
                    USD
                  
                  
                    WuXi AppTec Co. Ltd., Class H
                    
                      
                    
                    490592.27000000
                    USD
                    -98462.37000000
                    USD
                  
                  
                    AviChina Industry & Technology Co. Ltd., Class H
                    
                      
                    
                    36982.70000000
                    USD
                    1495.62000000
                    USD
                  
                  
                    GF Securities Co. Ltd., Class H
                    
                      
                    
                    390788.41000000
                    USD
                    -16656.89000000
                    USD
                  
                  
                    Wynn Macau Ltd.
                    
                      
                    
                    396836.03000000
                    USD
                    16317.34000000
                    USD
                  
                  
                    Sun Art Retail Group Ltd.
                    
                      
                    
                    376820.68000000
                    USD
                    37531.62000000
                    USD
                  
                  
                    Aluminum Corp. of China Ltd., Class H
                    
                      
                    
                    119235.51000000
                    USD
                    -12496.55000000
                    USD
                  
                  
                    China Hongqiao Group Ltd.
                    
                      
                    
                    2424521.66000000
                    USD
                    55054.53000000
                    USD
                  
                  
                    GOME Retail Holdings Ltd.
                    
                      
                    
                    211639.34000000
                    USD
                    6217.69000000
                    USD
                  
                  
                    MMG Ltd.
                    
                      
                    
                    381403.10000000
                    USD
                    21213.86000000
                    USD
                  
                  
                    Hang Lung Properties Ltd.
                    
                      
                    
                    820339.75000000
                    USD
                    5686.88000000
                    USD
                  
                  
                    Nongfu Spring Co. Ltd., Class H
                    
                      
                    
                    1035338.76000000
                    USD
                    -67726.58000000
                    USD
                  
                  
                    ZTE Corp., Class H
                    
                      
                    
                    46590.02000000
                    USD
                    -622.38000000
                    USD
                  
                  
                    WH Group Ltd.
                    
                      
                    
                    5144523.55000000
                    USD
                    -127440.24000000
                    USD
                  
                  
                    Huatai Securities Co. Ltd., Class H
                    
                      
                    
                    549989.53000000
                    USD
                    -9592.56000000
                    USD
                  
                  
                    Xinjiang Goldwind Science & Technology Co. Ltd., Class H
                    
                      
                    
                    267771.71000000
                    USD
                    -4347.26000000
                    USD
                  
                  
                    Hua Hong Semiconductor Ltd.
                    
                      
                    
                    396694.81000000
                    USD
                    -254.96000000
                    USD
                  
                  
                    China Meidong Auto Holdings Ltd.
                    
                      
                    
                    494062.98000000
                    USD
                    26987.48000000
                    USD
                  
                  
                    COSCO SHIPPING Holdings Co. Ltd., Class H
                    
                      
                    
                    808093.30000000
                    USD
                    -77405.09000000
                    USD
                  
                  
                    Tongcheng Travel Holdings Ltd.
                    
                      
                    
                    279109.22000000
                    USD
                    28092.68000000
                    USD
                  
                  
                    China Communications Services Corp. Ltd., Class H
                    
                      
                    
                    455419.06000000
                    USD
                    -50214.16000000
                    USD
                  
                  
                    China Oilfield Services Ltd., Class H
                    
                      
                    
                    58930.11000000
                    USD
                    -5482.72000000
                    USD
                  
                  
                    Yihai International Holding Ltd.
                    
                      
                    
                    1079269.16000000
                    USD
                    49384.76000000
                    USD
                  
                  
                    Galaxy Entertainment Group Ltd.
                    
                      
                    
                    1254485.45000000
                    USD
                    -149367.32000000
                    USD
                  
                  
                    China Resources Pharmaceutical Group Ltd.
                    
                      
                    
                    582554.60000000
                    USD
                    77858.95000000
                    USD
                  
                  
                    China Mengniu Dairy Co. Ltd.
                    
                      
                    
                    1077641.78000000
                    USD
                    42200.83000000
                    USD
                  
                  
                    Ganfeng Lithium Co. Ltd., Class H
                    
                      
                    
                    2090634.34000000
                    USD
                    -124003.67000000
                    USD
                  
                  
                    CITIC Securities Co. Ltd., Class H
                    
                      
                    
                    1479552.08000000
                    USD
                    -31156.45000000
                    USD
                  
                  
                    China Education Group Holdings Ltd.
                    
                      
                    
                    47324.67000000
                    USD
                    -3968.59000000
                    USD
                  
                  
                    Ping An Healthcare and Technology Co. Ltd.
                    
                      
                    
                    117854.45000000
                    USD
                    2026.96000000
                    USD
                  
                  
                    Shandong Weigao Group Medical Polymer Co. Ltd., Class H
                    
                      
                    
                    322033.50000000
                    USD
                    -48704.17000000
                    USD
                  
                  
                    Beijing Enterprises Holdings Ltd.
                    
                      
                    
                    1077743.49000000
                    USD
                    -29375.21000000
                    USD
                  
                  
                    Budweiser Brewing Co. APAC Ltd.
                    
                      
                    
                    2341194.61000000
                    USD
                    188374.98000000
                    USD
                  
                  
                    China Feihe Ltd.
                    
                      
                    
                    552325.47000000
                    USD
                    -19112.19000000
                    USD
                  
                  
                    Huabao International Holdings Ltd.
                    
                      
                    
                    307861.63000000
                    USD
                    22139.74000000
                    USD
                  
                  
                    Anhui Conch Cement Co. Ltd., Class H
                    
                      
                    
                    923163.49000000
                    USD
                    30406.36000000
                    USD
                  
                  
                    Jiangxi Copper Co. Ltd., Class H
                    
                      
                    
                    23156.96000000
                    USD
                    -107.76000000
                    USD
                  
                  
                    Kerry Properties Ltd.
                    
                      
                    
                    659199.17000000
                    USD
                    30528.01000000
                    USD
                  
                  
                    Fosun International Ltd.
                    
                      
                    
                    39990.78000000
                    USD
                    4484.41000000
                    USD
                  
                  
                    ASM Pacific Technology Ltd.
                    
                      
                    
                    1518170.17000000
                    USD
                    57675.64000000
                    USD
                  
                  
                    ESR Cayman Ltd.
                    
                      
                    
                    2323550.47000000
                    USD
                    -129608.37000000
                    USD
                  
                  
                    ZhongAn Online P&C Insurance Co. Ltd., Class H
                    
                      
                    
                    2280184.37000000
                    USD
                    -259668.00000000
                    USD
                  
                  
                    China CITIC Bank Corp. Ltd., Class H
                    
                      
                    
                    2192585.47000000
                    USD
                    223760.41000000
                    USD
                  
                  
                    Postal Savings Bank of China Co. Ltd., Class H
                    
                      
                    
                    1174856.09000000
                    USD
                    -18361.67000000
                    USD
                  
                  
                    China Resources Power Holdings Co. Ltd.
                    
                      
                    
                    964015.36000000
                    USD
                    -132069.97000000
                    USD
                  
                  
                    BOC Hong Kong Holdings Ltd.
                    
                      
                    
                    1954767.32000000
                    USD
                    184339.60000000
                    USD
                  
                  
                    Sunny Optical Technology Group Co. Ltd.
                    
                      
                    
                    574904.45000000
                    USD
                    93545.15000000
                    USD
                  
                  
                    Bank of China Ltd., Class H
                    
                      
                    
                    1323667.87000000
                    USD
                    100038.76000000
                    USD
                  
                  
                    CanSino Biologics, Inc., Class H
                    
                      
                    
                    171896.19000000
                    USD
                    15484.37000000
                    USD
                  
                  
                    AAC Technologies Holdings, Inc.
                    
                      
                    
                    371915.56000000
                    USD
                    9632.10000000
                    USD
                  
                  
                    Beijing Capital International Airport Co. Ltd., Class H
                    
                      
                    
                    645260.73000000
                    USD
                    3653.03000000
                    USD
                  
                  
                    China State Construction International Holdings Ltd.
                    
                      
                    
                    389867.35000000
                    USD
                    -4834.90000000
                    USD
                  
                  
                    China Traditional Chinese Medicine Holdings Co. Ltd.
                    
                      
                    
                    910779.20000000
                    USD
                    37758.50000000
                    USD
                  
                  
                    Sands China Ltd.
                    
                      
                    
                    1155232.71000000
                    USD
                    8615.31000000
                    USD
                  
                  
                    CGN Power Co. Ltd., Class H
                    
                      
                    
                    50254.83000000
                    USD
                    1481.77000000
                    USD
                  
                  
                    Dongyue Group Ltd.
                    
                      
                    
                    711243.01000000
                    USD
                    62479.27000000
                    USD
                  
                  
                    Zhongsheng Group Holdings Ltd.
                    
                      
                    
                    854294.85000000
                    USD
                    104316.06000000
                    USD
                  
                  
                    Meituan
                    
                      
                    
                    1718215.45000000
                    USD
                    561.80000000
                    USD
                  
                  
                    Smoore International Holdings Ltd.
                    
                      
                    
                    180394.06000000
                    USD
                    33350.31000000
                    USD
                  
                  
                    SITC International Holdings Co. Ltd.
                    
                      
                    
                    674864.43000000
                    USD
                    -58727.42000000
                    USD
                  
                  
                    CK Asset Holdings Ltd.
                    
                      
                    
                    2610259.63000000
                    USD
                    187752.41000000
                    USD
                  
                  
                    Topsports International Holdings Ltd.
                    
                      
                    
                    1181049.71000000
                    USD
                    -66708.90000000
                    USD
                  
                  
                    COSCO SHIPPING Ports Ltd.
                    
                      
                    
                    347175.56000000
                    USD
                    8685.09000000
                    USD
                  
                  
                    Beijing Enterprises Water Group Ltd.
                    
                      
                    
                    672467.17000000
                    USD
                    141168.28000000
                    USD
                  
                  
                    Guangzhou Automobile Group Co. Ltd., Class H
                    
                      
                    
                    263865.20000000
                    USD
                    -3948.43000000
                    USD
                  
                  
                    PICC Property & Casualty Co. Ltd., Class H
                    
                      
                    
                    1154747.22000000
                    USD
                    73582.36000000
                    USD
                  
                  
                    MTR Corp. Ltd.
                    
                      
                    
                    1172345.69000000
                    USD
                    -60802.15000000
                    USD
                  
                  
                    Bank of Communications Co. Ltd., Class H
                    
                      
                    
                    1438993.08000000
                    USD
                    133106.83000000
                    USD
                  
                  
                    CITIC Ltd.
                    
                      
                    
                    1137163.33000000
                    USD
                    15163.76000000
                    USD
                  
                  
                    Bank of East Asia Ltd. (The)
                    
                      
                    
                    150628.69000000
                    USD
                    -1712.91000000
                    USD
                  
                  
                    China Cinda Asset Management Co. Ltd., Class H
                    
                      
                    
                    1162069.97000000
                    USD
                    4157.52000000
                    USD
                  
                  
                    Sino Land Co. Ltd.
                    
                      
                    
                    716912.68000000
                    USD
                    19994.41000000
                    USD
                  
                  
                    Hangzhou Tigermed Consulting Co. Ltd., Class H
                    
                      
                    
                    74775.39000000
                    USD
                    -14549.46000000
                    USD
                  
                  
                    Nine Dragons Paper Holdings Ltd.
                    
                      
                    
                    248346.86000000
                    USD
                    -4628.84000000
                    USD
                  
                  
                    Techtronic Industries Co. Ltd.
                    
                      
                    
                    1802415.70000000
                    USD
                    9611.96000000
                    USD
                  
                  
                    Sany Heavy Equipment International Holdings Co. Ltd.
                    
                      
                    
                    650357.15000000
                    USD
                    -33990.15000000
                    USD
                  
                  
                    Hong Kong & China Gas Co. Ltd.
                    
                      
                    
                    4956961.63000000
                    USD
                    1005342.17000000
                    USD
                  
                  
                    Li Ning Co. Ltd.
                    
                      
                    
                    1214264.13000000
                    USD
                    -87767.32000000
                    USD
                  
                  
                    Lee & Man Paper Manufacturing Ltd.
                    
                      
                    
                    44101.84000000
                    USD
                    -3479.39000000
                    USD
                  
                  
                    ANTA Sports Products Ltd.
                    
                      
                    
                    555744.11000000
                    USD
                    -1973.43000000
                    USD
                  
                  
                    Kuaishou Technology
                    
                      
                    
                    722937.86000000
                    USD
                    6320.56000000
                    USD
                  
                  
                    China Taiping Insurance Holdings Co. Ltd.
                    
                      
                    
                    1442954.10000000
                    USD
                    109969.42000000
                    USD
                  
                  
                    BYD Co. Ltd., Class H
                    
                      
                    
                    1362949.35000000
                    USD
                    -167741.12000000
                    USD
                  
                  
                    Zhuzhou CRRC Times Electric Co. Ltd.
                    
                      
                    
                    426281.68000000
                    USD
                    36031.73000000
                    USD
                  
                  
                    Vinda International Holdings Ltd.
                    
                      
                    
                    90485.49000000
                    USD
                    2231.41000000
                    USD
                  
                  
                    China National Building Material Co. Ltd., Class H
                    
                      
                    
                    1456371.96000000
                    USD
                    49536.01000000
                    USD
                  
                  
                    China Yuhua Education Corp. Ltd.
                    
                      
                    
                    571997.90000000
                    USD
                    12244.52000000
                    USD
                  
                  
                    Want Want China Holdings Ltd.
                    
                      
                    
                    39677.83000000
                    USD
                    855.84000000
                    USD
                  
                  
                    Dongfeng Motor Group Co. Ltd., Class H
                    
                      
                    
                    770468.50000000
                    USD
                    22480.97000000
                    USD
                  
                  
                    Huaneng Power International, Inc., Class H
                    
                      
                    
                    364771.13000000
                    USD
                    -96048.50000000
                    USD
                  
                  
                    Ping An Insurance Group Co. of China Ltd., Class H
                    
                      
                    
                    870387.54000000
                    USD
                    -21337.04000000
                    USD
                  
                  
                    China Railway Group Ltd., Class H
                    
                      
                    
                    837128.30000000
                    USD
                    -15792.03000000
                    USD
                  
                  
                    Henderson Land Development Co. Ltd.
                    
                      
                    
                    849216.62000000
                    USD
                    29295.38000000
                    USD
                  
                  
                    China Suntien Green Energy Corp. Ltd., Class H
                    
                      
                    
                    651925.50000000
                    USD
                    20906.07000000
                    USD
                  
                  
                    JD Health International, Inc.
                    
                      
                    
                    147893.75000000
                    USD
                    -4641.21000000
                    USD
                  
                  
                    Shenzhou International Group Holdings Ltd.
                    
                      
                    
                    1358487.99000000
                    USD
                    17034.94000000
                    USD
                  
                  
                    Shanghai Pharmaceuticals Holding Co. Ltd., Class H
                    
                      
                    
                    685283.53000000
                    USD
                    76933.74000000
                    USD
                  
                  
                    China Literature Ltd.
                    
                      
                    
                    102385.55000000
                    USD
                    13597.10000000
                    USD
                  
                  
                    Sinopharm Group Co. Ltd., Class H
                    
                      
                    
                    1441029.99000000
                    USD
                    -15839.03000000
                    USD
                  
                  
                    Power Assets Holdings Ltd.
                    
                      
                    
                    1257790.46000000
                    USD
                    -12377.59000000
                    USD
                  
                  
                    Alibaba Pictures Group Ltd.
                    
                      
                    
                    161301.46000000
                    USD
                    6287.92000000
                    USD
                  
                  
                    Swire Properties Ltd.
                    
                      
                    
                    692430.77000000
                    USD
                    -2162.13000000
                    USD
                  
                  
                    AIA Group Ltd.
                    
                      
                    
                    5016281.91000000
                    USD
                    -629277.86000000
                    USD
                  
                  
                    Chinasoft International Ltd.
                    
                      
                    
                    536057.91000000
                    USD
                    22868.94000000
                    USD
                  
                  
                    Kingsoft Corp. Ltd.
                    
                      
                    
                    520539.59000000
                    USD
                    14066.71000000
                    USD
                  
                  
                    CK Hutchison Holdings Ltd.
                    
                      
                    
                    7685343.20000000
                    USD
                    582226.83000000
                    USD
                  
                  
                    Haitong Securities Co. Ltd., Class H
                    
                      
                    
                    433452.46000000
                    USD
                    -20868.24000000
                    USD
                  
                  
                    CSPC Pharmaceutical Group Ltd.
                    
                      
                    
                    1265014.39000000
                    USD
                    56146.14000000
                    USD
                  
                  
                    Tencent Holdings Ltd.
                    
                      
                    
                    165939.64000000
                    USD
                    10882.62000000
                    USD
                  
                  
                    People's Insurance Co. Group of China Ltd. (The), Class H
                    
                      
                    
                    1348163.57000000
                    USD
                    103505.86000000
                    USD
                  
                  
                    Innovent Biologics, Inc.
                    
                      
                    
                    523278.30000000
                    USD
                    14619.35000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-13
            0.00000000
            USD
            0.00000000
            USD
            173500302.00000000
            USD
            2365527.96000000
          
        
        
          N
          N
          N
        
      
      
        Amplifon SpA
        ZYXJDNVM2JI3VBM8G556
        Amplifon SpA
        N/A
        
          
          
        
        -57441.00000000
        NS
        
        -2556404.30000000
        -0.33323540111
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36882.70000000
        0.004807776817
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5585402.25000000
            USD
            49521477.00000000
            NOK
            2022-06-15
            36882.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21928.54000000
        0.002858454675
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1769716.00000000
            EUR
            1985222.09000000
            USD
            2022-06-15
            21928.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3643.02000000
        -0.00047487920
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2115669.66000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            -3643.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10946.84000000
        0.001426955281
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            36450000.00000000
            NOK
            4149197.53000000
            USD
            2022-06-15
            10946.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15991.89000000
        0.002084593535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5599276.00000000
            GBP
            7369364.28000000
            USD
            2022-06-15
            15991.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1060.05000000
        -0.00013818087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2376545.76000000
            USD
            3170500.00000000
            AUD
            2022-06-15
            -1060.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        284997.15000000
        0.037150281587
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3989181.68000000
            USD
            20784434.00000000
            BRL
            2022-06-15
            284997.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44215.47000000
        0.005763626622
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4455998.29000000
            USD
            4056500.00000000
            EUR
            2022-06-15
            44215.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17232.13000000
        0.002246262749
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            338834.91000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17232.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11181.75000000
        0.001457576544
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            463231.43000000
            USD
            2008000.00000000
            PLN
            2022-06-15
            11181.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        33600000.00000000
        PA
        
        -303999.37000000
        -0.03962728117
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-13
            0.00000000
            USD
            573739.85000000
            USD
            33600000.00000000
            CAD
            -303999.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11163.80000000
        0.001455236705
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            949275.79000000
            USD
            3058000.00000000
            ILS
            2022-06-15
            11163.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8287.66000000
        0.001080322742
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7153000.00000000
            GBP
            9402122.28000000
            USD
            2022-06-15
            8287.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -5.00000000
        NC
        USD
        -46587.86000000
        -0.00607287517
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-16
            -1296729.98000000
            USD
            -46587.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15326.90000000
        0.001997909982
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            503838.12000000
            USD
            1653000.00000000
            ILS
            2022-06-15
            15326.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        130423.04000000
        0.017001056542
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4613578.00000000
            GBP
            6189305.85000000
            USD
            2022-06-15
            130423.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        68525.60000000
        0.008932529100
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4132168.00000000
            GBP
            5495186.14000000
            USD
            2022-06-15
            68525.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        259165.67000000
        0.033783066316
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2033785000.00000000
            JPY
            16997757.21000000
            USD
            2022-06-15
            259165.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -276.85000000
        -0.00003608827
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            80500.00000000
            ILS
            25006.14000000
            USD
            2022-06-15
            -276.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        76759.46000000
        0.010005838842
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740996.00000000
            KRW
            5267956.07000000
            USD
            2022-06-15
            76759.46000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796R35
        
          
          
        
        27072000.00000000
        PA
        USD
        27052542.00000000
        3.526384572515
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1064.52000000
        -0.00013876355
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490625.00000000
            ZAR
            32196.34000000
            USD
            2022-06-15
            -1064.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2585.01000000
        0.000336964244
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1949000.00000000
            GBP
            2562152.14000000
            USD
            2022-06-15
            2585.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20610.36000000
        0.002686625735
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            12655500.00000000
            NOK
            1457417.81000000
            USD
            2022-06-15
            20610.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46.41000000
        0.000006049690
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12041.69000000
            USD
            345000.00000000
            TWD
            2022-06-15
            46.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34661.63000000
        -0.00451825330
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3235770.93000000
            USD
            30041722.00000000
            SEK
            2022-06-15
            -34661.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        77372.82000000
        0.010085792262
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4834588.00000000
            GBP
            6426501.87000000
            USD
            2022-06-15
            77372.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34493.30000000
        -0.00449631095
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2459500.00000000
            BRL
            471286.31000000
            USD
            2022-06-15
            -34493.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        81507499.43000000
        PA
        
        151665.05000000
        0.019770019856
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus AOISR +/- spread (-0.13% to 0.04%). AUD Currency. Maturity 35-61 Months 01/13/25 to 04/01/27
                
                  
                    Atlas Arteria Ltd.
                    
                      
                    
                    1977267.92000000
                    USD
                    27499.96000000
                    USD
                  
                  
                    Treasury Wine Estates Ltd.
                    
                      
                    
                    787935.93000000
                    USD
                    9363.07000000
                    USD
                  
                  
                    SEEK Ltd.
                    
                      
                    
                    1569328.57000000
                    USD
                    -105990.51000000
                    USD
                  
                  
                    Australia & New Zealand Banking Group Ltd.
                    
                      
                    
                    362096.59000000
                    USD
                    29351.41000000
                    USD
                  
                  
                    WiseTech Global Ltd.
                    
                      
                    
                    423022.31000000
                    USD
                    -16832.65000000
                    USD
                  
                  
                    APA Group
                    
                      
                    
                    5041508.03000000
                    USD
                    -358778.37000000
                    USD
                  
                  
                    Boral Ltd.
                    
                      
                    
                    566458.29000000
                    USD
                    -30302.45000000
                    USD
                  
                  
                    Washington H Soul Pattinson & Co. Ltd.
                    
                      
                    
                    650308.81000000
                    USD
                    -78896.67000000
                    USD
                  
                  
                    Medibank Pvt Ltd.
                    
                      
                    
                    2726857.00000000
                    USD
                    -13279.14000000
                    USD
                  
                  
                    CIMIC Group Ltd.
                    
                      
                    
                    103151.84000000
                    USD
                    404.33000000
                    USD
                  
                  
                    Seven Group Holdings Ltd.
                    
                      
                    
                    350486.80000000
                    USD
                    -16754.17000000
                    USD
                  
                  
                    Cochlear Ltd.
                    
                      
                    
                    1238016.23000000
                    USD
                    -45900.82000000
                    USD
                  
                  
                    Woolworths Group Ltd.
                    
                      
                    
                    785744.56000000
                    USD
                    -27303.56000000
                    USD
                  
                  
                    CSL Ltd.
                    
                      
                    
                    762834.10000000
                    USD
                    -26938.92000000
                    USD
                  
                  
                    Santos Ltd.
                    
                      
                    
                    620109.81000000
                    USD
                    1780.77000000
                    USD
                  
                  
                    Cleanaway Waste Management Ltd.
                    
                      
                    
                    978519.71000000
                    USD
                    90117.57000000
                    USD
                  
                  
                    Coles Group Ltd.
                    
                      
                    
                    65276.86000000
                    USD
                    1971.48000000
                    USD
                  
                  
                    Incitec Pivot Ltd.
                    
                      
                    
                    1412498.20000000
                    USD
                    81339.93000000
                    USD
                  
                  
                    Transurban Group
                    
                      
                    
                    68383.57000000
                    USD
                    -1041.40000000
                    USD
                  
                  
                    Ramsay Health Care Ltd.
                    
                      
                    
                    504985.38000000
                    USD
                    -33928.27000000
                    USD
                  
                  
                    South32 Ltd.
                    
                      
                    
                    1473512.93000000
                    USD
                    44220.98000000
                    USD
                  
                  
                    Computershare Ltd.
                    
                      
                    
                    370614.34000000
                    USD
                    55074.74000000
                    USD
                  
                  
                    Insurance Australia Group Ltd.
                    
                      
                    
                    2071067.95000000
                    USD
                    -48244.11000000
                    USD
                  
                  
                    carsales.com Ltd.
                    
                      
                    
                    535343.77000000
                    USD
                    18333.97000000
                    USD
                  
                  
                    Northern Star Resources Ltd.
                    
                      
                    
                    904896.84000000
                    USD
                    12818.49000000
                    USD
                  
                  
                    BHP Group Ltd.
                    
                      
                    
                    312658.64000000
                    USD
                    20698.69000000
                    USD
                  
                  
                    AMP Ltd.
                    
                      
                    
                    160394.60000000
                    USD
                    -8739.78000000
                    USD
                  
                  
                    Mineral Resources Ltd.
                    
                      
                    
                    275153.36000000
                    USD
                    27979.37000000
                    USD
                  
                  
                    Qube Holdings Ltd.
                    
                      
                    
                    3186325.20000000
                    USD
                    164535.28000000
                    USD
                  
                  
                    Newcrest Mining Ltd.
                    
                      
                    
                    49952.68000000
                    USD
                    -288.74000000
                    USD
                  
                  
                    Suncorp Group Ltd.
                    
                      
                    
                    182414.71000000
                    USD
                    13147.08000000
                    USD
                  
                  
                    Origin Energy Ltd.
                    
                      
                    
                    385662.47000000
                    USD
                    3820.56000000
                    USD
                  
                  
                    AGL Energy Ltd.
                    
                      
                    
                    596811.95000000
                    USD
                    28934.40000000
                    USD
                  
                  
                    Brambles Ltd.
                    
                      
                    
                    2442610.28000000
                    USD
                    46472.84000000
                    USD
                  
                  
                    Commonwealth Bank of Australia
                    
                      
                    
                    152149.58000000
                    USD
                    -10930.77000000
                    USD
                  
                  
                    OZ Minerals Ltd.
                    
                      
                    
                    327981.39000000
                    USD
                    -7528.55000000
                    USD
                  
                  
                    Lendlease Corp. Ltd.
                    
                      
                    
                    95688.15000000
                    USD
                    -686.26000000
                    USD
                  
                  
                    IGO Ltd.
                    
                      
                    
                    1121225.66000000
                    USD
                    -74932.09000000
                    USD
                  
                  
                    Tabcorp Holdings Ltd.
                    
                      
                    
                    3095370.90000000
                    USD
                    188982.62000000
                    USD
                  
                  
                    Magellan Financial Group Ltd.
                    
                      
                    
                    1590940.33000000
                    USD
                    51090.64000000
                    USD
                  
                  
                    Evolution Mining Ltd.
                    
                      
                    
                    1109046.82000000
                    USD
                    22113.41000000
                    USD
                  
                  
                    Domino's Pizza Enterprises Ltd.
                    
                      
                    
                    713884.24000000
                    USD
                    55883.25000000
                    USD
                  
                  
                    Telstra Corp. Ltd.
                    
                      
                    
                    1564267.75000000
                    USD
                    8676.09000000
                    USD
                  
                  
                    James Hardie Industries plc
                    
                      
                    
                    1123699.08000000
                    USD
                    70148.17000000
                    USD
                  
                  
                    Qantas Airways Ltd.
                    
                      
                    
                    1654792.80000000
                    USD
                    -153794.38000000
                    USD
                  
                  
                    Ampol Ltd.
                    
                      
                    
                    295445.50000000
                    USD
                    19161.62000000
                    USD
                  
                  
                    IDP Education Ltd.
                    
                      
                    
                    3976963.30000000
                    USD
                    -337906.48000000
                    USD
                  
                  
                    Orica Ltd.
                    
                      
                    
                    251582.17000000
                    USD
                    -18384.15000000
                    USD
                  
                  
                    NEXTDC Ltd.
                    
                      
                    
                    719480.90000000
                    USD
                    -33935.19000000
                    USD
                  
                  
                    Lynas Rare Earths Ltd.
                    
                      
                    
                    1673815.59000000
                    USD
                    -119471.23000000
                    USD
                  
                  
                    Macquarie Group Ltd.
                    
                      
                    
                    191613.65000000
                    USD
                    -21969.88000000
                    USD
                  
                  
                    Fortescue Metals Group Ltd.
                    
                      
                    
                    1390091.44000000
                    USD
                    117666.47000000
                    USD
                  
                  
                    REA Group Ltd.
                    
                      
                    
                    987155.77000000
                    USD
                    -39552.12000000
                    USD
                  
                  
                    Wesfarmers Ltd.
                    
                      
                    
                    1004420.69000000
                    USD
                    -14911.37000000
                    USD
                  
                  
                    Harvey Norman Holdings Ltd.
                    
                      
                    
                    1801316.96000000
                    USD
                    13583.42000000
                    USD
                  
                  
                    Pro Medicus Ltd.
                    
                      
                    
                    2644.56000000
                    USD
                    -12.28000000
                    USD
                  
                  
                    Pilbara Minerals Ltd.
                    
                      
                    
                    2427809.69000000
                    USD
                    -247304.32000000
                    USD
                  
                  
                    Xero Ltd.
                    
                      
                    
                    1795334.25000000
                    USD
                    -74711.08000000
                    USD
                  
                  
                    QBE Insurance Group Ltd.
                    
                      
                    
                    1350123.52000000
                    USD
                    -127273.36000000
                    USD
                  
                  
                    BlueScope Steel Ltd.
                    
                      
                    
                    2462389.44000000
                    USD
                    197208.26000000
                    USD
                  
                  
                    Aristocrat Leisure Ltd.
                    
                      
                    
                    1646516.01000000
                    USD
                    45400.75000000
                    USD
                  
                  
                    Sonic Healthcare Ltd.
                    
                      
                    
                    671356.16000000
                    USD
                    41167.17000000
                    USD
                  
                  
                    JB Hi-Fi Ltd.
                    
                      
                    
                    3929125.11000000
                    USD
                    317228.62000000
                    USD
                  
                  
                    Worley Ltd.
                    
                      
                    
                    1891607.36000000
                    USD
                    49789.51000000
                    USD
                  
                  
                    Alumina Ltd.
                    
                      
                    
                    1249088.98000000
                    USD
                    -22775.20000000
                    USD
                  
                  
                    Reece Ltd.
                    
                      
                    
                    1496839.09000000
                    USD
                    -9396.00000000
                    USD
                  
                  
                    Aurizon Holdings Ltd.
                    
                      
                    
                    3801522.36000000
                    USD
                    196619.49000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-13
            0.00000000
            USD
            0.00000000
            USD
            81507499.00000000
            USD
            -56109.85999999
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Long Gilt
        N/A
        
          
          
          
        
        -1805.00000000
        NC
        
        1968544.37000000
        0.256605996459
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                Long Gilt
                
                  
                
              
            
            2022-06-28
            -219199200.00000000
            GBP
            1968544.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -1.00000000
        NC
        USD
        -10946.85000000
        -0.00142695658
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-23
            -259262.50000000
            USD
            -10946.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -396.00000000
        NC
        
        37500.75000000
        0.004888341593
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2022-12-19
            -96109200.00000000
            CAD
            37500.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -84867.74000000
        -0.01106277883
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1752326.57000000
            USD
            559520278.00000000
            HUF
            2022-06-15
            -84867.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15694.91000000
        0.002045881251
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            340372.13000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            15694.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1079860.46000000
        0.140763232771
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            28157604.94000000
            USD
            39022497.00000000
            AUD
            2022-06-15
            1079860.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        778.29000000
        0.000101452567
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            210500.00000000
            CAD
            169127.03000000
            USD
            2022-06-15
            778.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -11804.58000000
        -0.00153876440
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1835126.82000000
            USD
            139781086.00000000
            INR
            2022-06-15
            -11804.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -179.31000000
        -0.00002337362
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15718.65000000
            USD
            443500.00000000
            TWD
            2022-06-15
            -179.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8299.41000000
        0.001081854392
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7153000.00000000
            GBP
            9402134.03000000
            USD
            2022-06-15
            8299.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -372884.94000000
        -0.04860673350
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15139500.00000000
            NZD
            10106247.00000000
            USD
            2022-06-15
            -372884.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1523.54000000
        0.000198598266
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            264173.78000000
            USD
            239500.00000000
            EUR
            2022-06-15
            1523.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8455.31000000
        -0.00110217645
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2120482.10000000
            USD
            13479031.00000000
            CNY
            2022-06-15
            -8455.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3059.65000000
        -0.00039883507
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3315103.36000000
            USD
            4420500.00000000
            AUD
            2022-06-15
            -3059.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        73900000.00000000
        PA
        
        -429820.93000000
        -0.05602852022
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-09-23
            0.00000000
            USD
            1883286.94000000
            USD
            73900000.00000000
            GBP
            -429820.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -14.00000000
        NC
        USD
        -145588.33000000
        -0.01897790014
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-13
            -3629713.50000000
            USD
            -145588.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15205.53000000
        0.001982089018
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1599000.00000000
            EUR
            1789109.59000000
            USD
            2022-06-15
            15205.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6191.79000000
        -0.00080711944
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            100755.46000000
            USD
            2022-06-15
            -6191.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41297.62000000
        0.005383275628
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1526032.02000000
            USD
            2022-06-15
            41297.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        37729.06000000
        0.004918102525
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1298016.00000000
            EUR
            1477726.46000000
            USD
            2022-06-15
            37729.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1266.99000000
        -0.00016515616
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            131225.84000000
            USD
            1917000.00000000
            ZAR
            2022-06-15
            -1266.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -49374.39000000
        -0.00643610819
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4111500.00000000
            CHF
            4414157.80000000
            USD
            2022-06-15
            -49374.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1883.01000000
        -0.00024545632
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            34329000.00000000
            INR
            445908.83000000
            USD
            2022-06-15
            -1883.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -217186.60000000
        -0.02831096152
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6445162.37000000
            USD
            4742335.00000000
            GBP
            2022-06-15
            -217186.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -316618.66000000
        -0.04127224561
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10750000.00000000
            AUD
            7737780.14000000
            USD
            2022-06-15
            -316618.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1778.55000000
        -0.00023183962
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200749.00000000
            CLP
            56208.43000000
            USD
            2022-06-15
            -1778.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1803.09000000
        -0.00023503849
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200750.00000000
            CLP
            56183.89000000
            USD
            2022-06-15
            -1803.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13374.48000000
        -0.00174340584
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3269599.33000000
            USD
            4346000.00000000
            AUD
            2022-06-15
            -13374.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -946958.64000000
        -0.12343905940
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            16760941.52000000
            USD
            1921442500.00000000
            JPY
            2022-06-15
            -946958.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15185.94000000
        -0.00197953539
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1048500.00000000
            BRL
            200431.02000000
            USD
            2022-06-15
            -15185.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        806.33000000
        0.000105107670
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2037000.00000000
            CNY
            319983.47000000
            USD
            2022-06-15
            806.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        7496850000.00000000
        PA
        
        141970.45000000
        0.018506298026
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-09
            0.00000000
            USD
            0.00000000
            USD
            7496850000.00000000
            KRW
            141970.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22319.61000000
        0.002909431888
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1769714.00000000
            EUR
            1985610.95000000
            USD
            2022-06-15
            22319.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4469.84000000
        0.000582657807
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1307190.00000000
            EUR
            1454644.73000000
            USD
            2022-06-15
            4469.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        130621.63000000
        0.017026943378
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4585952.00000000
            GBP
            6153223.99000000
            USD
            2022-06-15
            130621.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40699.01000000
        0.005305244918
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            20987000.00000000
            NOK
            2423400.45000000
            USD
            2022-06-15
            40699.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -18.68000000
        -0.00000243499
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            21500.00000000
            MXN
            1048.06000000
            USD
            2022-06-15
            -18.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7150.70000000
        0.000932116403
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            493092.90000000
            USD
            7379005.00000000
            ZAR
            2022-06-15
            7150.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20669.48000000
        0.002694332214
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            335397.56000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            20669.48000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796U49
        
          
          
        
        53349000.00000000
        PA
        USD
        53118472.03000000
        6.924161148412
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21607.86000000
        0.002816653020
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1378898.00000000
            EUR
            1551334.41000000
            USD
            2022-06-15
            21607.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2653.45000000
        0.000345885615
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2921334.74000000
            USD
            27441000.00000000
            SEK
            2022-06-15
            2653.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3695.32000000
        -0.00048169667
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168741.98000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3695.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4948.95000000
        -0.00064511131
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4133500.00000000
            MXN
            200138.08000000
            USD
            2022-06-15
            -4948.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        3400000.00000000
        PA
        USD
        -47325.61000000
        -0.00616904322
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2032-09-21
            0.00000000
            USD
            157643.00000000
            USD
            3400000.00000000
            USD
            -47325.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46937.25000000
        0.006118419270
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3123554.76000000
            USD
            4580500.00000000
            NZD
            2022-06-15
            46937.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2664.03000000
        0.000347264752
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            360033.89000000
            USD
            524000.00000000
            NZD
            2022-06-15
            2664.03000000
          
        
        
          N
          N
          N
        
      
      
        DiaSorin SpA
        8156002878BDF0EE4348
        DiaSorin SpA
        N/A
        
          
          
        
        -1320.00000000
        NS
        
        -206175.06000000
        -0.02687557238
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        29941.55000000
        0.003902975919
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5533255.09000000
            USD
            49001023.00000000
            NOK
            2022-06-15
            29941.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6824.84000000
        -0.00088963952
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9089000.00000000
            MXN
            444133.44000000
            USD
            2022-06-15
            -6824.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        86855.89000000
        0.011321940486
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6976593.44000000
            USD
            8832000.00000000
            CAD
            2022-06-15
            86855.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -609115.41000000
        -0.07940012382
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11846802.25000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -609115.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22322.09000000
        0.002909755164
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1769714.00000000
            EUR
            1985613.43000000
            USD
            2022-06-15
            22322.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        216.31000000
        0.000028196693
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4993.35000000
            USD
            105000.00000000
            MXN
            2022-06-15
            216.31000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796K57
        
          
          
        
        38610000.00000000
        PA
        USD
        38542239.45000000
        5.024103043133
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-07-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -48979.62000000
        -0.00638464867
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18833261.00000000
            ILS
            5866065.96000000
            USD
            2022-06-15
            -48979.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40718.31000000
        0.005307760734
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            743784500.00000000
            JPY
            6162262.59000000
            USD
            2022-06-15
            40718.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        78155.59000000
        0.010187828812
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1393412.71000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            78155.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3716.87000000
        -0.00048450578
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168763.53000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3716.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        171900000.00000000
        PA
        
        -2451799.26000000
        -0.31959980268
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-13
            0.00000000
            USD
            88647.20000000
            USD
            171900000.00000000
            AUD
            -2451799.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34657.58000000
        -0.00451772537
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3235766.88000000
            USD
            30041722.00000000
            SEK
            2022-06-15
            -34657.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        54693100000.00000000
        PA
        
        344539.55000000
        0.044911822103
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-24
            101472.79000000
            USD
            0.00000000
            USD
            54693100000.00000000
            JPY
            344539.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        243.12000000
        0.000031691462
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1148000.00000000
            TWD
            40466.70000000
            USD
            2022-06-15
            243.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        134456.66000000
        0.017526851690
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4601814.00000000
            GBP
            6177890.14000000
            USD
            2022-06-15
            134456.66000000
          
        
        
          N
          N
          N
        
      
      
        Ferrari NV
        549300RIVY5EX8RCON76
        Ferrari NV
        N/A
        
          
          
        
        -13822.00000000
        NS
        
        -3011256.52000000
        -0.39252682930
        Short
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        HSCEI
        N/A
        
          
          
        
        -75.00000000
        NC
        
        -9773.74000000
        -0.00127403797
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              HKCC & SEOCH
              213800NM8ZN1F16ARD34
            
            Short
            
              
                HSCEI
                HK0000004330
              
            
            2022-04-28
            -28203750.00000000
            HKD
            -9773.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4241.46000000
        0.000552887751
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274436.00000000
            TWD
            189046.94000000
            USD
            2022-06-15
            4241.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -120.22000000
        -0.00001567105
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18431.71000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -120.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7848.00000000
        0.001023011668
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            487417.20000000
            USD
            619270.00000000
            CAD
            2022-06-15
            7848.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3275.42000000
        -0.00042696137
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2235321.00000000
            ILS
            698781.73000000
            USD
            2022-06-15
            -3275.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -21.00000000
        NC
        USD
        -130159.67000000
        -0.01696672542
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-10
            -5447662.50000000
            USD
            -130159.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53.85000000
        0.000007019518
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4971.34000000
            USD
            16000.00000000
            ILS
            2022-06-15
            53.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -32010.90000000
        -0.00417272224
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13779986.71000000
            USD
            129021795.00000000
            SEK
            2022-06-15
            -32010.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        70611.74000000
        0.009204464060
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1227962.31000000
            USD
            435740000.00000000
            HUF
            2022-06-15
            70611.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53565.28000000
        0.006982403983
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2252550.48000000
            USD
            20312428.00000000
            NOK
            2022-06-15
            53565.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3041.09000000
        -0.00039641571
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            391104.00000000
            ILS
            119794.67000000
            USD
            2022-06-15
            -3041.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -416796.66000000
        -0.05433076535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13943000.00000000
            AUD
            10029945.90000000
            USD
            2022-06-15
            -416796.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17784.06000000
        -0.00231820857
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1085923500.00000000
            JPY
            8919655.20000000
            USD
            2022-06-15
            -17784.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3076.92000000
        0.000401086271
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1292881000.00000000
            KRW
            1066596.95000000
            USD
            2022-06-15
            3076.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8377.83000000
        0.001092076687
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1751538.20000000
            USD
            5603500.00000000
            ILS
            2022-06-15
            8377.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43244.12000000
        0.005637008071
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312500.00000000
            PLN
            825860.48000000
            USD
            2022-06-15
            43244.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        377648.73000000
        0.049227708630
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3896530.51000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            377648.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23454.55000000
        0.003057374914
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2077816.85000000
            USD
            19719980.00000000
            SEK
            2022-06-15
            23454.55000000
          
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        N/A
        
          
          
        
        308738.00000000
        NS
        
        4502396.19000000
        0.586901610346
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        93504180.00000000
        PA
        
        5191776.44000000
        0.676764510409
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-17
            0.00000000
            USD
            0.00000000
            USD
            93504180.00000000
            CHF
            5191776.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        153685.34000000
        0.020033371059
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7858892.41000000
            USD
            11575999.00000000
            NZD
            2022-06-15
            153685.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1216.57000000
        -0.00015858375
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            316000.00000000
            EUR
            349348.58000000
            USD
            2022-06-15
            -1216.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6449.23000000
        0.000840677566
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            474250.81000000
            USD
            601058.00000000
            CAD
            2022-06-15
            6449.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1980.40000000
        -0.00025815141
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6131000.00000000
            MXN
            302214.25000000
            USD
            2022-06-15
            -1980.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -102432.21000000
        -0.01335236315
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            8305129.12000000
            USD
            6246000.00000000
            GBP
            2022-06-15
            -102432.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -333338.02000000
        -0.04345166717
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6357221.97000000
            USD
            731918500.00000000
            JPY
            2022-06-15
            -333338.02000000
          
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        N/A
        
          
          
        
        -36006.00000000
        NS
        
        -388423.75000000
        -0.05063226663
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34162.11000000
        0.004453139289
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4650209.30000000
            USD
            4222500.00000000
            EUR
            2022-06-15
            34162.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54536.75000000
        -0.00710903817
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4103500.00000000
            BRL
            789320.38000000
            USD
            2022-06-15
            -54536.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Notes
        N/A
        
          
          
        
        354.00000000
        NC
        USD
        -188984.12000000
        -0.02463467888
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury 10 Year Notes
                
                  
                
              
            
            2022-06-21
            43453500.00000000
            USD
            -188984.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41.38000000
        0.000005394014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4041.59000000
            USD
            13000.00000000
            ILS
            2022-06-15
            41.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8937.49000000
        -0.00116503014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            98009.76000000
            USD
            2022-06-15
            -8937.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7534.23000000
        -0.00098211075
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520063.00000000
            BRL
            99413.22000000
            USD
            2022-06-15
            -7534.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        12084841.38000000
        PA
        
        1212440.21000000
        0.158045423296
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Italy Net Return Index
                M7IT Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            12084841.38000000
            EUR
            1212440.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6191.67000000
        -0.00080710380
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520063.00000000
            BRL
            100755.78000000
            USD
            2022-06-15
            -6191.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20330.03000000
        0.002650083831
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            261187.62000000
            USD
            94464000.00000000
            HUF
            2022-06-15
            20330.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39748.57000000
        0.005181352052
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1300720.00000000
            EUR
            1482745.75000000
            USD
            2022-06-15
            39748.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44.28000000
        0.000005772038
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            83000.00000000
            CNY
            13049.53000000
            USD
            2022-06-15
            44.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2.18000000
        0.000000284169
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3500.00000000
            TWD
            124.81000000
            USD
            2022-06-15
            2.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1110.80000000
        -0.00014479629
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200750.00000000
            CLP
            56876.18000000
            USD
            2022-06-15
            -1110.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -374.49000000
        -0.00004881595
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15738.64000000
            USD
            438500.00000000
            TWD
            2022-06-15
            -374.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5901.38000000
        -0.00076926358
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1482622.10000000
            USD
            2001500.00000000
            SGD
            2022-06-15
            -5901.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40798.34000000
        0.005318192898
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338344.00000000
            EUR
            1525534.96000000
            USD
            2022-06-15
            40798.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21.34000000
        0.000002781736
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            313500.00000000
            TWD
            11005.74000000
            USD
            2022-06-15
            21.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        6400000.00000000
        PA
        
        -26254.78000000
        -0.00342239376
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-09-09
            116263.57000000
            USD
            0.00000000
            USD
            6400000.00000000
            AUD
            -26254.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11021.27000000
        0.001436657468
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            141369500.00000000
            INR
            1855062.98000000
            USD
            2022-06-15
            11021.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        45.07000000
        0.000005875017
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            663.71000000
            USD
            3000.00000000
            PLN
            2022-06-15
            45.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3502.78000000
        0.000456598472
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            109323.62000000
            USD
            2274000.00000000
            MXN
            2022-06-15
            3502.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1523.21000000
        0.000198555250
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            264174.11000000
            USD
            239500.00000000
            EUR
            2022-06-15
            1523.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -175382.49000000
        -0.02286166331
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9572500.00000000
            CHF
            10216727.90000000
            USD
            2022-06-15
            -175382.49000000
          
        
        
          N
          N
          N
        
      
      
        CNH Industrial NV
        549300WGC2HZ5J67V817
        CNH Industrial NV
        N/A
        
          
          
        
        -65465.00000000
        NS
        
        -1031125.16000000
        -0.13441043198
        Short
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        777.35000000
        0.000101330035
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            24034.53000000
            USD
            79000.00000000
            ILS
            2022-06-15
            777.35000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        500490643.08000034
        PA
        
        -559303.20999999
        -0.07290694571
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus TONAR +/- spread (-0.30% to 0.01%). JPY Currency. Maturity 35-61 Months 01/14/25 to 04/01/27
                
                  
                    Lawson, Inc.
                    
                      
                    
                    689038.64000000
                    USD
                    9555.38000000
                    USD
                  
                  
                    Sumitomo Mitsui Trust Holdings, Inc.
                    
                      
                    
                    689946.33000000
                    USD
                    32421.68000000
                    USD
                  
                  
                    Showa Denko KK
                    
                      
                    
                    817425.79000000
                    USD
                    209124.75000000
                    USD
                  
                  
                    Haseko Corp.
                    
                      
                    
                    1428835.48000000
                    USD
                    38736.52000000
                    USD
                  
                  
                    Fast Retailing Co. Ltd.
                    
                      
                    
                    2050628.84000000
                    USD
                    -124578.49000000
                    USD
                  
                  
                    Shin-Etsu Chemical Co. Ltd.
                    
                      
                    
                    30386.67000000
                    USD
                    -685.97000000
                    USD
                  
                  
                    Fancl Corp.
                    
                      
                    
                    1643893.59000000
                    USD
                    124813.70000000
                    USD
                  
                  
                    GMO Payment Gateway, Inc.
                    
                      
                    
                    1731894.81000000
                    USD
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                    143694.88000000
                    USD
                  
                  
                    Daiichi Sankyo Co. Ltd.
                    
                      
                    
                    3871699.81000000
                    USD
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                    USD
                  
                  
                    SMC Corp.
                    
                      
                    
                    1676982.27000000
                    USD
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                    USD
                  
                  
                    Odakyu Electric Railway Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Justsystems Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nintendo Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    JSR Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Rohm Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Japan Airlines Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Tsuruha Holdings, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Medipal Holdings Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nippon Sanso Holdings Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Fuji Electric Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Kuraray Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Resona Holdings, Inc.
                    
                      
                    
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                    USD
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                    Hitachi Ltd.
                    
                      
                    
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                    USD
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                    Mitsubishi Corp.
                    
                      
                    
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                    Kyowa Kirin Co. Ltd.
                    
                      
                    
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                    Daiwa Securities Group, Inc.
                    
                      
                    
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                    DeNA Co. Ltd.
                    
                      
                    
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                    Sumitomo Chemical Co. Ltd.
                    
                      
                    
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                    USD
                  
                  
                    Sumitomo Metal Mining Co. Ltd.
                    
                      
                    
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                    USD
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                    Mitsubishi Motors Corp.
                    
                      
                    
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                    Hitachi Transport System Ltd.
                    
                      
                    
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                    Hino Motors Ltd.
                    
                      
                    
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                    Toyota Tsusho Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
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                    USD
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                    USD
                  
                  
                    Secom Co. Ltd.
                    
                      
                    
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                    USD
                  
                  
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                    Subaru Corp.
                    
                      
                    
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                    USD
                  
                  
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                    USD
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                    USD
                  
                  
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                    USD
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                    USD
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                    USD
                  
                  
                    THK Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nippo Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Hirose Electric Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Hitachi Metals Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Toyota Industries Corp.
                    
                      
                    
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                    USD
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                    Mitsui OSK Lines Ltd.
                    
                      
                    
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                    USD
                  
                  
                    Makita Corp.
                    
                      
                    
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                    Park24 Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nippon Paint Holdings Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nissin Foods Holdings Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Toho Gas Co. Ltd.
                    
                      
                    
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                    USD
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                    Keyence Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Santen Pharmaceutical Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    TOTO Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Tokyo Electron Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nichirei Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Kyushu Railway Co.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Kao Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    M3, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Azbil Corp.
                    
                      
                    
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                    USD
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                    Tokyu Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Tosoh Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Welcia Holdings Co. Ltd.
                    
                      
                    
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                    USD
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                    Sumitomo Electric Industries Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    AGC, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Daifuku Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Kyushu Electric Power Co., Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Ajinomoto Co., Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Seven & i Holdings Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Disco Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Sekisui House Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Lixil Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Suntory Beverage & Food Ltd.
                    
                      
                    
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                    USD
                    156379.94000000
                    USD
                  
                  
                    Mitsubishi HC Capital, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Obayashi Corp.
                    
                      
                    
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                    USD
                    101109.40000000
                    USD
                  
                  
                    Pan Pacific International Holdings Corp.
                    
                      
                    
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                    USD
                    -277979.88000000
                    USD
                  
                  
                    Hikari Tsushin, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Rakuten Group, Inc.
                    
                      
                    
                    2008140.00000000
                    USD
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                    USD
                  
                  
                    Mitsui Chemicals, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Chugai Pharmaceutical Co. Ltd.
                    
                      
                    
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                    USD
                    -277651.00000000
                    USD
                  
                  
                    JTEKT Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Kintetsu Group Holdings Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    KDDI Corp.
                    
                      
                    
                    22950.65000000
                    USD
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                    USD
                  
                  
                    Nihon M&A Center Holdings, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Hankyu Hanshin Holdings, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Oracle Corp. Japan
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Keikyu Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Fukuoka Financial Group, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    NGK Insulators Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Seibu Holdings, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Zensho Holdings Co. Ltd.
                    
                      
                    
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                    MISUMI Group, Inc.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Nomura Research Institute Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Chugoku Electric Power Co., Inc. (The)
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Yaskawa Electric Corp.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Brother Industries Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    Sompo Holdings, Inc.
                    
                      
                    
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                    USD
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                    Kansai Paint Co. Ltd.
                    
                      
                    
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                    Lion Corp.
                    
                      
                    
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                    Aisin Corp.
                    
                      
                    
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                    SG Holdings Co. Ltd.
                    
                      
                    
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                    Hoshizaki Corp.
                    
                      
                    
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                    Oriental Land Co. Ltd.
                    
                      
                    
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                    BayCurrent Consulting, Inc.
                    
                      
                    
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                    Ebara Corp.
                    
                      
                    
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                    Mitsubishi Heavy Industries Ltd.
                    
                      
                    
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                    Food & Life Cos. Ltd.
                    
                      
                    
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                    Hakuhodo DY Holdings, Inc.
                    
                      
                    
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                    PeptiDream, Inc.
                    
                      
                    
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                    MINEBEA MITSUMI, Inc.
                    
                      
                    
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                    Miura Co. Ltd.
                    
                      
                    
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                    Mazda Motor Corp.
                    
                      
                    
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                    Rohto Pharmaceutical Co. Ltd.
                    
                      
                    
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                    17431.40000000
                    USD
                  
                  
                    Mitsubishi Gas Chemical Co., Inc.
                    
                      
                    
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                    112435.50000000
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                    Sumitomo Pharma Co. Ltd.
                    
                      
                    
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                    USD
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                    USD
                  
                  
                    NH Foods Ltd.
                    
                      
                    
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                    Inpex Corp.
                    
                      
                    
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                    75129.00000000
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                    ENEOS Holdings, Inc.
                    
                      
                    
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                    127268.20000000
                    USD
                  
                  
                    Japan Post Insurance Co. Ltd.
                    
                      
                    
                    2981476.35000000
                    USD
                    291986.05000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-14
            0.00000000
            USD
            0.00000000
            USD
            500490643.00000000
            USD
            -2165596.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -17.00000000
        NC
        USD
        -187626.75000000
        -0.02445774140
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-14
            -4410352.50000000
            USD
            -187626.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
        
        25.00000000
        NC
        USD
        257344.45000000
        0.033545664518
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-21
            6482187.50000000
            USD
            257344.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13657.67000000
        0.001780320562
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11071301.27000000
            USD
            9992000.00000000
            EUR
            2022-06-15
            13657.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39489.77000000
        0.005147616652
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2418927.78000000
            USD
            7827500.00000000
            ILS
            2022-06-15
            39489.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2351.92000000
        0.000306580224
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2433000.00000000
            BRL
            502681.98000000
            USD
            2022-06-15
            2351.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -126458.86000000
        -0.01648431311
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            36547631.00000000
            SEK
            3767890.52000000
            USD
            2022-06-15
            -126458.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31071.47000000
        0.004050264572
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5222268.08000000
            USD
            2022-06-15
            31071.47000000
          
        
        
          N
          N
          N
        
      
      
        Nexi SpA
        5493000P70CQRQG8SN85
        Nexi SpA
        N/A
        
          
          
        
        -285860.00000000
        NS
        
        -3298744.13000000
        -0.43000175024
        Short
        EC
        CORP
        IT
        Y
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        69620.70000000
        0.009075278855
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5330281.93000000
            USD
            47562718.00000000
            NOK
            2022-06-15
            69620.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        778.89000000
        0.000101530779
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1822543.35000000
            USD
            139781086.00000000
            INR
            2022-06-15
            778.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9202.81000000
        -0.00119961544
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1655592.28000000
            USD
            126216915.00000000
            INR
            2022-06-15
            -9202.81000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796U64
        
          
          
        
        1670000.00000000
        PA
        USD
        1661546.25000000
        0.216587818716
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -946979.59000000
        -0.12344179030
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            16760962.47000000
            USD
            1921442500.00000000
            JPY
            2022-06-15
            -946979.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1400.98000000
        -0.00018262218
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490624.00000000
            ZAR
            31859.81000000
            USD
            2022-06-15
            -1400.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12900.21000000
        0.001681583251
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            346689.86000000
            USD
            1522000.00000000
            PLN
            2022-06-15
            12900.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34469.71000000
        0.004493235924
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10586402.00000000
            EUR
            11778848.36000000
            USD
            2022-06-15
            34469.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46.42000000
        0.000006050994
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            12041.68000000
            USD
            345000.00000000
            TWD
            2022-06-15
            46.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3565.11000000
        -0.00046472338
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3725500.00000000
            BRL
            762558.87000000
            USD
            2022-06-15
            -3565.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1553.32000000
        -0.00020248018
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            403149.30000000
            USD
            2563000.00000000
            CNY
            2022-06-15
            -1553.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8764.84000000
        -0.00114252466
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4269301.00000000
            SEK
            446152.46000000
            USD
            2022-06-15
            -8764.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42949.74000000
        -0.00559863470
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2363499.00000000
            CHF
            2522915.24000000
            USD
            2022-06-15
            -42949.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1079895.66000000
        0.140767821203
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            28157569.74000000
            USD
            39022497.00000000
            AUD
            2022-06-15
            1079895.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7817.87000000
        0.001019084127
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            470210.18000000
            USD
            597717.00000000
            CAD
            2022-06-15
            7817.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1923.09000000
        -0.00025068087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490624.00000000
            ZAR
            31337.70000000
            USD
            2022-06-15
            -1923.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3738.05000000
        -0.00048726666
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168784.71000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3738.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        72396.48000000
        0.009437110574
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3983876.00000000
            EUR
            4492042.38000000
            USD
            2022-06-15
            72396.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        56600000.00000000
        PA
        
        -939494.57000000
        -0.12246609422
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-17
            0.00000000
            USD
            1432421.35000000
            USD
            56600000.00000000
            GBP
            -939494.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2466.58000000
        -0.00032152651
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            109000.00000000
            CAD
            84706.88000000
            USD
            2022-06-15
            -2466.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -61435.01000000
        -0.00800824822
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18609500.00000000
            ZAR
            1200155.59000000
            USD
            2022-06-15
            -61435.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -711.25000000
        -0.00009271369
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            8850000.00000000
            JPY
            72126.60000000
            USD
            2022-06-15
            -711.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17794.54000000
        0.002319574675
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            338272.50000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17794.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        216.32000000
        0.000028197997
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4993.34000000
            USD
            105000.00000000
            MXN
            2022-06-15
            216.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3193.67000000
        0.000416305004
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            88662500.00000000
            JPY
            732909.63000000
            USD
            2022-06-15
            3193.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71059.85000000
        0.009262876618
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1400508.31000000
            USD
            21706842.00000000
            ZAR
            2022-06-15
            71059.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -126463.57000000
        -0.01648492708
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            36547631.00000000
            SEK
            3767885.81000000
            USD
            2022-06-15
            -126463.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -24.00000000
        NC
        USD
        -379085.81000000
        -0.04941503656
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-03
            -6223500.00000000
            USD
            -379085.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -914.06000000
        -0.00011915061
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490625.00000000
            ZAR
            32346.80000000
            USD
            2022-06-15
            -914.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -31092.15000000
        -0.00405296027
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3330606.26000000
            USD
            30965230.00000000
            SEK
            2022-06-15
            -31092.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -409685.11000000
        -0.05340375227
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15531690.24000000
            USD
            13631000.00000000
            EUR
            2022-06-15
            -409685.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        35428.01000000
        0.004618153366
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312498.00000000
            PLN
            818043.90000000
            USD
            2022-06-15
            35428.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        6.00000000
        NC
        USD
        65005.74000000
        0.008473704196
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-20
            1555875.00000000
            USD
            65005.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -10.00000000
        NC
        USD
        18723.70000000
        0.002440693625
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-24
            -2593750.00000000
            USD
            18723.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        15800000.00000000
        PA
        USD
        172261.93000000
        0.022454888430
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-23
            335506.00000000
            USD
            0.00000000
            USD
            15800000.00000000
            USD
            172261.93000000
          
        
        
          N
          N
          N
        
      
      
        Poste Italiane SpA
        815600354DEDBD0BA991
        Poste Italiane SpA
        N/A
        
          
          
        
        -25205.00000000
        NS
        
        -285839.99000000
        -0.03726014845
        Short
        EC
        CORP
        IT
        Y
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        86847.17000000
        0.011320803806
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6976602.16000000
            USD
            8832000.00000000
            CAD
            2022-06-15
            86847.17000000
          
        
        
          N
          N
          N
        
      
      
        A2A SpA
        81560076E3944316DB24
        A2A SpA
        N/A
        
          
          
        
        2223238.00000000
        NS
        
        3807898.63000000
        0.496371652709
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -660847.86000000
        -0.08614361261
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11898534.70000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -660847.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        5.00000000
        NC
        USD
        39216.83000000
        0.005112038058
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-16
            1296729.98000000
            USD
            39216.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36406.68000000
        0.004745726101
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1249118.00000000
            EUR
            1422157.45000000
            USD
            2022-06-15
            36406.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8845.60000000
        0.001153051989
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            385317.80000000
            USD
            1255000.00000000
            ILS
            2022-06-15
            8845.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        94390.09000000
        0.012304047330
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3740842.16000000
            USD
            4795500.00000000
            CAD
            2022-06-15
            94390.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31719.28000000
        0.004134708658
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10586403.00000000
            EUR
            11776099.04000000
            USD
            2022-06-15
            31719.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        777.38000000
        0.000101333946
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            24034.50000000
            USD
            79000.00000000
            ILS
            2022-06-15
            777.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7600.92000000
        -0.00099080400
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            8363000.00000000
            MXN
            407336.27000000
            USD
            2022-06-15
            -7600.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -30142.66000000
        -0.00392919124
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3054697.24000000
            USD
            28384794.00000000
            SEK
            2022-06-15
            -30142.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3768.49000000
        -0.00049123461
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168815.15000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3768.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -189.60000000
        -0.00002471496
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            29000.00000000
            ILS
            8918.56000000
            USD
            2022-06-15
            -189.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Euro Euribor
        N/A
        
          
          
          
        
        503.00000000
        NC
        
        -510913.02000000
        -0.06659913111
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                N/A
                3 Month Euro Euribor
                
                  
                
              
            
            2022-12-19
            125410475.00000000
            EUR
            -510913.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11657.81000000
        0.001519632474
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            625506.08000000
            USD
            774576000.00000000
            KRW
            2022-06-15
            11657.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3737.84000000
        -0.00048723928
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168784.50000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3737.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41659.37000000
        0.005430430887
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1526393.77000000
            USD
            2022-06-15
            41659.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        69612.67000000
        0.009074232119
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            815887.22000000
            USD
            4306000.00000000
            BRL
            2022-06-15
            69612.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        20.00000000
        NC
        USD
        8597.40000000
        0.001120698333
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-15
            5188750.00000000
            USD
            8597.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        160853.49000000
        0.020967762126
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            13587122.11000000
            USD
            129021793.00000000
            SEK
            2022-06-15
            160853.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE/MIB Index
        N/A
        
          
          
          
        
        344.00000000
        NC
        
        2495086.46000000
        0.325242426372
        N/A
        DE
        
        IT
        N
        
        1
        
          
            
              Cassa di Compensazione e Garanzia
              8156006407E264D2C725
            
            Long
            
              
                FTSE/MIB Index
                IT0003465736
              
            
            2022-06-17
            41978320.00000000
            EUR
            2495086.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        70613.28000000
        0.009204664804
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1227960.77000000
            USD
            435740000.00000000
            HUF
            2022-06-15
            70613.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -18417.66000000
        -0.00240080034
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312500.00000000
            PLN
            764198.70000000
            USD
            2022-06-15
            -18417.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18148.77000000
        0.002365749678
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4190557.87000000
            USD
            3793735.00000000
            EUR
            2022-06-15
            18148.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4309.25000000
        0.000561724392
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274437.00000000
            TWD
            189114.76000000
            USD
            2022-06-15
            4309.25000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796Q28
        
          
          
        
        20916000.00000000
        PA
        USD
        20911438.22000000
        2.725872235153
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -179.33000000
        -0.00002337623
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15718.67000000
            USD
            443500.00000000
            TWD
            2022-06-15
            -179.33000000
          
        
        
          N
          N
          N
        
      
      
        Mediobanca Banca di Credito Finanziario SpA
        PSNL19R2RXX5U3QWHI44
        Mediobanca Banca di Credito Finanziario SpA
        N/A
        
          
          
        
        39108.00000000
        NS
        
        395205.89000000
        0.051516340071
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -192714.91000000
        -0.02512099918
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9188000.00000000
            AUD
            6691361.01000000
            USD
            2022-06-15
            -192714.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1633.28000000
        -0.00021290322
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490624.00000000
            ZAR
            31627.51000000
            USD
            2022-06-15
            -1633.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
        
        20.00000000
        NC
        USD
        260057.40000000
        0.033899306147
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-12
            5185110.00000000
            USD
            260057.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        913.34000000
        0.000119056763
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2960000.00000000
            CNY
            464715.17000000
            USD
            2022-06-15
            913.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        60622.41000000
        0.007902323240
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4855551.30000000
            USD
            43302000.00000000
            NOK
            2022-06-15
            60622.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Japan 10 Year Bond
        N/A
        
          
          
        
        657.00000000
        NC
        
        -3418954.59000000
        -0.44567156462
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Japan Securities Clearing
              549300JHM7D8P3TS4S86
            
            Long
            
              
                Japan
                Japan 10 Year Bond
                
                  
                
              
            
            2022-06-13
            98490870000.00000000
            JPY
            -3418954.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -221.00000000
        NC
        USD
        -1387514.19000000
        -0.18086687135
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-15
            -57335687.50000000
            USD
            -1387514.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        352567.90000000
        0.045958342965
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3921610.93000000
            USD
            20784434.00000000
            BRL
            2022-06-15
            352567.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -12833.18000000
        -0.00167284567
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1701135.25000000
            USD
            566514282.00000000
            HUF
            2022-06-15
            -12833.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        171985187.25000012
        PA
        
        -7146978.11000000
        -0.93163124364
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus SONIA +/- spread (-2.05% to 0.35%). GBP Currency. Maturity 34-61 Months 01/22/25 to 03/22/27
                
                  
                    BP plc
                    
                      
                    
                    2929957.60000000
                    USD
                    41472.17000000
                    USD
                  
                  
                    Diageo plc
                    
                      
                    
                    2970938.54000000
                    USD
                    -130306.44000000
                    USD
                  
                  
                    Barratt Developments plc
                    
                      
                    
                    1114458.81000000
                    USD
                    -91265.85000000
                    USD
                  
                  
                    Taylor Wimpey plc
                    
                      
                    
                    875388.29000000
                    USD
                    -88874.44000000
                    USD
                  
                  
                    Coca-Cola HBC AG
                    
                      
                    
                    4493199.81000000
                    USD
                    -340108.26000000
                    USD
                  
                  
                    Entain plc
                    
                      
                    
                    419787.94000000
                    USD
                    -8402.39000000
                    USD
                  
                  
                    AVEVA Group plc
                    
                      
                    
                    1262741.80000000
                    USD
                    64359.43000000
                    USD
                  
                  
                    Ferguson plc
                    
                      
                    
                    1690247.12000000
                    USD
                    105363.98000000
                    USD
                  
                  
                    Marks & Spencer Group plc
                    
                      
                    
                    1715529.89000000
                    USD
                    -100945.30000000
                    USD
                  
                  
                    Howden Joinery Group plc
                    
                      
                    
                    509261.64000000
                    USD
                    -24101.01000000
                    USD
                  
                  
                    WPP plc
                    
                      
                    
                    406215.23000000
                    USD
                    26271.17000000
                    USD
                  
                  
                    AstraZeneca plc
                    
                      
                    
                    3216927.30000000
                    USD
                    -170308.89000000
                    USD
                  
                  
                    Bunzl plc
                    
                      
                    
                    395218.21000000
                    USD
                    9190.14000000
                    USD
                  
                  
                    Travis Perkins plc
                    
                      
                    
                    2561191.52000000
                    USD
                    -249663.86000000
                    USD
                  
                  
                    Tate & Lyle plc
                    
                      
                    
                    1612932.00000000
                    USD
                    5432.82000000
                    USD
                  
                  
                    Ashtead Group plc
                    
                      
                    
                    972548.34000000
                    USD
                    105332.00000000
                    USD
                  
                  
                    J Sainsbury plc
                    
                      
                    
                    1175970.67000000
                    USD
                    -54205.66000000
                    USD
                  
                  
                    Burberry Group plc
                    
                      
                    
                    700470.98000000
                    USD
                    -16631.52000000
                    USD
                  
                  
                    M&G plc
                    
                      
                    
                    1133755.48000000
                    USD
                    15432.70000000
                    USD
                  
                  
                    Croda International plc
                    
                      
                    
                    2038917.73000000
                    USD
                    -109691.78000000
                    USD
                  
                  
                    Shell plc
                    
                      
                    
                    2718424.14000000
                    USD
                    149739.90000000
                    USD
                  
                  
                    Aviva plc
                    
                      
                    
                    1440673.69000000
                    USD
                    78674.10000000
                    USD
                  
                  
                    DCC plc
                    
                      
                    
                    3973528.06000000
                    USD
                    8335.73000000
                    USD
                  
                  
                    B&M European Value Retail SA
                    
                      
                    
                    68116.01000000
                    USD
                    4509.81000000
                    USD
                  
                  
                    Royal Mail plc
                    
                      
                    
                    4317054.32000000
                    USD
                    -481864.52000000
                    USD
                  
                  
                    Severn Trent plc
                    
                      
                    
                    1532690.72000000
                    USD
                    -68876.52000000
                    USD
                  
                  
                    Schroders plc
                    
                      
                    
                    300745.72000000
                    USD
                    3782.45000000
                    USD
                  
                  
                    HSBC Holdings plc
                    
                      
                    
                    609662.21000000
                    USD
                    22844.55000000
                    USD
                  
                  
                    Hays plc
                    
                      
                    
                    944826.77000000
                    USD
                    -59229.88000000
                    USD
                  
                  
                    Abcam plc
                    
                      
                    
                    690974.29000000
                    USD
                    -21019.48000000
                    USD
                  
                  
                    Auto Trader Group plc
                    
                      
                    
                    1560.25000000
                    USD
                    122.32000000
                    USD
                  
                  
                    Imperial Brands plc
                    
                      
                    
                    2038098.38000000
                    USD
                    17821.82000000
                    USD
                  
                  
                    abrdn plc
                    
                      
                    
                    944943.12000000
                    USD
                    13748.69000000
                    USD
                  
                  
                    Halma plc
                    
                      
                    
                    2717745.18000000
                    USD
                    10655.49000000
                    USD
                  
                  
                    Whitbread plc
                    
                      
                    
                    1751991.58000000
                    USD
                    -23448.42000000
                    USD
                  
                  
                    Tesco plc
                    
                      
                    
                    1116368.37000000
                    USD
                    -7735.27000000
                    USD
                  
                  
                    Beazley plc
                    
                      
                    
                    728625.69000000
                    USD
                    -10802.04000000
                    USD
                  
                  
                    Investec plc
                    
                      
                    
                    1140009.94000000
                    USD
                    100160.08000000
                    USD
                  
                  
                    Old Mutual Ltd.
                    
                      
                    
                    732796.82000000
                    USD
                    -12760.59000000
                    USD
                  
                  
                    Pennon Group plc
                    
                      
                    
                    186934.60000000
                    USD
                    4032.58000000
                    USD
                  
                  
                    Centrica plc
                    
                      
                    
                    4408593.41000000
                    USD
                    68902.18000000
                    USD
                  
                  
                    Prudential plc
                    
                      
                    
                    4963309.39000000
                    USD
                    -229892.39000000
                    USD
                  
                  
                    Intertek Group plc
                    
                      
                    
                    16167.62000000
                    USD
                    157.21000000
                    USD
                  
                  
                    Spirax-Sarco Engineering plc
                    
                      
                    
                    1450728.42000000
                    USD
                    49881.11000000
                    USD
                  
                  
                    NatWest Group plc
                    
                      
                    
                    403086.92000000
                    USD
                    4435.47000000
                    USD
                  
                  
                    Rotork plc
                    
                      
                    
                    571107.88000000
                    USD
                    -10235.66000000
                    USD
                  
                  
                    Rio Tinto plc
                    
                      
                    
                    2779901.91000000
                    USD
                    224638.49000000
                    USD
                  
                  
                    Anglo American plc
                    
                      
                    
                    2692898.48000000
                    USD
                    206437.90000000
                    USD
                  
                  
                    Ocado Group plc
                    
                      
                    
                    2090672.13000000
                    USD
                    -102821.75000000
                    USD
                  
                  
                    Reckitt Benckiser Group plc
                    
                      
                    
                    6083423.96000000
                    USD
                    7282.46000000
                    USD
                  
                  
                    Electrocomponents plc
                    
                      
                    
                    1552924.10000000
                    USD
                    -75428.78000000
                    USD
                  
                  
                    Next plc
                    
                      
                    
                    921392.19000000
                    USD
                    -75347.77000000
                    USD
                  
                  
                    Standard Chartered plc
                    
                      
                    
                    341140.61000000
                    USD
                    -725.54000000
                    USD
                  
                  
                    Barclays plc
                    
                      
                    
                    1257607.93000000
                    USD
                    -205403.42000000
                    USD
                  
                  
                    SSE plc
                    
                      
                    
                    111937.47000000
                    USD
                    -3758.11000000
                    USD
                  
                  
                    National Grid plc
                    
                      
                    
                    4529736.30000000
                    USD
                    -119853.14000000
                    USD
                  
                  
                    HomeServe plc
                    
                      
                    
                    1124959.35000000
                    USD
                    -219482.54000000
                    USD
                  
                  
                    Rolls-Royce Holdings plc
                    
                      
                    
                    3488623.95000000
                    USD
                    -208578.07000000
                    USD
                  
                  
                    Johnson Matthey plc
                    
                      
                    
                    1154551.82000000
                    USD
                    -20398.67000000
                    USD
                  
                  
                    Berkeley Group Holdings plc
                    
                      
                    
                    278172.52000000
                    USD
                    22056.08000000
                    USD
                  
                  
                    Sage Group plc (The)
                    
                      
                    
                    527459.37000000
                    USD
                    2172.61000000
                    USD
                  
                  
                    Evraz plc
                    
                      
                    
                    265933.48000000
                    USD
                    -544674.65000000
                    USD
                  
                  
                    JD Sports Fashion plc
                    
                      
                    
                    1200871.52000000
                    USD
                    -18905.41000000
                    USD
                  
                  
                    Smiths Group plc
                    
                      
                    
                    1273983.62000000
                    USD
                    37327.78000000
                    USD
                  
                  
                    easyJet plc
                    
                      
                    
                    1248900.11000000
                    USD
                    -49598.48000000
                    USD
                  
                  
                    Lloyds Banking Group plc
                    
                      
                    
                    1486122.13000000
                    USD
                    -52369.35000000
                    USD
                  
                  
                    Britvic plc
                    
                      
                    
                    1424085.02000000
                    USD
                    3396.84000000
                    USD
                  
                  
                    Hiscox Ltd.
                    
                      
                    
                    1131011.37000000
                    USD
                    -43154.85000000
                    USD
                  
                  
                    RELX plc
                    
                      
                    
                    2068926.25000000
                    USD
                    -67889.03000000
                    USD
                  
                  
                    Quilter plc
                    
                      
                    
                    770210.24000000
                    USD
                    -13389.22000000
                    USD
                  
                  
                    Hargreaves Lansdown plc
                    
                      
                    
                    1987193.49000000
                    USD
                    108342.28000000
                    USD
                  
                  
                    Airtel Africa plc
                    
                      
                    
                    375900.29000000
                    USD
                    -3452.91000000
                    USD
                  
                  
                    Antofagasta plc
                    
                      
                    
                    307029.86000000
                    USD
                    -1705.45000000
                    USD
                  
                  
                    Ashmore Group plc
                    
                      
                    
                    29233.26000000
                    USD
                    2461.94000000
                    USD
                  
                  
                    Legal & General Group plc
                    
                      
                    
                    1216338.64000000
                    USD
                    29446.44000000
                    USD
                  
                  
                    Admiral Group plc
                    
                      
                    
                    483873.68000000
                    USD
                    8087.40000000
                    USD
                  
                  
                    Rentokil Initial plc
                    
                      
                    
                    3818057.25000000
                    USD
                    -121513.57000000
                    USD
                  
                  
                    Compass Group plc
                    
                      
                    
                    42932.59000000
                    USD
                    -1529.75000000
                    USD
                  
                  
                    Persimmon plc
                    
                      
                    
                    1402377.36000000
                    USD
                    -93390.82000000
                    USD
                  
                  
                    Hikma Pharmaceuticals plc
                    
                      
                    
                    739493.77000000
                    USD
                    -469.49000000
                    USD
                  
                  
                    Inchcape plc
                    
                      
                    
                    1859229.76000000
                    USD
                    -124988.67000000
                    USD
                  
                  
                    Weir Group plc (The)
                    
                      
                    
                    1819012.55000000
                    USD
                    256065.01000000
                    USD
                  
                  
                    Experian plc
                    
                      
                    
                    1843566.79000000
                    USD
                    65834.26000000
                    USD
                  
                  
                    Dunelm Group plc
                    
                      
                    
                    328329.12000000
                    USD
                    12851.96000000
                    USD
                  
                  
                    Renishaw plc
                    
                      
                    
                    687484.40000000
                    USD
                    37532.90000000
                    USD
                  
                  
                    BT Group plc
                    
                      
                    
                    3451839.51000000
                    USD
                    27503.80000000
                    USD
                  
                  
                    Rightmove plc
                    
                      
                    
                    896465.72000000
                    USD
                    51858.71000000
                    USD
                  
                  
                    IMI plc
                    
                      
                    
                    206615.90000000
                    USD
                    -19241.61000000
                    USD
                  
                  
                    British American Tobacco plc
                    
                      
                    
                    2747710.02000000
                    USD
                    58995.24000000
                    USD
                  
                  
                    Unilever plc
                    
                      
                    
                    940019.41000000
                    USD
                    4417.51000000
                    USD
                  
                  
                    Direct Line Insurance Group plc
                    
                      
                    
                    423562.06000000
                    USD
                    -9633.89000000
                    USD
                  
                  
                    ConvaTec Group plc
                    
                      
                    
                    658411.60000000
                    USD
                    55665.33000000
                    USD
                  
                  
                    boohoo Group plc
                    
                      
                    
                    1215855.33000000
                    USD
                    -80874.72000000
                    USD
                  
                  
                    Smith & Nephew plc
                    
                      
                    
                    640266.74000000
                    USD
                    -24826.13000000
                    USD
                  
                  
                    Mondi plc
                    
                      
                    
                    738638.36000000
                    USD
                    -28001.89000000
                    USD
                  
                  
                    Kingfisher plc
                    
                      
                    
                    2773805.20000000
                    USD
                    -341143.97000000
                    USD
                  
                  
                    ITV plc
                    
                      
                    
                    660025.96000000
                    USD
                    -14637.51000000
                    USD
                  
                  
                    InterContinental Hotels Group plc
                    
                      
                    
                    1768442.85000000
                    USD
                    16924.84000000
                    USD
                  
                  
                    BAE Systems plc
                    
                      
                    
                    2431053.37000000
                    USD
                    -27892.93000000
                    USD
                  
                  
                    Dechra Pharmaceuticals plc
                    
                      
                    
                    1538662.45000000
                    USD
                    68418.09000000
                    USD
                  
                  
                    GlaxoSmithKline plc
                    
                      
                    
                    732129.62000000
                    USD
                    13019.97000000
                    USD
                  
                  
                    Intermediate Capital Group plc
                    
                      
                    
                    770760.62000000
                    USD
                    -13778.07000000
                    USD
                  
                  
                    Man Group plc
                    
                      
                    
                    916496.23000000
                    USD
                    35446.88000000
                    USD
                  
                  
                    Glencore plc
                    
                      
                    
                    253000.39000000
                    USD
                    -10429.49000000
                    USD
                  
                  
                    Pearson plc
                    
                      
                    
                    541629.84000000
                    USD
                    22016.68000000
                    USD
                  
                  
                    Associated British Foods plc
                    
                      
                    
                    1168118.74000000
                    USD
                    -58953.37000000
                    USD
                  
                  
                    WH Smith plc
                    
                      
                    
                    696906.27000000
                    USD
                    25255.56000000
                    USD
                  
                  
                    Melrose Industries plc
                    
                      
                    
                    1455519.29000000
                    USD
                    -106678.32000000
                    USD
                  
                  
                    Spectris plc
                    
                      
                    
                    774100.93000000
                    USD
                    -26445.10000000
                    USD
                  
                  
                    TUI AG
                    
                      
                    
                    748405.86000000
                    USD
                    136.21000000
                    USD
                  
                  
                    ASOS plc
                    
                      
                    
                    1470621.42000000
                    USD
                    -98291.79000000
                    USD
                  
                  
                    St James's Place plc
                    
                      
                    
                    1644318.50000000
                    USD
                    26294.61000000
                    USD
                  
                  
                    DS Smith plc
                    
                      
                    
                    3503475.45000000
                    USD
                    -177230.55000000
                    USD
                  
                  
                    United Utilities Group plc
                    
                      
                    
                    411033.36000000
                    USD
                    15598.51000000
                    USD
                  
                  
                    Informa plc
                    
                      
                    
                    3552358.31000000
                    USD
                    5893.21000000
                    USD
                  
                  
                    Raspadskaya OJSC
                    
                      
                    
                    0.01000000
                    USD
                    -275739.45000000
                    USD
                  
                  
                    Bellway plc
                    
                      
                    
                    667966.45000000
                    USD
                    -129451.58000000
                    USD
                  
                  
                    Vodafone Group plc
                    
                      
                    
                    2877050.44000000
                    USD
                    -32414.05000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-22
            0.00000000
            USD
            0.00000000
            USD
            171985187.00000000
            USD
            -3592826.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        19606.72000000
        0.002555798080
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9109500.00000000
            NOK
            1053828.80000000
            USD
            2022-06-15
            19606.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1264.36000000
        -0.00016481333
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200751.00000000
            CLP
            56722.62000000
            USD
            2022-06-15
            -1264.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7847.39000000
        0.001022932152
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            487417.81000000
            USD
            619270.00000000
            CAD
            2022-06-15
            7847.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1489.93000000
        0.000194217096
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            71170000.00000000
            HUF
            213587.77000000
            USD
            2022-06-15
            1489.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -421662.15000000
        -0.05496499739
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15006725.72000000
            USD
            13147000.00000000
            EUR
            2022-06-15
            -421662.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        130629.32000000
        0.017027945794
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4585952.00000000
            GBP
            6153231.68000000
            USD
            2022-06-15
            130629.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        79280.73000000
        0.010334494376
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4834588.00000000
            GBP
            6428409.78000000
            USD
            2022-06-15
            79280.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62858.54000000
        0.008193809872
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4219000.00000000
            GBP
            5603553.11000000
            USD
            2022-06-15
            62858.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6.89000000
        0.000000898133
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5682.00000000
            SEK
            612.34000000
            USD
            2022-06-15
            6.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        28617.15000000
        0.003730336183
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            137203500.00000000
            JPY
            1157838.45000000
            USD
            2022-06-15
            28617.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6.70000000
        -0.00000087336
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3500.00000000
            EUR
            3876.14000000
            USD
            2022-06-15
            -6.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        19200000.00000000
        PA
        
        117459.98000000
        0.015311280594
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2032-09-21
            0.00000000
            USD
            505717.78000000
            USD
            19200000.00000000
            GBP
            117459.98000000
          
        
        
          N
          N
          N
        
      
      
        Italgas SpA
        815600F25FF44EF1FA76
        Italgas SpA
        N/A
        
          
          
        
        140730.00000000
        NS
        
        902848.14000000
        0.117689115951
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1553.83000000
        -0.00020254666
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            403149.81000000
            USD
            2563000.00000000
            CNY
            2022-06-15
            -1553.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6539.87000000
        -0.00085249277
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520062.00000000
            BRL
            100407.38000000
            USD
            2022-06-15
            -6539.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        68911386.71999999
        PA
        
        -3467383.04000000
        -0.45198436654
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Morgan Stanley International
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus STIBOR +/- spread (-0.35% to 0.35%). SEK Currency. Maturity 23-24 Months 02/21/24
                
                  
                    Husqvarna AB, Class B
                    
                      
                    
                    748914.80000000
                    USD
                    -90050.90000000
                    USD
                  
                  
                    Hexagon AB, Class B
                    
                      
                    
                    1886049.93000000
                    USD
                    -113133.84000000
                    USD
                  
                  
                    Sinch AB
                    
                      
                    
                    105501.26000000
                    USD
                    21688.45000000
                    USD
                  
                  
                    Holmen AB, Class B
                    
                      
                    
                    2395563.79000000
                    USD
                    -55052.27000000
                    USD
                  
                  
                    Lifco AB, Class B
                    
                      
                    
                    2743624.71000000
                    USD
                    -244531.41000000
                    USD
                  
                  
                    H & M Hennes & Mauritz AB, Class B
                    
                      
                    
                    1088189.53000000
                    USD
                    -139341.07000000
                    USD
                  
                  
                    Swedbank AB, Class A
                    
                      
                    
                    465275.08000000
                    USD
                    -13879.49000000
                    USD
                  
                  
                    Skanska AB, Class B
                    
                      
                    
                    379342.97000000
                    USD
                    -29176.70000000
                    USD
                  
                  
                    Volvo AB, Class B
                    
                      
                    
                    537441.95000000
                    USD
                    4247.55000000
                    USD
                  
                  
                    Epiroc AB, Class A
                    
                      
                    
                    1221796.01000000
                    USD
                    40601.25000000
                    USD
                  
                  
                    EQT AB
                    
                      
                    
                    3813293.87000000
                    USD
                    -766682.47000000
                    USD
                  
                  
                    Svenska Cellulosa AB SCA, Class B
                    
                      
                    
                    3283161.13000000
                    USD
                    -133961.41000000
                    USD
                  
                  
                    Trelleborg AB, Class B
                    
                      
                    
                    833162.43000000
                    USD
                    129580.06000000
                    USD
                  
                  
                    Millicom International Cellular SA
                    
                      
                    
                    1304178.68000000
                    USD
                    88210.55000000
                    USD
                  
                  
                    SSAB AB, Class A
                    
                      
                    
                    969063.54000000
                    USD
                    42567.78000000
                    USD
                  
                  
                    Telefonaktiebolaget LM Ericsson, Class B
                    
                      
                    
                    2469008.90000000
                    USD
                    68535.27000000
                    USD
                  
                  
                    Indutrade AB
                    
                      
                    
                    717983.68000000
                    USD
                    -100294.87000000
                    USD
                  
                  
                    Axfood AB
                    
                      
                    
                    42075.47000000
                    USD
                    3849.41000000
                    USD
                  
                  
                    SKF AB, Class B
                    
                      
                    
                    1244275.31000000
                    USD
                    -83382.90000000
                    USD
                  
                  
                    Elekta AB, Class B
                    
                      
                    
                    972416.61000000
                    USD
                    9.20000000
                    USD
                  
                  
                    Embracer Group AB
                    
                      
                    
                    322934.61000000
                    USD
                    -28491.54000000
                    USD
                  
                  
                    Electrolux AB, Series B
                    
                      
                    
                    2111272.44000000
                    USD
                    -272718.95000000
                    USD
                  
                  
                    Swedish Match AB
                    
                      
                    
                    3177357.46000000
                    USD
                    -44065.31000000
                    USD
                  
                  
                    BillerudKorsnas AB
                    
                      
                    
                    2480399.64000000
                    USD
                    187309.54000000
                    USD
                  
                  
                    Swedish Orphan Biovitrum AB
                    
                      
                    
                    608224.26000000
                    USD
                    76844.97000000
                    USD
                  
                  
                    Sweco AB, Class B
                    
                      
                    
                    1046376.14000000
                    USD
                    -27077.79000000
                    USD
                  
                  
                    SSAB AB, Class B
                    
                      
                    
                    1871376.48000000
                    USD
                    148323.42000000
                    USD
                  
                  
                    Sandvik AB
                    
                      
                    
                    115093.67000000
                    USD
                    7175.04000000
                    USD
                  
                  
                    Saab AB, Class B
                    
                      
                    
                    2747009.04000000
                    USD
                    -147938.12000000
                    USD
                  
                  
                    Evolution AB
                    
                      
                    
                    843886.12000000
                    USD
                    7694.00000000
                    USD
                  
                  
                    Assa Abloy AB, Class B
                    
                      
                    
                    1769375.57000000
                    USD
                    -27819.53000000
                    USD
                  
                  
                    Getinge AB, Class B
                    
                      
                    
                    2002744.81000000
                    USD
                    143763.60000000
                    USD
                  
                  
                    Nordea Bank Abp
                    
                      
                    
                    76531.25000000
                    USD
                    -6480.43000000
                    USD
                  
                  
                    Atlas Copco AB, Class A
                    
                      
                    
                    959637.63000000
                    USD
                    12335.66000000
                    USD
                  
                  
                    Alfa Laval AB
                    
                      
                    
                    700607.36000000
                    USD
                    -24778.31000000
                    USD
                  
                  
                    Essity AB, Class B
                    
                      
                    
                    3411830.11000000
                    USD
                    -124009.35000000
                    USD
                  
                  
                    Boliden AB
                    
                      
                    
                    2128636.72000000
                    USD
                    224521.53000000
                    USD
                  
                  
                    Telia Co. AB
                    
                      
                    
                    1856312.41000000
                    USD
                    55836.83000000
                    USD
                  
                  
                    Tele2 AB, Class B
                    
                      
                    
                    2059300.84000000
                    USD
                    -176219.48000000
                    USD
                  
                  
                    Svenska Handelsbanken AB, Class A
                    
                      
                    
                    378420.07000000
                    USD
                    -24371.27000000
                    USD
                  
                  
                    Nibe Industrier AB, Class B
                    
                      
                    
                    4276699.22000000
                    USD
                    -380061.01000000
                    USD
                  
                  
                    Beijer Ref AB
                    
                      
                    
                    1785881.82000000
                    USD
                    -207958.11000000
                    USD
                  
                  
                    AAK AB
                    
                      
                    
                    719923.65000000
                    USD
                    -42490.34000000
                    USD
                  
                  
                    Securitas AB, Class B
                    
                      
                    
                    4241235.75000000
                    USD
                    -248260.85000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-02-21
            0.00000000
            USD
            0.00000000
            USD
            68911387.00000000
            USD
            -2289133.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1604.24000000
        -0.00020911776
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490626.00000000
            ZAR
            31656.68000000
            USD
            2022-06-15
            -1604.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -26955.03000000
        -0.00351367357
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3326469.25000000
            USD
            30965231.00000000
            SEK
            2022-06-15
            -26955.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -151.00000000
        -0.00001968332
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            284699.69000000
            USD
            1816000.00000000
            CNY
            2022-06-15
            -151.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -82031.47000000
        -0.01069306205
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6849000.00000000
            BRL
            1326419.24000000
            USD
            2022-06-15
            -82031.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22668.62000000
        0.002954926448
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1339636.00000000
            EUR
            1508838.56000000
            USD
            2022-06-15
            22668.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -29.02000000
        -0.00000378284
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            74456.68000000
            USD
            475000.00000000
            CNY
            2022-06-15
            -29.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        563.36000000
        0.000073435761
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            522000.00000000
            TWD
            18853.18000000
            USD
            2022-06-15
            563.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43099.37000000
        0.005618139450
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1428468.79000000
            USD
            21706842.00000000
            ZAR
            2022-06-15
            43099.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1923.05000000
        -0.00025067566
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490626.00000000
            ZAR
            31337.87000000
            USD
            2022-06-15
            -1923.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3465.92000000
        0.000451793654
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1378898.00000000
            EUR
            1533192.47000000
            USD
            2022-06-15
            3465.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -189.61000000
        -0.00002471626
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            29000.00000000
            ILS
            8918.55000000
            USD
            2022-06-15
            -189.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        355899.66000000
        0.046392648439
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3918279.37000000
            USD
            20784435.00000000
            BRL
            2022-06-15
            355899.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46729.01000000
        0.006091274526
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3828085.37000000
            USD
            4710465000.00000000
            KRW
            2022-06-15
            46729.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -6.00000000
        NC
        USD
        -70890.78000000
        -0.00924083780
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-20
            -1555875.00000000
            USD
            -70890.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2162.56000000
        0.000281896548
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12059000.00000000
            TWD
            424685.32000000
            USD
            2022-06-15
            2162.56000000
          
        
        
          N
          N
          N
        
      
      
        Hera SpA
        8156009414FD99443B48
        Hera SpA
        N/A
        
          
          
        
        794889.00000000
        NS
        
        2928492.80000000
        0.381738316149
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13760.78000000
        -0.00179376127
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11566000.00000000
            GBP
            15175543.18000000
            USD
            2022-06-15
            -13760.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -48972.29000000
        -0.00638369318
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18833261.00000000
            ILS
            5866073.29000000
            USD
            2022-06-15
            -48972.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3358.48000000
        -0.00043778851
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168405.14000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3358.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        115500000.00000000
        PA
        
        -1505672.42000000
        -0.19626917105
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-17
            0.00000000
            USD
            1573011.70000000
            USD
            115500000.00000000
            EUR
            -1505672.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        33.00000000
        NC
        USD
        585958.58000000
        0.076381557660
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-11
            8555117.87000000
            USD
            585958.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4097.78000000
        0.000534158607
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1488832.18000000
            USD
            2022-06-15
            4097.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42419.92000000
        -0.00552957099
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            58937471.00000000
            SEK
            6237689.00000000
            USD
            2022-06-15
            -42419.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        563.38000000
        0.000073438368
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            522000.00000000
            TWD
            18853.20000000
            USD
            2022-06-15
            563.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11657.03000000
        0.001519530798
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            625506.86000000
            USD
            774576000.00000000
            KRW
            2022-06-15
            11657.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2610.95000000
        -0.00034034560
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            123053.94000000
            USD
            3437500.00000000
            TWD
            2022-06-15
            -2610.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1883.56000000
        -0.00024552801
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            34329000.00000000
            INR
            445908.28000000
            USD
            2022-06-15
            -1883.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        76766.05000000
        0.010006697870
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5267962.66000000
            USD
            2022-06-15
            76766.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -421680.91000000
        -0.05496744282
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15006744.48000000
            USD
            13147000.00000000
            EUR
            2022-06-15
            -421680.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -641602.68000000
        -0.08363494241
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11879289.52000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -641602.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3713.45000000
        -0.00048405997
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168760.11000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3713.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4134.42000000
        0.000538934747
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            64344.79000000
            USD
            333000.00000000
            BRL
            2022-06-15
            4134.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53568.10000000
        0.006982771579
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2252547.66000000
            USD
            20312428.00000000
            NOK
            2022-06-15
            53568.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9022.57000000
        -0.00117612058
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10272500.00000000
            CNY
            1600573.49000000
            USD
            2022-06-15
            -9022.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1490.19000000
        0.000194250988
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            71170000.00000000
            HUF
            213588.03000000
            USD
            2022-06-15
            1490.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        738502.20000000
        0.096266101900
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            28498963.95000000
            USD
            39022498.00000000
            AUD
            2022-06-15
            738502.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        MSCI Singapore Index
        N/A
        
          
          
          
        
        -562.00000000
        NC
        
        -217141.46000000
        -0.02830507737
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing
              549300ZLWT3FK3F0FW61
            
            Short
            
              
                MSCI Singapore Index
                SIMSCI Index
              
            
            2022-04-28
            -18818570.00000000
            SGD
            -217141.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1475.21000000
        -0.00019229829
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490625.00000000
            ZAR
            31785.65000000
            USD
            2022-06-15
            -1475.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22264.80000000
        0.002902287231
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1431728.49000000
            USD
            1818045.00000000
            CAD
            2022-06-15
            22264.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16380.51000000
        0.002135251384
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3722249.00000000
            SGD
            2762681.90000000
            USD
            2022-06-15
            16380.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        1.00000000
        NC
        USD
        9834.87000000
        0.001282006468
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-23
            259262.50000000
            USD
            9834.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41661.31000000
        0.005430683772
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338343.00000000
            EUR
            1526396.82000000
            USD
            2022-06-15
            41661.31000000
          
        
        
          N
          N
          N
        
      
      
        FinecoBank Banca Fineco SpA
        549300L7YCATGO57ZE10
        FinecoBank Banca Fineco SpA
        N/A
        
          
          
        
        -47953.00000000
        NS
        
        -727451.25000000
        -0.09482557555
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6514.25000000
        0.000849153129
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            486081.36000000
            USD
            615932.00000000
            CAD
            2022-06-15
            6514.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1057.08000000
        -0.00013779372
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2376542.79000000
            USD
            3170500.00000000
            AUD
            2022-06-15
            -1057.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        328.45000000
        0.000042814498
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            66321.00000000
            CHF
            72327.94000000
            USD
            2022-06-15
            328.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4006.30000000
        0.000522233899
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            137153.35000000
            USD
            47366500.00000000
            HUF
            2022-06-15
            4006.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9458.31000000
        0.001232920679
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5582862.00000000
            GBP
            7341274.66000000
            USD
            2022-06-15
            9458.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        778.50000000
        0.000101479941
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            210500.00000000
            CAD
            169127.24000000
            USD
            2022-06-15
            778.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1366.25000000
        0.000178095016
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            952716.30000000
            USD
            1159842000.00000000
            KRW
            2022-06-15
            1366.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -30138.84000000
        -0.00392869329
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3054693.42000000
            USD
            28384794.00000000
            SEK
            2022-06-15
            -30138.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9829.79000000
        0.001281344274
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            346237.25000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            9829.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        96200000.00000000
        PA
        
        4045128.02000000
        0.527295255417
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-09-21
            6456322.93000000
            USD
            0.00000000
            USD
            96200000.00000000
            EUR
            4045128.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17231.70000000
        0.002246206697
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            338835.34000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17231.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10.22000000
        -0.00000133220
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4249.81000000
            USD
            121000.00000000
            TWD
            2022-06-15
            -10.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42862.40000000
        -0.00558724966
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7248862.28000000
            USD
            6495500.00000000
            EUR
            2022-06-15
            -42862.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -34.00000000
        NC
        USD
        -167463.05000000
        -0.02182933921
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-10
            -8815698.63000000
            USD
            -167463.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        321.62000000
        0.000041924186
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            395500.00000000
            TWD
            14179.13000000
            USD
            2022-06-15
            321.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        255.61000000
        0.000033319573
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            14000.00000000
            EUR
            15786.98000000
            USD
            2022-06-15
            255.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11552.63000000
        0.001505921927
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            344514.41000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            11552.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17513.36000000
        0.002282921971
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            338553.68000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17513.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        19747.64000000
        0.002574167449
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            562626.63000000
            USD
            8590500.00000000
            ZAR
            2022-06-15
            19747.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8846.08000000
        0.001153114559
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            385317.32000000
            USD
            1255000.00000000
            ILS
            2022-06-15
            8846.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4468.02000000
        0.000582420565
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1307190.00000000
            EUR
            1454642.91000000
            USD
            2022-06-15
            4468.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7300.78000000
        -0.00095167980
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            516500.00000000
            BRL
            98913.97000000
            USD
            2022-06-15
            -7300.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        550436.44000000
        0.071751134150
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13197539.16000000
            USD
            129021793.00000000
            SEK
            2022-06-15
            550436.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3078.26000000
        0.000401260945
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1292881000.00000000
            KRW
            1066598.29000000
            USD
            2022-06-15
            3078.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -74.23000000
        -0.00000967611
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4500.00000000
            BRL
            851.16000000
            USD
            2022-06-15
            -74.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.43000000
        0.000000056051
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5500.00000000
            TWD
            193.14000000
            USD
            2022-06-15
            0.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40658.14000000
        0.005299917384
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1341370.00000000
            EUR
            1528751.75000000
            USD
            2022-06-15
            40658.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        784.81000000
        0.000102302470
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            54418000.00000000
            INR
            710620.11000000
            USD
            2022-06-15
            784.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Silver
        N/A
        
          
          
        
        -130.00000000
        NC
        USD
        -876158.01000000
        -0.11420997293
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                Silver
                
                  
                
              
            
            2022-05-26
            -16336450.00000000
            USD
            -876158.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -334139.63000000
        -0.04355615957
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6629284.91000000
            USD
            764877500.00000000
            JPY
            2022-06-15
            -334139.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -78365.23000000
        -0.01021515605
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6405416.00000000
            CAD
            5044407.79000000
            USD
            2022-06-15
            -78365.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1619.15000000
        0.000211061333
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            564345.38000000
            USD
            2395500.00000000
            PLN
            2022-06-15
            1619.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18837.98000000
        0.002455590385
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5386212.00000000
            DKK
            822112.76000000
            USD
            2022-06-15
            18837.98000000
          
        
        
          N
          N
          N
        
      
      
        Pirelli & C SpA
        815600A0C9AFC1F2A709
        Pirelli & C SpA
        N/A
        
          
          
        
        152871.00000000
        NS
        
        829479.14000000
        0.108125234313
        Long
        EC
        CORP
        IT
        Y
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -28338.56000000
        -0.00369402109
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3052893.46000000
            USD
            28384797.00000000
            SEK
            2022-06-15
            -28338.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        35429.06000000
        0.004618290236
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            818045.42000000
            USD
            2022-06-15
            35429.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -12835.31000000
        -0.00167312333
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1701137.38000000
            USD
            566514282.00000000
            HUF
            2022-06-15
            -12835.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5216.90000000
        -0.00068003944
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            12600500.00000000
            CNY
            1969153.04000000
            USD
            2022-06-15
            -5216.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -71822.84000000
        -0.00936233478
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18833262.00000000
            ILS
            5843223.06000000
            USD
            2022-06-15
            -71822.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        19746.94000000
        0.002574076202
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            562627.33000000
            USD
            8590500.00000000
            ZAR
            2022-06-15
            19746.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        85701.37000000
        0.011171445145
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1385866.79000000
            USD
            21706842.00000000
            ZAR
            2022-06-15
            85701.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -609130.22000000
        -0.07940205436
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11846817.06000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -609130.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -631.15000000
        -0.00008227240
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            29712.66000000
            USD
            830000.00000000
            TWD
            2022-06-15
            -631.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2946.40000000
        0.000384072576
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338344.00000000
            EUR
            1487683.02000000
            USD
            2022-06-15
            2946.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        32518.98000000
        0.004238952087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1516547.95000000
            USD
            2067500.00000000
            AUD
            2022-06-15
            32518.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        303618.56000000
        0.039577641388
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3970560.68000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            303618.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3276.29000000
        -0.00042707478
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2235320.00000000
            ILS
            698780.55000000
            USD
            2022-06-15
            -3276.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5903.24000000
        -0.00076950603
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1482623.96000000
            USD
            2001500.00000000
            SGD
            2022-06-15
            -5903.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -192723.27000000
        -0.02512208893
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9188000.00000000
            AUD
            6691352.65000000
            USD
            2022-06-15
            -192723.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        303613.59000000
        0.039576993532
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3970565.65000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            303613.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2210.94000000
        0.000288203034
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            706575.41000000
            USD
            4523500.00000000
            CNY
            2022-06-15
            2210.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8208.49000000
        -0.00107000268
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4320739.00000000
            SEK
            452189.81000000
            USD
            2022-06-15
            -8208.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3358.70000000
        -0.00043781718
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168405.36000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3358.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE Taiwan Index Equity Index
        N/A
        
          
          
          
        
        151.00000000
        NC
        USD
        46215.80000000
        0.006024375976
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                FTSE Taiwan Index Equity Index
                FTCRTWPR Index
              
            
            2022-04-28
            9325760.00000000
            USD
            46215.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        38339.76000000
        0.004997709205
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1362676.00000000
            EUR
            1550069.89000000
            USD
            2022-06-15
            38339.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4072.46000000
        0.000530858065
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274439.00000000
            TWD
            188878.04000000
            USD
            2022-06-15
            4072.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -212313.04000000
        -0.02767567753
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6330407.34000000
            USD
            4658665.00000000
            GBP
            2022-06-15
            -212313.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15988.97000000
        -0.00208421290
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6183500.00000000
            PLN
            1444934.28000000
            USD
            2022-06-15
            -15988.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -114983.07000000
        -0.01498840752
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2337619.90000000
            USD
            270056500.00000000
            JPY
            2022-06-15
            -114983.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20483.42000000
        0.002670078703
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4249126.14000000
            USD
            3848633.00000000
            EUR
            2022-06-15
            20483.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -95272.09000000
        -0.01241901882
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15358022.67000000
            USD
            14059000.00000000
            CHF
            2022-06-15
            -95272.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1040.37000000
        -0.00013561552
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            21883.61000000
            USD
            6994004.00000000
            HUF
            2022-06-15
            -1040.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        356416.68000000
        0.046460043634
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3917762.56000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            356416.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        568.61000000
        0.000074120115
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1244500.00000000
            CNY
            195569.08000000
            USD
            2022-06-15
            568.61000000
          
        
        
          N
          N
          N
        
      
      
        Leonardo SpA
        529900X4EEX1U9LN3U39
        Leonardo SpA
        N/A
        
          
          
        
        562185.00000000
        NS
        
        5586530.88000000
        0.728222002542
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        2165000.00000000
        PA
        
        27010.71000000
        0.003520931638
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-17
            0.00000000
            USD
            0.00000000
            USD
            2165000.00000000
            PLN
            27010.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1119.60000000
        -0.00014594340
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1844000.00000000
            CNY
            287816.41000000
            USD
            2022-06-15
            -1119.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1110.73000000
        -0.00014478717
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200750.00000000
            CLP
            56876.25000000
            USD
            2022-06-15
            -1110.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        805.93000000
        0.000105055529
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2037000.00000000
            CNY
            319983.07000000
            USD
            2022-06-15
            805.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -295.00000000
        NC
        
        31729.00000000
        0.004135975691
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2023-03-13
            -71430562.50000000
            CAD
            31729.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -2.00000000
        NC
        USD
        -25554.42000000
        -0.00333109962
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-25
            -518575.00000000
            USD
            -25554.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13503.06000000
        -0.00176016665
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            159209000.00000000
            HUF
            460964.92000000
            USD
            2022-06-15
            -13503.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3375.75000000
        -0.00044003970
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1917720.00000000
            BRL
            390990.45000000
            USD
            2022-06-15
            -3375.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41.38000000
        0.000005394014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4041.59000000
            USD
            13000.00000000
            ILS
            2022-06-15
            41.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15982.68000000
        0.002083392983
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5599276.00000000
            GBP
            7369355.07000000
            USD
            2022-06-15
            15982.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SET50 Index
        N/A
        
          
          
        
        1140.00000000
        NC
        
        73786.87000000
        0.009618352316
        N/A
        DE
        
        TH
        N
        
        1
        
          
            
              Clearing Company (Thailand)
              5493006L9QU2265UKZ88
            
            Long
            
              
                SET50 Index
                SET50 Index
              
            
            2022-06-29
            231807600.00000000
            THB
            73786.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -270941.45000000
        -0.03531807655
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            54434000.00000000
            SEK
            5529298.08000000
            USD
            2022-06-15
            -270941.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -150367.77000000
        -0.01960091529
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4518310.44000000
            USD
            3326000.00000000
            GBP
            2022-06-15
            -150367.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20329.70000000
        0.002650040814
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            261187.95000000
            USD
            94464000.00000000
            HUF
            2022-06-15
            20329.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2097.56000000
        -0.00027342359
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            274078.98000000
            USD
            330637500.00000000
            KRW
            2022-06-15
            -2097.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20402.89000000
        -0.00265958136
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4448521.02000000
            USD
            4078879.00000000
            CHF
            2022-06-15
            -20402.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -61444.47000000
        -0.00800948136
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            17605420.00000000
            SEK
            1814509.03000000
            USD
            2022-06-15
            -61444.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46294.49000000
        0.006034633467
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1425273.67000000
            USD
            21706842.00000000
            ZAR
            2022-06-15
            46294.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1015.94000000
        0.000132430998
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            8416500.00000000
            ZAR
            571594.26000000
            USD
            2022-06-15
            1015.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22721.71000000
        0.002961846897
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1481047.49000000
            USD
            1355500.00000000
            EUR
            2022-06-15
            22721.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1665.45000000
        0.000217096684
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            17253.73000000
            USD
            92000.00000000
            BRL
            2022-06-15
            1665.45000000
          
        
        
          N
          N
          N
        
      
      
        Infrastrutture Wireless Italiane SpA
        81560066183FE361C071
        Infrastrutture Wireless Italiane SpA
        N/A
        
          
          
        
        -237695.00000000
        NS
        
        -2660816.67000000
        -0.34684588440
        Short
        EC
        CORP
        IT
        Y
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20478.11000000
        0.002669386528
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4249131.45000000
            USD
            3848633.00000000
            EUR
            2022-06-15
            20478.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        100803.30000000
        0.013140029575
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5291999.91000000
            USD
            2022-06-15
            100803.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -125.57000000
        -0.00001636844
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            32000.00000000
            ZAR
            2043.80000000
            USD
            2022-06-15
            -125.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17365.31000000
        0.002263623184
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            723550.42000000
            USD
            3135998.00000000
            PLN
            2022-06-15
            17365.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        2084549.78000000
        PA
        USD
        14119.08000000
        0.001840466817
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                MSCI Emerging Markets Taiwan Net Total Return Index
                NDEUSTW Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            2084549.78000000
            USD
            14119.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40660.05000000
        0.005300166359
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1341370.00000000
            EUR
            1528753.66000000
            USD
            2022-06-15
            40660.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81216.52000000
        0.010586830737
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5272413.13000000
            USD
            2022-06-15
            81216.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42814.52000000
        0.005581008350
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1347745.00000000
            EUR
            1537980.45000000
            USD
            2022-06-15
            42814.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.20000000
        0.000000026070
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5682.00000000
            SEK
            605.65000000
            USD
            2022-06-15
            0.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17236.38000000
        -0.00224681675
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6585500.00000000
            ILS
            2051100.73000000
            USD
            2022-06-15
            -17236.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        17.00000000
        NC
        USD
        168807.79000000
        0.022004630336
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-14
            4410352.50000000
            USD
            168807.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46097.27000000
        0.006008925215
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1351553.53000000
            USD
            20616500.00000000
            ZAR
            2022-06-15
            46097.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7902.23000000
        0.001030080720
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4287630.30000000
            USD
            3872000.00000000
            EUR
            2022-06-15
            7902.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2657.10000000
        0.000346361404
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2921331.09000000
            USD
            27441000.00000000
            SEK
            2022-06-15
            2657.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        21.00000000
        NC
        USD
        124107.27000000
        0.016177775909
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-10
            5447662.50000000
            USD
            124107.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SONIA
        N/A
        
          
          
          
        
        -1062.00000000
        NC
        
        1687830.47000000
        0.220014050081
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                3 Month SONIA
                
                  
                
              
            
            2023-06-20
            -259340400.00000000
            GBP
            1687830.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9959.88000000
        -0.00129830191
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            27589000.00000000
            CNY
            4312955.26000000
            USD
            2022-06-15
            -9959.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -660862.73000000
        -0.08614555096
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11898549.57000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -660862.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11162.61000000
        0.001455081585
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            949276.98000000
            USD
            3058000.00000000
            ILS
            2022-06-15
            11162.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        573434098.12000000
        PA
        USD
        -20224851.32999999
        -2.63637345841
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Bank of America NA
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus OBFR +/- spread (-9.34% to 0.25%). USD Currency. Maturity 13-14 Months 09/26/22 to 05/25/23
                
                  
                    QUALCOMM, Inc.
                    
                      
                    
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                    Novocure Ltd.
                    
                      
                    
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                    -72481.50000000
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                    LHC Group, Inc.
                    
                      
                    
                    1374258.60000000
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                    ConocoPhillips
                    
                      
                    
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                    Paysafe Ltd.
                    
                      
                    
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                    -17592.01000000
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                    Halliburton Co.
                    
                      
                    
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                    14789.77000000
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                    Home Depot, Inc. (The)
                    
                      
                    
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                    Paychex, Inc.
                    
                      
                    
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                    Carvana Co.
                    
                      
                    
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                    EnerSys
                    
                      
                    
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                    CarMax, Inc.
                    
                      
                    
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                    HEICO Corp.
                    
                      
                    
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                    Chevron Corp.
                    
                      
                    
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                    Taiwan Semiconductor Manufacturing Co. Ltd.
                    
                      
                    
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                    Cigna Corp.
                    
                      
                    
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            Y
            
              
                
              
            
            
              
                
              
            
            2022-09-26
            0.00000000
            USD
            0.00000000
            USD
            573434098.00000000
            USD
            -7479641.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        1900000.00000000
        PA
        
        -35583.09000000
        -0.00463836853
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2032-09-20
            0.00000000
            USD
            59999.98000000
            USD
            1900000.00000000
            CAD
            -35583.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34900.71000000
        0.004549418140
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5582862.00000000
            GBP
            7366717.06000000
            USD
            2022-06-15
            34900.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IBEX 35 Index
        N/A
        
          
          
          
        
        205.00000000
        NC
        
        553967.44000000
        0.072211411189
        N/A
        DE
        
        ES
        N
        
        1
        
          
            
              BME Clearing
              5299009QA8BBE2OOB349
            
            Long
            
              
                IBEX 35 Index
                ES0SI0000005
              
            
            2022-04-14
            17252595.00000000
            EUR
            553967.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6448.62000000
        0.000840598051
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            474249.82000000
            USD
            601056.00000000
            CAD
            2022-06-15
            6448.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8452.66000000
        -0.00110183101
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2120479.61000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -8452.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -31993.67000000
        -0.00417047626
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            13779969.48000000
            USD
            129021795.00000000
            SEK
            2022-06-15
            -31993.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2283.97000000
        0.000297722726
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2146000.00000000
            TWD
            77475.43000000
            USD
            2022-06-15
            2283.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Australia 10 Year Bond
        N/A
        
          
          
        
        1481.00000000
        NC
        
        -4944236.76000000
        -0.64449692872
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                Australia
                Australia 10 Year Bond
                
                  
                
              
            
            2022-06-15
            188222911.37000000
            AUD
            -4944236.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11764.87000000
        0.001533588084
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            391331.27000000
            USD
            5946000.00000000
            ZAR
            2022-06-15
            11764.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15185.69000000
        -0.00197950281
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1048500.00000000
            BRL
            200431.27000000
            USD
            2022-06-15
            -15185.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        19605.41000000
        0.002555627318
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9109500.00000000
            NOK
            1053827.49000000
            USD
            2022-06-15
            19605.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -158.19000000
        -0.00002062056
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12912.01000000
            USD
            364000.00000000
            TWD
            2022-06-15
            -158.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SOFR
        N/A
        
          
          
        
        289.00000000
        NC
        USD
        -41965.22000000
        -0.00547029940
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                3 Month SOFR
                
                  
                
              
            
            2022-12-20
            70805000.00000000
            USD
            -41965.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46296.28000000
        0.006034866799
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1425271.95000000
            USD
            21706843.00000000
            ZAR
            2022-06-15
            46296.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -150362.12000000
        -0.01960017880
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4518304.79000000
            USD
            3326000.00000000
            GBP
            2022-06-15
            -150362.12000000
          
        
        
          N
          N
          N
        
      
      
        Davide Campari-Milano NV
        213800ED5AN2J56N6Z02
        Davide Campari-Milano NV
        N/A
        
          
          
        
        -510139.00000000
        NS
        
        -5917139.22000000
        -0.77131784727
        Short
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -151263.24000000
        -0.01971764264
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            42010000.00000000
            ZAR
            2696713.38000000
            USD
            2022-06-15
            -151263.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2775.34000000
        0.000361774363
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4153500.00000000
            CNY
            653586.46000000
            USD
            2022-06-15
            2775.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7723.14000000
        0.001006735771
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            866562.70000000
            USD
            3700500.00000000
            PLN
            2022-06-15
            7723.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14172.45000000
        0.001847423766
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            376653.19000000
            USD
            5765000.00000000
            ZAR
            2022-06-15
            14172.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -632.25000000
        -0.00008241579
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2112659.04000000
            USD
            13479031.00000000
            CNY
            2022-06-15
            -632.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        310.60000000
        0.000040487694
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            64967.00000000
            CHF
            70840.16000000
            USD
            2022-06-15
            310.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        321.60000000
        0.000041921579
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            395500.00000000
            TWD
            14179.11000000
            USD
            2022-06-15
            321.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        355894.78000000
        0.046392012315
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3918284.46000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            355894.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1604.29000000
        -0.00020912428
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490625.00000000
            ZAR
            31656.57000000
            USD
            2022-06-15
            -1604.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        116992.87000000
        0.015250391325
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6055101.29000000
            USD
            8917000.00000000
            NZD
            2022-06-15
            116992.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1328.80000000
        0.000173213290
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3735000.00000000
            CNY
            586565.24000000
            USD
            2022-06-15
            1328.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12788.13000000
        0.001666973267
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1983547.30000000
            USD
            1799500.00000000
            EUR
            2022-06-15
            12788.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        76618.55000000
        0.009987470777
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1394949.68000000
            USD
            21706843.00000000
            ZAR
            2022-06-15
            76618.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7817.27000000
        0.001019005915
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            470209.98000000
            USD
            597716.00000000
            CAD
            2022-06-15
            7817.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22262.99000000
        0.002902051292
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1823342.00000000
            EUR
            2045048.34000000
            USD
            2022-06-15
            22262.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        123700000.00000000
        PA
        USD
        -1897425.09000000
        -0.24733537295
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-17
            0.00000000
            USD
            2901056.98000000
            USD
            123700000.00000000
            USD
            -1897425.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2263.10000000
        -0.00029500225
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            171225500.00000000
            CLP
            212643.57000000
            USD
            2022-06-15
            -2263.10000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796P29
        
          
          
        
        39298000.00000000
        PA
        USD
        39295995.41000000
        5.122357520985
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        108400000.00000000
        PA
        
        3934348.54000000
        0.512854799166
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-09-09
            1078436.73000000
            USD
            0.00000000
            USD
            108400000.00000000
            AUD
            3934348.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1852.24000000
        -0.00024144535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            100558.53000000
            USD
            119993500.00000000
            KRW
            2022-06-15
            -1852.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        78363030.56000000
        PA
        USD
        132466.30000000
        0.017267401957
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus OBFR +/- spread (-3.85% to 0.45%). USD Currency. Maturity 4-24 Months 04/18/22 to 03/22/24
                
                  
                    HYBE Co. Ltd.
                    
                      
                    
                    1051584.91000000
                    USD
                    -23924.60000000
                    USD
                  
                  
                    Hanon Systems
                    
                      
                    
                    615480.99000000
                    USD
                    2955.32000000
                    USD
                  
                  
                    Yuhan Corp.
                    
                      
                    
                    353495.31000000
                    USD
                    2586.90000000
                    USD
                  
                  
                    Samsung Life Insurance Co. Ltd.
                    
                      
                    
                    1543918.29000000
                    USD
                    56134.92000000
                    USD
                  
                  
                    Hankook Tire & Technology Co. Ltd.
                    
                      
                    
                    1238442.78000000
                    USD
                    -16577.11000000
                    USD
                  
                  
                    HMM Co. Ltd.
                    
                      
                    
                    1351898.11000000
                    USD
                    -54362.56000000
                    USD
                  
                  
                    Hyundai Heavy Industries Holdings Co. Ltd.
                    
                      
                    
                    287940.41000000
                    USD
                    184.80000000
                    USD
                  
                  
                    Meritz Securities Co. Ltd.
                    
                      
                    
                    398084.12000000
                    USD
                    18258.49000000
                    USD
                  
                  
                    Doosan Bobcat, Inc.
                    
                      
                    
                    669005.95000000
                    USD
                    -19307.78000000
                    USD
                  
                  
                    Coway Co. Ltd.
                    
                      
                    
                    225013.87000000
                    USD
                    3918.49000000
                    USD
                  
                  
                    Hanmi Pharm Co. Ltd.
                    
                      
                    
                    139447.10000000
                    USD
                    -2510.23000000
                    USD
                  
                  
                    SK Telecom Co. Ltd.
                    
                      
                    
                    1314047.28000000
                    USD
                    -308.42000000
                    USD
                  
                  
                    SK Chemicals Co. Ltd.
                    
                      
                    
                    43835.75000000
                    USD
                    -2617.29000000
                    USD
                  
                  
                    Lotte Shopping Co. Ltd.
                    
                      
                    
                    929641.09000000
                    USD
                    6884.17000000
                    USD
                  
                  
                    LG Household & Health Care Ltd.
                    
                      
                    
                    1008033.73000000
                    USD
                    8534.88000000
                    USD
                  
                  
                    Kangwon Land, Inc.
                    
                      
                    
                    355348.75000000
                    USD
                    -5717.56000000
                    USD
                  
                  
                    Celltrion Healthcare Co. Ltd.
                    
                      
                    
                    1648747.98000000
                    USD
                    -41023.75000000
                    USD
                  
                  
                    L&F Co. Ltd.
                    
                      
                    
                    2353284.98000000
                    USD
                    -249495.03000000
                    USD
                  
                  
                    LG Innotek Co. Ltd.
                    
                      
                    
                    197969.53000000
                    USD
                    9358.47000000
                    USD
                  
                  
                    Industrial Bank of Korea
                    
                      
                    
                    1022053.71000000
                    USD
                    -6575.41000000
                    USD
                  
                  
                    Netmarble Corp.
                    
                      
                    
                    468712.71000000
                    USD
                    -7891.79000000
                    USD
                  
                  
                    SKC Co. Ltd.
                    
                      
                    
                    1849727.08000000
                    USD
                    -99495.28000000
                    USD
                  
                  
                    Samsung Engineering Co. Ltd.
                    
                      
                    
                    122360.76000000
                    USD
                    1599.45000000
                    USD
                  
                  
                    KT&G Corp.
                    
                      
                    
                    345490.59000000
                    USD
                    1208.00000000
                    USD
                  
                  
                    E-MART, Inc.
                    
                      
                    
                    1931724.84000000
                    USD
                    24103.10000000
                    USD
                  
                  
                    CJ Logistics Corp.
                    
                      
                    
                    62050.02000000
                    USD
                    954.64000000
                    USD
                  
                  
                    LG Electronics, Inc.
                    
                      
                    
                    1213312.21000000
                    USD
                    -6271.38000000
                    USD
                  
                  
                    Hyundai Steel Co.
                    
                      
                    
                    424004.07000000
                    USD
                    3687.21000000
                    USD
                  
                  
                    LG Corp.
                    
                      
                    
                    892613.30000000
                    USD
                    27235.83000000
                    USD
                  
                  
                    CJ ENM Co. Ltd.
                    
                      
                    
                    1376905.48000000
                    USD
                    -3210.62000000
                    USD
                  
                  
                    Hyundai Engineering & Construction Co. Ltd.
                    
                      
                    
                    1004685.23000000
                    USD
                    -1830.80000000
                    USD
                  
                  
                    DB Insurance Co. Ltd.
                    
                      
                    
                    711592.80000000
                    USD
                    27149.73000000
                    USD
                  
                  
                    Hyundai Motor Co.
                    
                      
                    
                    1457852.35000000
                    USD
                    -47149.58000000
                    USD
                  
                  
                    S-Oil Corp.
                    
                      
                    
                    162417.46000000
                    USD
                    -7559.29000000
                    USD
                  
                  
                    Samsung Electro-Mechanics Co. Ltd.
                    
                      
                    
                    107985.33000000
                    USD
                    -393.95000000
                    USD
                  
                  
                    Hana Financial Group, Inc.
                    
                      
                    
                    1220360.13000000
                    USD
                    -22065.36000000
                    USD
                  
                  
                    Doosan Heavy Industries & Construction Co. Ltd.
                    
                      
                    
                    620113.97000000
                    USD
                    56971.77000000
                    USD
                  
                  
                    Cheil Worldwide, Inc.
                    
                      
                    
                    465868.31000000
                    USD
                    15349.67000000
                    USD
                  
                  
                    GS Holdings Corp.
                    
                      
                    
                    652063.65000000
                    USD
                    47637.81000000
                    USD
                  
                  
                    LG Chem Ltd.
                    
                      
                    
                    1844872.98000000
                    USD
                    -22701.08000000
                    USD
                  
                  
                    SK Hynix, Inc.
                    
                      
                    
                    527171.68000000
                    USD
                    -3404.73000000
                    USD
                  
                  
                    Seegene, Inc.
                    
                      
                    
                    493851.94000000
                    USD
                    -21545.39000000
                    USD
                  
                  
                    SK, Inc.
                    
                      
                    
                    1346156.72000000
                    USD
                    -8458.26000000
                    USD
                  
                  
                    Hyundai Mobis Co. Ltd.
                    
                      
                    
                    1000398.50000000
                    USD
                    20051.42000000
                    USD
                  
                  
                    NAVER Corp.
                    
                      
                    
                    1126168.50000000
                    USD
                    -19037.42000000
                    USD
                  
                  
                    Korea Shipbuilding & Offshore Engineering Co. Ltd.
                    
                      
                    
                    105765.09000000
                    USD
                    -2203.73000000
                    USD
                  
                  
                    Pan Ocean Co. Ltd.
                    
                      
                    
                    18733.62000000
                    USD
                    531.56000000
                    USD
                  
                  
                    Samsung Fire & Marine Insurance Co. Ltd.
                    
                      
                    
                    5222.46000000
                    USD
                    -436.85000000
                    USD
                  
                  
                    HLB, Inc.
                    
                      
                    
                    21555.51000000
                    USD
                    -10.46000000
                    USD
                  
                  
                    GS Engineering & Construction Corp.
                    
                      
                    
                    7481.01000000
                    USD
                    -120.63000000
                    USD
                  
                  
                    Korea Zinc Co. Ltd.
                    
                      
                    
                    838513.97000000
                    USD
                    -7651.36000000
                    USD
                  
                  
                    LG Display Co. Ltd.
                    
                      
                    
                    995750.95000000
                    USD
                    -260.10000000
                    USD
                  
                  
                    NH Investment & Securities Co. Ltd.
                    
                      
                    
                    906628.86000000
                    USD
                    3657.74000000
                    USD
                  
                  
                    Samsung C&T Corp.
                    
                      
                    
                    369093.14000000
                    USD
                    -5822.58000000
                    USD
                  
                  
                    Samsung Securities Co. Ltd.
                    
                      
                    
                    726569.95000000
                    USD
                    2640.83000000
                    USD
                  
                  
                    NCSoft Corp.
                    
                      
                    
                    116969.41000000
                    USD
                    -975.56000000
                    USD
                  
                  
                    Samsung Heavy Industries Co. Ltd.
                    
                      
                    
                    1449405.00000000
                    USD
                    3836.19000000
                    USD
                  
                  
                    SK Innovation Co. Ltd.
                    
                      
                    
                    2412472.07000000
                    USD
                    -124371.97000000
                    USD
                  
                  
                    Pearl Abyss Corp.
                    
                      
                    
                    1063338.68000000
                    USD
                    66600.52000000
                    USD
                  
                  
                    KB Financial Group, Inc.
                    
                      
                    
                    817558.32000000
                    USD
                    -2360.29000000
                    USD
                  
                  
                    POSCO Chemical Co. Ltd.
                    
                      
                    
                    3072888.15000000
                    USD
                    -59489.19000000
                    USD
                  
                  
                    Lotte Chemical Corp.
                    
                      
                    
                    1344554.12000000
                    USD
                    62188.58000000
                    USD
                  
                  
                    Woori Financial Group, Inc.
                    
                      
                    
                    3108409.36000000
                    USD
                    35703.29000000
                    USD
                  
                  
                    Kakao Corp.
                    
                      
                    
                    1354626.16000000
                    USD
                    -11918.47000000
                    USD
                  
                  
                    Samsung Electronics Co. Ltd.
                    
                      
                    
                    512145.70000000
                    USD
                    436.87000000
                    USD
                  
                  
                    Mirae Asset Securities Co. Ltd.
                    
                      
                    
                    362735.00000000
                    USD
                    7019.63000000
                    USD
                  
                  
                    Korea Investment Holdings Co. Ltd.
                    
                      
                    
                    822836.18000000
                    USD
                    20989.70000000
                    USD
                  
                  
                    Korea Aerospace Industries Ltd.
                    
                      
                    
                    854032.14000000
                    USD
                    22478.70000000
                    USD
                  
                  
                    Iljin Materials Co. Ltd.
                    
                      
                    
                    1540566.87000000
                    USD
                    -108249.82000000
                    USD
                  
                  
                    Shinhan Financial Group Co. Ltd.
                    
                      
                    
                    830875.35000000
                    USD
                    26078.63000000
                    USD
                  
                  
                    Kakao Games Corp.
                    
                      
                    
                    281092.29000000
                    USD
                    -2895.69000000
                    USD
                  
                  
                    Kia Corp.
                    
                      
                    
                    1919889.79000000
                    USD
                    57672.93000000
                    USD
                  
                  
                    Samsung Biologics Co. Ltd.
                    
                      
                    
                    1382735.97000000
                    USD
                    -15215.97000000
                    USD
                  
                  
                    Hyundai Glovis Co. Ltd.
                    
                      
                    
                    1059768.54000000
                    USD
                    31283.21000000
                    USD
                  
                  
                    POSCO Holdings, Inc.
                    
                      
                    
                    2164860.37000000
                    USD
                    -52975.53000000
                    USD
                  
                  
                    Samsung SDI Co. Ltd.
                    
                      
                    
                    1523338.92000000
                    USD
                    -133939.95000000
                    USD
                  
                  
                    Hanwha Solutions Corp.
                    
                      
                    
                    324751.04000000
                    USD
                    -7375.04000000
                    USD
                  
                  
                    Alteogen, Inc.
                    
                      
                    
                    1078771.08000000
                    USD
                    11654.67000000
                    USD
                  
                  
                    Green Cross Corp/South Korea
                    
                      
                    
                    165921.71000000
                    USD
                    -998.63000000
                    USD
                  
                  
                    BGF retail Co. Ltd.
                    
                      
                    
                    241305.69000000
                    USD
                    -8195.85000000
                    USD
                  
                  
                    Celltrion Pharm, Inc.
                    
                      
                    
                    550191.62000000
                    USD
                    1132.23000000
                    USD
                  
                  
                    Orion Corp.
                    
                      
                    
                    77622.18000000
                    USD
                    -2050.98000000
                    USD
                  
                  
                    SK Biopharmaceuticals Co. Ltd.
                    
                      
                    
                    193046.95000000
                    USD
                    2654.38000000
                    USD
                  
                  
                    Kumho Petrochemical Co. Ltd.
                    
                      
                    
                    2068828.78000000
                    USD
                    -20643.22000000
                    USD
                  
                  
                    Amorepacific Corp.
                    
                      
                    
                    629622.15000000
                    USD
                    -16808.61000000
                    USD
                  
                  
                    Ecopro BM Co. Ltd.
                    
                      
                    
                    1124946.98000000
                    USD
                    -25022.39000000
                    USD
                  
                  
                    CJ Corp.
                    
                      
                    
                    656850.89000000
                    USD
                    5473.99000000
                    USD
                  
                  
                    Samsung SDS Co. Ltd.
                    
                      
                    
                    762500.72000000
                    USD
                    42836.72000000
                    USD
                  
                  
                    Celltrion, Inc.
                    
                      
                    
                    322522.57000000
                    USD
                    -17798.88000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-18
            0.00000000
            USD
            0.00000000
            USD
            78363031.00000000
            USD
            -581590.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36408.46000000
        0.004745958130
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1249118.00000000
            EUR
            1422159.23000000
            USD
            2022-06-15
            36408.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1789.42000000
        -0.00023325656
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            734000.00000000
            ZAR
            47970.51000000
            USD
            2022-06-15
            -1789.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -127699.47000000
        -0.01664603056
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18442158.00000000
            ILS
            5664510.66000000
            USD
            2022-06-15
            -127699.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14082.41000000
        0.001835686767
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            368516.88000000
            USD
            1860500.00000000
            BRL
            2022-06-15
            14082.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        269283.61000000
        0.035101971856
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4004895.63000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            269283.61000000
          
        
        
          N
          N
          N
        
      
      
        Banca Generali SpA
        815600903231FA2E7698
        Banca Generali SpA
        N/A
        
          
          
        
        -29313.00000000
        NS
        
        -1084584.53000000
        -0.14137903026
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2610.80000000
        -0.00034032605
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            123053.79000000
            USD
            3437500.00000000
            TWD
            2022-06-15
            -2610.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        325669.20000000
        0.042452012185
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            685953500.00000000
            JPY
            5971248.97000000
            USD
            2022-06-15
            325669.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -18416.71000000
        -0.00240067650
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            764199.65000000
            USD
            2022-06-15
            -18416.71000000
          
        
        
          N
          N
          N
        
      
      
        Stellantis NV
        549300LKT9PW7ZIBDF31
        Stellantis NV
        N/A
        
          
          
        
        205177.00000000
        NS
        
        3321709.28000000
        0.432995330323
        Long
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Assicurazioni Generali SpA
        549300X5UKJVE386ZB61
        Assicurazioni Generali SpA
        N/A
        
          
          
        
        194563.00000000
        NS
        
        4450076.07000000
        0.580081516915
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4790.98000000
        0.000624519424
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            949838.19000000
            USD
            1160506500.00000000
            KRW
            2022-06-15
            4790.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5634.16000000
        0.000734430609
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274438.00000000
            TWD
            190439.71000000
            USD
            2022-06-15
            5634.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1627.85000000
        -0.00021219540
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490625.00000000
            ZAR
            31633.01000000
            USD
            2022-06-15
            -1627.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        51324.73000000
        0.006690341190
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2219271.78000000
            USD
            19999572.00000000
            NOK
            2022-06-15
            51324.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        27100000.00000000
        PA
        USD
        1058574.07000000
        0.137988484383
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-06-15
            1134953.75000000
            USD
            0.00000000
            USD
            27100000.00000000
            USD
            1058574.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8104.55000000
        0.001056453773
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            472594.69000000
            USD
            601057.00000000
            CAD
            2022-06-15
            8104.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3872.50000000
        -0.00050479264
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            35941500.00000000
            HUF
            103238.85000000
            USD
            2022-06-15
            -3872.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -25966.65000000
        -0.00338483510
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            756649.71000000
            USD
            2022-06-15
            -25966.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2301.07000000
        -0.00029995176
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            404500.00000000
            SEK
            40800.61000000
            USD
            2022-06-15
            -2301.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4072.21000000
        0.000530825477
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274436.00000000
            TWD
            188877.69000000
            USD
            2022-06-15
            4072.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        35556.78000000
        0.004634938943
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1331523.00000000
            EUR
            1512726.29000000
            USD
            2022-06-15
            35556.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -276.88000000
        -0.00003609218
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            80500.00000000
            ILS
            25006.11000000
            USD
            2022-06-15
            -276.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3041.24000000
        -0.00039643527
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            391104.00000000
            ILS
            119794.52000000
            USD
            2022-06-15
            -3041.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        10.00000000
        NC
        USD
        19289.82000000
        0.002514489161
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-17
            2593750.00000000
            USD
            19289.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        195653.56000000
        0.025504061523
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2570496.59000000
            USD
            11708000.00000000
            PLN
            2022-06-15
            195653.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -409835.58000000
        -0.05342336652
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11287010.92000000
            USD
            8282500.00000000
            GBP
            2022-06-15
            -409835.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10054.58000000
        -0.00131064636
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1356000.00000000
            ILS
            415830.34000000
            USD
            2022-06-15
            -10054.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14172.92000000
        0.001847485032
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            376652.72000000
            USD
            5765000.00000000
            ZAR
            2022-06-15
            14172.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7480.32000000
        0.000975083415
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1012467.73000000
            USD
            9571993.00000000
            SEK
            2022-06-15
            7480.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3747.32000000
        -0.00048847503
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168793.98000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3747.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41299.52000000
        0.005383523299
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1526033.92000000
            USD
            2022-06-15
            41299.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9279.56000000
        0.001209620050
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            181896.21000000
            USD
            2820000.00000000
            ZAR
            2022-06-15
            9279.56000000
          
        
        
          N
          N
          N
        
      
      
        Salvatore Ferragamo SpA
        5493005GRP0FEE3NRI35
        Salvatore Ferragamo SpA
        N/A
        
          
          
        
        -29918.00000000
        NS
        
        -563500.56000000
        -0.07345408358
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39715.92000000
        0.005177096021
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            464111.82000000
            USD
            2132500.00000000
            PLN
            2022-06-15
            39715.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22013.01000000
        0.002869465607
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1506747.41000000
            USD
            2022-06-15
            22013.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1230.21000000
        -0.00016036177
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200749.00000000
            CLP
            56756.77000000
            USD
            2022-06-15
            -1230.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8937.38000000
        -0.00116501580
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520063.00000000
            BRL
            98010.07000000
            USD
            2022-06-15
            -8937.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14929.45000000
        -0.00194610111
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            24224500.00000000
            MXN
            1186989.22000000
            USD
            2022-06-15
            -14929.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -122118.30000000
        -0.01591850736
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            948898500.00000000
            JPY
            7687568.76000000
            USD
            2022-06-15
            -122118.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        49088.71000000
        0.006398868898
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1631557.78000000
            USD
            7113500.00000000
            PLN
            2022-06-15
            49088.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21290.18000000
        0.002775242426
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4248318.28000000
            USD
            3848632.00000000
            EUR
            2022-06-15
            21290.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.53000000
        0.000000069087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            500.00000000
            TWD
            18.05000000
            USD
            2022-06-15
            0.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15694.49000000
        0.002045826503
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            340372.55000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            15694.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        75.00000000
        NC
        USD
        -96372.25000000
        -0.01256242816
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-06
            19453125.00000000
            USD
            -96372.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7150.07000000
        0.000932034281
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            493092.85000000
            USD
            7378995.00000000
            ZAR
            2022-06-15
            7150.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23220.18000000
        0.003026824042
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5689034.37000000
            USD
            7624000.00000000
            AUD
            2022-06-15
            23220.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        10662600000.00000000
        PA
        
        101883.48000000
        0.013280834461
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-09-23
            2385832.60000000
            USD
            0.00000000
            USD
            10662600000.00000000
            JPY
            101883.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6.89000000
        0.000000898133
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5680.00000000
            SEK
            612.12000000
            USD
            2022-06-15
            6.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -756.00000000
        -0.00009854699
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            216596.21000000
            USD
            1377500.00000000
            CNY
            2022-06-15
            -756.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -409849.69000000
        -0.05342520580
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11287025.03000000
            USD
            8282500.00000000
            GBP
            2022-06-15
            -409849.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.53000000
        0.000000069087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            500.00000000
            TWD
            18.05000000
            USD
            2022-06-15
            0.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4485.30000000
        -0.00058467306
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2116512.25000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -4485.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SONIA
        N/A
        
          
          
          
        
        -266.00000000
        NC
        
        495257.16000000
        0.064558340153
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                3 Month SONIA
                
                  
                
              
            
            2022-09-20
            -65572325.00000000
            GBP
            495257.16000000
          
        
        
          N
          N
          N
        
      
      
        Recordati Industria Chimica e Farmaceutica SpA
        815600FBF92FD3531704
        Recordati Industria Chimica e Farmaceutica SpA
        N/A
        
          
          
        
        -47060.00000000
        NS
        
        -2359559.21000000
        -0.30757601988
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24037.87000000
        -0.00313341252
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7110000.00000000
            SEK
            733571.40000000
            USD
            2022-06-15
            -24037.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -27567.70000000
        -0.00359353705
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5684000.00000000
            CAD
            4518248.19000000
            USD
            2022-06-15
            -27567.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -409665.70000000
        -0.05340122212
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15531670.83000000
            USD
            13631000.00000000
            EUR
            2022-06-15
            -409665.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        836.71000000
        0.000109067799
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            33240.05000000
            USD
            108499.00000000
            ILS
            2022-06-15
            836.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10230.58000000
        0.001333588521
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            251553.29000000
            USD
            1273000.00000000
            BRL
            2022-06-15
            10230.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8.05000000
        -0.00000104934
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5682.00000000
            SEK
            597.40000000
            USD
            2022-06-15
            -8.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -316608.99000000
        -0.04127098510
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10750000.00000000
            AUD
            7737789.81000000
            USD
            2022-06-15
            -316608.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2619.93000000
        -0.00034151617
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            703728.48000000
            USD
            4474500.00000000
            CNY
            2022-06-15
            -2619.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        7000000.00000000
        PA
        
        388354.77000000
        0.050623274869
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-06-14
            192448.31000000
            USD
            0.00000000
            USD
            7000000.00000000
            CAD
            388354.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2077.65000000
        0.000270828261
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            29964500.00000000
            TWD
            1051972.60000000
            USD
            2022-06-15
            2077.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        178290.68000000
        PA
        
        -1842.45000000
        -0.00024016919
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus JIBAR +/- spread (-0.50%). ZAR Currency. Maturity 57 Months 11/09/26
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-11-09
            0.00000000
            USD
            0.00000000
            USD
            178291.00000000
            USD
            -1942.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3295.58000000
        0.000429589295
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1355144.39000000
            USD
            1224500.00000000
            EUR
            2022-06-15
            3295.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43245.14000000
        0.005637141032
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312499.00000000
            PLN
            825861.26000000
            USD
            2022-06-15
            43245.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -634.89000000
        -0.00008275992
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2112661.68000000
            USD
            13479031.00000000
            CNY
            2022-06-15
            -634.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -179.09000000
        -0.00002334494
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            41000.00000000
            BRL
            8252.28000000
            USD
            2022-06-15
            -179.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2163.09000000
        0.000281965635
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            12059000.00000000
            TWD
            424685.85000000
            USD
            2022-06-15
            2163.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -270934.54000000
        -0.03531717581
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            54434000.00000000
            SEK
            5529304.99000000
            USD
            2022-06-15
            -270934.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5844.12000000
        0.000761799560
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274436.00000000
            TWD
            190649.60000000
            USD
            2022-06-15
            5844.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1476.53000000
        -0.00019247036
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            526665.23000000
            USD
            638452000.00000000
            KRW
            2022-06-15
            -1476.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        98974.73000000
        0.012901669681
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            38795000.00000000
            NOK
            4503458.56000000
            USD
            2022-06-15
            98974.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -15.00000000
        NC
        USD
        -213198.47000000
        -0.02779109613
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-06
            -3889500.00000000
            USD
            -213198.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4006.13000000
        0.000522211739
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            137153.52000000
            USD
            47366500.00000000
            HUF
            2022-06-15
            4006.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6909.38000000
        -0.00090065957
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4917000.00000000
            BRL
            1004238.54000000
            USD
            2022-06-15
            -6909.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9032.56000000
        -0.00117742281
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1957523.01000000
            USD
            2368706000.00000000
            KRW
            2022-06-15
            -9032.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ASX 90 Day Bank Accepted Bill
        N/A
        
          
          
        
        1595.00000000
        NC
        
        -2162364.55000000
        -0.28187107109
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                N/A
                ASX 90 Day Bank Accepted Bill
                
                  
                
              
            
            2022-12-08
            1587017088.80000000
            AUD
            -2162364.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -439.08000000
        -0.00005723546
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            36685.85000000
            USD
            1034500.00000000
            TWD
            2022-06-15
            -439.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        35554.86000000
        0.004634688665
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1331522.00000000
            EUR
            1512723.26000000
            USD
            2022-06-15
            35554.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3375.26000000
        -0.00043997583
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1917720.00000000
            BRL
            390990.94000000
            USD
            2022-06-15
            -3375.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        94394.76000000
        0.012304656079
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3740837.49000000
            USD
            4795500.00000000
            CAD
            2022-06-15
            94394.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3296.10000000
        -0.00042965707
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168342.76000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3296.10000000
          
        
        
          N
          N
          N
        
      
      
        Reply SpA
        815600DAEFB0388F3521
        Reply SpA
        N/A
        
          
          
        
        -718.00000000
        NS
        
        -117964.23000000
        -0.01537701117
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7046.02000000
        -0.00091847103
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            337139.34000000
            USD
            9421020.00000000
            TWD
            2022-06-15
            -7046.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3872.63000000
        -0.00050480959
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            35941500.00000000
            HUF
            103238.72000000
            USD
            2022-06-15
            -3872.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21881.84000000
        0.002852367182
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1328093.76000000
            USD
            11890679.00000000
            NOK
            2022-06-15
            21881.84000000
          
        
        
          N
          N
          N
        
      
      
        SNC-Lavalin Group, Inc.
        UL01OYG5OMLM5G6CFM03
        SNC-Lavalin Group, Inc.
        78460T105
        
          
          
        
        -76793.00000000
        NS
        
        -1848953.57000000
        -0.24101695672
        Short
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39750.48000000
        0.005181601027
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1300722.00000000
            EUR
            1482749.88000000
            USD
            2022-06-15
            39750.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9.81000000
        0.000001278764
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            705.60000000
            USD
            570000.00000000
            CLP
            2022-06-15
            9.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        78153.84000000
        0.010187600694
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1393414.32000000
            USD
            21706842.00000000
            ZAR
            2022-06-15
            78153.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16101.96000000
        0.002098941509
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1346454.00000000
            EUR
            1509835.68000000
            USD
            2022-06-15
            16101.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        568.86000000
        0.000074152703
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1244500.00000000
            CNY
            195569.33000000
            USD
            2022-06-15
            568.86000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796M71
        
          
          
        
        49872000.00000000
        PA
        USD
        49668854.88000000
        6.474492621926
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        474000000.00000000
        PA
        
        -4593834.07000000
        -0.59882082774
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-09-23
            0.00000000
            USD
            7803500.32000000
            USD
            474000000.00000000
            EUR
            -4593834.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4792.17000000
        0.000624674544
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            949837.00000000
            USD
            1160506500.00000000
            KRW
            2022-06-15
            4792.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17794.11000000
        0.002319518623
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            338272.93000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17794.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        51321.95000000
        0.006689978809
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2219274.56000000
            USD
            19999572.00000000
            NOK
            2022-06-15
            51321.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ASX 90 Day Bank Accepted Bill
        N/A
        
          
          
        
        305.00000000
        NC
        
        -157023.10000000
        -0.02046845865
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                N/A
                ASX 90 Day Bank Accepted Bill
                
                  
                
              
            
            2022-06-09
            304534438.85000000
            AUD
            -157023.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9279.16000000
        -0.00120956790
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2508000.00000000
            ZAR
            160745.25000000
            USD
            2022-06-15
            -9279.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46941.16000000
        0.006118928950
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3123550.85000000
            USD
            4580500.00000000
            NZD
            2022-06-15
            46941.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8212.68000000
        -0.00107054886
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4301460.00000000
            SEK
            450131.34000000
            USD
            2022-06-15
            -8212.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41077.23000000
        0.005354547094
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1525811.63000000
            USD
            2022-06-15
            41077.23000000
          
        
        
          N
          N
          N
        
      
      
        Limited Purpose Cash Investment Fund
        549300GUQBQJ6160QP80
        Limited Purpose Cash Investment Fund
        90262Y729
        
          
          
        
        255663899.23480000
        NS
        USD
        255536067.29000000
        33.30993610185
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10075.75000000
        -0.00131340594
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1698377.82000000
            USD
            566514282.00000000
            HUF
            2022-06-15
            -10075.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        28618.59000000
        0.003730523891
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            137203500.00000000
            JPY
            1157839.89000000
            USD
            2022-06-15
            28618.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        144.00000000
        0.000018770856
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            33933.07000000
            USD
            108500.00000000
            ILS
            2022-06-15
            144.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        2.00000000
        NC
        USD
        35745.24000000
        0.004659505301
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-04
            518375.50000000
            USD
            35745.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23451.96000000
        0.003057037299
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2077819.23000000
            USD
            19719978.00000000
            SEK
            2022-06-15
            23451.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        -71073450.00000000
        PA
        
        -22974.97000000
        -0.00299486014
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-28
            0.00000000
            USD
            0.00000000
            USD
            -71073450.00000000
            HKD
            -22974.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        WTI Crude Oil
        N/A
        
          
          
        
        160.00000000
        NC
        USD
        -1528015.77000000
        -0.19918169752
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                WTI Crude Oil
                
                  
                
              
            
            2022-04-20
            16044800.00000000
            USD
            -1528015.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20871.73000000
        0.002720696142
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1329103.76000000
            USD
            11890678.00000000
            NOK
            2022-06-15
            20871.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -83741.80000000
        -0.01091600898
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6257788.00000000
            CAD
            4920964.77000000
            USD
            2022-06-15
            -83741.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6540.00000000
        -0.00085250972
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520063.00000000
            BRL
            100407.45000000
            USD
            2022-06-15
            -6540.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -175395.26000000
        -0.02286332792
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9572500.00000000
            CHF
            10216715.13000000
            USD
            2022-06-15
            -175395.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9758.19000000
        -0.00127201098
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2128627.01000000
            USD
            2828000.00000000
            AUD
            2022-06-15
            -9758.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13378.56000000
        -0.00174393768
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3269603.41000000
            USD
            4346000.00000000
            AUD
            2022-06-15
            -13378.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -127831.61000000
        -0.01666325543
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            73854500.00000000
            MXN
            3536520.71000000
            USD
            2022-06-15
            -127831.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -125148.50000000
        -0.01631350353
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            37037369.00000000
            SEK
            3821385.13000000
            USD
            2022-06-15
            -125148.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46724.22000000
        0.006090650134
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3828090.16000000
            USD
            4710465000.00000000
            KRW
            2022-06-15
            46724.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1627.81000000
        -0.00021219019
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490626.00000000
            ZAR
            31633.11000000
            USD
            2022-06-15
            -1627.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22262.99000000
        0.002902051292
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1431728.70000000
            USD
            1818043.00000000
            CAD
            2022-06-15
            22262.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1980.03000000
        -0.00025810318
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6131000.00000000
            MXN
            302214.62000000
            USD
            2022-06-15
            -1980.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        129161.26000000
        0.016836579521
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6950683.07000000
            USD
            8852500.00000000
            CAD
            2022-06-15
            129161.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -82029.81000000
        -0.01069284566
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6849000.00000000
            BRL
            1326420.90000000
            USD
            2022-06-15
            -82029.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.05000000
        0.000000006517
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4.89000000
            USD
            6000.00000000
            KRW
            2022-06-15
            0.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62216.44000000
        0.008110110102
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1903194.84000000
            USD
            39612585.00000000
            MXN
            2022-06-15
            62216.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        69611.65000000
        0.009074099159
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            815888.24000000
            USD
            4306000.00000000
            BRL
            2022-06-15
            69611.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -122108.69000000
        -0.01591725467
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            948898500.00000000
            JPY
            7687578.37000000
            USD
            2022-06-15
            -122108.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7907.59000000
        0.001030779413
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4287624.94000000
            USD
            3872000.00000000
            EUR
            2022-06-15
            7907.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        39404448.10999999
        PA
        
        -3346977.66000000
        -0.43628914372
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Morgan Stanley International
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus CIBOR +/- spread (-0.66% to 0.35%). DKK Currency. Maturity 24 Months 02/21/24
                
                  
                    Genmab A/S
                    
                      
                    
                    1828518.48000000
                    USD
                    -134421.79000000
                    USD
                  
                  
                    Royal Unibrew A/S
                    
                      
                    
                    515896.48000000
                    USD
                    12263.17000000
                    USD
                  
                  
                    GN Store Nord A/S
                    
                      
                    
                    211407.61000000
                    USD
                    7298.53000000
                    USD
                  
                  
                    Novozymes A/S, Class B
                    
                      
                    
                    1827784.41000000
                    USD
                    -225327.04000000
                    USD
                  
                  
                    Jyske Bank A/S (Registered)
                    
                      
                    
                    208884.53000000
                    USD
                    16911.28000000
                    USD
                  
                  
                    Novo Nordisk A/S, Class B
                    
                      
                    
                    801147.30000000
                    USD
                    12908.09000000
                    USD
                  
                  
                    Danske Bank A/S
                    
                      
                    
                    295173.03000000
                    USD
                    -2884.74000000
                    USD
                  
                  
                    Chr Hansen Holding A/S
                    
                      
                    
                    1980545.83000000
                    USD
                    -100343.37000000
                    USD
                  
                  
                    Demant A/S
                    
                      
                    
                    270624.48000000
                    USD
                    37565.18000000
                    USD
                  
                  
                    AP Moller - Maersk A/S, Class B
                    
                      
                    
                    6514760.91000000
                    USD
                    -963232.98000000
                    USD
                  
                  
                    SimCorp A/S
                    
                      
                    
                    465575.57000000
                    USD
                    24715.39000000
                    USD
                  
                  
                    ROCKWOOL International A/S, Class B
                    
                      
                    
                    550623.23000000
                    USD
                    -7136.54000000
                    USD
                  
                  
                    Pandora A/S
                    
                      
                    
                    1116784.28000000
                    USD
                    88028.31000000
                    USD
                  
                  
                    Coloplast A/S, Class B
                    
                      
                    
                    285461.55000000
                    USD
                    -24557.16000000
                    USD
                  
                  
                    Orsted A/S
                    
                      
                    
                    5163950.51000000
                    USD
                    -77151.23000000
                    USD
                  
                  
                    Carlsberg A/S, Class B
                    
                      
                    
                    2913744.36000000
                    USD
                    190920.93000000
                    USD
                  
                  
                    Vestas Wind Systems A/S
                    
                      
                    
                    3341089.42000000
                    USD
                    2029.00000000
                    USD
                  
                  
                    H Lundbeck A/S
                    
                      
                    
                    1575015.91000000
                    USD
                    -40773.79000000
                    USD
                  
                  
                    Tryg A/S
                    
                      
                    
                    3469171.90000000
                    USD
                    -301534.21000000
                    USD
                  
                  
                    ISS A/S
                    
                      
                    
                    2714037.43000000
                    USD
                    100589.92000000
                    USD
                  
                  
                    Ambu A/S, Class B
                    
                      
                    
                    675288.77000000
                    USD
                    -36797.01000000
                    USD
                  
                  
                    DSV A/S
                    
                      
                    
                    2678962.12000000
                    USD
                    -30248.47000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-02-21
            0.00000000
            USD
            0.00000000
            USD
            39404448.00000000
            USD
            -1451178.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20669.06000000
        0.002694277466
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            335397.98000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            20669.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        69614.03000000
        0.009074409400
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5330288.37000000
            USD
            47562716.00000000
            NOK
            2022-06-15
            69614.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2263.36000000
        -0.00029503614
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            171225500.00000000
            CLP
            212643.31000000
            USD
            2022-06-15
            -2263.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -125143.72000000
        -0.01631288045
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            37037369.00000000
            SEK
            3821389.91000000
            USD
            2022-06-15
            -125143.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1778.48000000
        -0.00023183050
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200751.00000000
            CLP
            56208.50000000
            USD
            2022-06-15
            -1778.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2588.21000000
        0.000337381374
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1949000.00000000
            GBP
            2562155.34000000
            USD
            2022-06-15
            2588.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -22956.84000000
        -0.00299249683
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2508000.00000000
            PLN
            569587.11000000
            USD
            2022-06-15
            -22956.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        254734.33000000
        PA
        USD
        -18346.75000000
        -0.00239155699
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                MSCI Daily TR Net Israel Index
                NDEUIS Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            254734.33000000
            USD
            -18346.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4685.08000000
        0.000610715023
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            291586.89000000
            USD
            1254000.00000000
            PLN
            2022-06-15
            4685.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81752.34000000
        0.010656676571
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2019519.06000000
            USD
            19719980.00000000
            SEK
            2022-06-15
            81752.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -125.57000000
        -0.00001636844
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            32000.00000000
            ZAR
            2043.80000000
            USD
            2022-06-15
            -125.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        84000.98000000
        0.010949793921
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4684694.00000000
            GBP
            6236278.44000000
            USD
            2022-06-15
            84000.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42656.14000000
        0.005560363015
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1436968.00000000
            EUR
            1636804.59000000
            USD
            2022-06-15
            42656.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        45.07000000
        0.000005875017
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            663.71000000
            USD
            3000.00000000
            PLN
            2022-06-15
            45.07000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796T58
        
          
          
        
        1947000.00000000
        PA
        USD
        1939921.08000000
        0.252874859908
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-08-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        49626.41000000
        0.006468959797
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740998.00000000
            KRW
            5240823.02000000
            USD
            2022-06-15
            49626.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        19705407.82000000
        PA
        
        1546936.41000000
        0.201648062902
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Switzerland Net Return Index
                M7CH Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            19705407.82000000
            CHF
            1546936.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16513.00000000
        -0.00215252187
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            22852000.00000000
            CNY
            3564162.52000000
            USD
            2022-06-15
            -16513.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        24.00000000
        NC
        USD
        363636.88000000
        0.047401219583
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-03
            6223500.00000000
            USD
            363636.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -513.28000000
        -0.00006690767
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            88979.66000000
            USD
            6782085.00000000
            INR
            2022-06-15
            -513.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3927.60000000
        0.000511975105
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1965430.28000000
            USD
            18482000.00000000
            SEK
            2022-06-15
            3927.60000000
          
        
        
          N
          N
          N
        
      
      
        Atlantia SpA
        8156008DEC771409C487
        Atlantia SpA
        N/A
        
          
          
        
        -109189.00000000
        NS
        
        -2270319.01000000
        -0.29594327703
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8103.95000000
        0.001056375561
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            472594.49000000
            USD
            601056.00000000
            CAD
            2022-06-15
            8103.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.05000000
        0.000000006517
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4.89000000
            USD
            6000.00000000
            KRW
            2022-06-15
            0.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1431.53000000
        0.000186604471
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            160486.36000000
            USD
            1426184.00000000
            NOK
            2022-06-15
            1431.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2211.82000000
        0.000288317745
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            706574.53000000
            USD
            4523500.00000000
            CNY
            2022-06-15
            2211.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31064.94000000
        0.004049413366
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5222261.55000000
            USD
            2022-06-15
            31064.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27343.52000000
        0.003564314476
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5024930.75000000
            USD
            47414507.00000000
            SEK
            2022-06-15
            27343.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3467.84000000
        0.000452043932
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1378899.00000000
            EUR
            1533195.50000000
            USD
            2022-06-15
            3467.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1761.51000000
        0.000229618410
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2589000.00000000
            BRL
            534171.92000000
            USD
            2022-06-15
            1761.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        4.00000000
        NC
        USD
        53052.48000000
        0.006915558878
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-27
            1037063.00000000
            USD
            53052.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        5.00000000
        NC
        USD
        56603.06000000
        0.007378388232
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-27
            1296491.21000000
            USD
            56603.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -310918.88000000
        -0.04052926123
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18448500.00000000
            BRL
            3482890.86000000
            USD
            2022-06-15
            -310918.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1062.44000000
        0.000138492420
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2922925.75000000
            USD
            27441000.00000000
            SEK
            2022-06-15
            1062.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        49086.67000000
        0.006398602978
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1631559.82000000
            USD
            7113500.00000000
            PLN
            2022-06-15
            49086.67000000
          
        
        
          N
          N
          N
        
      
      
        Terna - Rete Elettrica Nazionale
        8156009E94ED54DE7C31
        Terna - Rete Elettrica Nazionale
        N/A
        
          
          
        
        -319449.00000000
        NS
        
        -2743198.19000000
        -0.35758457658
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8665.10000000
        -0.00112952324
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520063.00000000
            BRL
            98282.35000000
            USD
            2022-06-15
            -8665.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6690.23000000
        -0.00087209268
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            658000.00000000
            GBP
            857442.75000000
            USD
            2022-06-15
            -6690.23000000
          
        
        
          N
          N
          N
        
      
      
        Buzzi Unicem SpA
        5299003DX5YLKSVJ6K59
        Buzzi Unicem SpA
        N/A
        
          
          
        
        220176.00000000
        NS
        
        4074393.11000000
        0.531110052632
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        65269.13000000
        0.008508037917
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5256465.74000000
            USD
            2022-06-15
            65269.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3755.58000000
        -0.00048955175
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168802.24000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3755.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1790.35000000
        0.000233377795
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2355500.00000000
            GBP
            3095202.55000000
            USD
            2022-06-15
            1790.35000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -238693.42000000
        -0.03111444365
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            14735999.00000000
            NZD
            9961146.59000000
            USD
            2022-06-15
            -238693.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -95158.89000000
        -0.01240426284
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            43347000.00000000
            ZAR
            2843456.74000000
            USD
            2022-06-15
            -95158.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3194.59000000
        0.000416424929
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            88662500.00000000
            JPY
            732910.55000000
            USD
            2022-06-15
            3194.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42927.99000000
        0.005595799524
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1422666.00000000
            EUR
            1621210.03000000
            USD
            2022-06-15
            42927.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        DAX Index
        N/A
        
          
          
          
        
        -206.00000000
        NC
        
        -2245055.92000000
        -0.29265015319
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              529900LN3S50JPU47S06
            
            Short
            
              
                DAX Index
                DE0008469008
              
            
            2022-06-17
            -74329950.00000000
            EUR
            -2245055.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2.18000000
        0.000000284169
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3500.00000000
            TWD
            124.81000000
            USD
            2022-06-15
            2.18000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796R68
        
          
          
        
        38491000.00000000
        PA
        USD
        38431360.50000000
        5.009649620652
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-07-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -609.29000000
        -0.00007942288
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200750.00000000
            CLP
            57377.69000000
            USD
            2022-06-15
            -609.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        160817425.17999995
        PA
        
        -1237133.80000000
        -0.16126431100
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus CDOR +/- spread (-2.07% to 0.20%). CAD Currency. Maturity 35-61 Months 02/25/25 to 03/22/27
                
                  
                    Northland Power, Inc.
                    
                      
                    
                    916703.60000000
                    USD
                    -8577.53000000
                    USD
                  
                  
                    CCL Industries, Inc., Class B
                    
                      
                    
                    721833.38000000
                    USD
                    27361.67000000
                    USD
                  
                  
                    TMX Group Ltd.
                    
                      
                    
                    297344.14000000
                    USD
                    13082.01000000
                    USD
                  
                  
                    Innergex Renewable Energy, Inc.
                    
                      
                    
                    2417992.56000000
                    USD
                    -23416.28000000
                    USD
                  
                  
                    GFL Environmental, Inc.
                    
                      
                    
                    3234879.22000000
                    USD
                    -229586.65000000
                    USD
                  
                  
                    Pembina Pipeline Corp.
                    
                      
                    
                    2245648.04000000
                    USD
                    -59931.06000000
                    USD
                  
                  
                    Gildan Activewear, Inc.
                    
                      
                    
                    535832.13000000
                    USD
                    -7548.28000000
                    USD
                  
                  
                    Restaurant Brands International, Inc.
                    
                      
                    
                    391447.42000000
                    USD
                    71.41000000
                    USD
                  
                  
                    Brookfield Asset Management, Inc., Class A
                    
                      
                    
                    1607070.35000000
                    USD
                    -15153.09000000
                    USD
                  
                  
                    Canadian Tire Corp. Ltd., Class A
                    
                      
                    
                    2873488.43000000
                    USD
                    -33457.20000000
                    USD
                  
                  
                    National Bank of Canada
                    
                      
                    
                    1992718.22000000
                    USD
                    -86000.45000000
                    USD
                  
                  
                    Shopify, Inc., Class A
                    
                      
                    
                    2733583.76000000
                    USD
                    -53024.39000000
                    USD
                  
                  
                    WSP Global, Inc.
                    
                      
                    
                    3405524.55000000
                    USD
                    67918.45000000
                    USD
                  
                  
                    Fortis, Inc.
                    
                      
                    
                    1441010.18000000
                    USD
                    -28290.43000000
                    USD
                  
                  
                    iA Financial Corp., Inc.
                    
                      
                    
                    1314997.62000000
                    USD
                    9030.69000000
                    USD
                  
                  
                    Royal Bank of Canada
                    
                      
                    
                    1175744.96000000
                    USD
                    -35048.10000000
                    USD
                  
                  
                    Cameco Corp.
                    
                      
                    
                    3400198.59000000
                    USD
                    -201215.19000000
                    USD
                  
                  
                    Open Text Corp.
                    
                      
                    
                    1489571.88000000
                    USD
                    -30625.67000000
                    USD
                  
                  
                    Toronto-Dominion Bank (The)
                    
                      
                    
                    1462202.54000000
                    USD
                    -44117.18000000
                    USD
                  
                  
                    Bank of Nova Scotia (The)
                    
                      
                    
                    2499755.07000000
                    USD
                    -86507.20000000
                    USD
                  
                  
                    Thomson Reuters Corp.
                    
                      
                    
                    610060.29000000
                    USD
                    -3259.78000000
                    USD
                  
                  
                    Algonquin Power & Utilities Corp.
                    
                      
                    
                    5449363.18000000
                    USD
                    -89789.20000000
                    USD
                  
                  
                    Manulife Financial Corp.
                    
                      
                    
                    2363413.32000000
                    USD
                    78758.90000000
                    USD
                  
                  
                    Brookfield Renewable Corp.
                    
                      
                    
                    2699886.25000000
                    USD
                    -2140.81000000
                    USD
                  
                  
                    Boralex, Inc., Class A
                    
                      
                    
                    2288619.13000000
                    USD
                    -87938.26000000
                    USD
                  
                  
                    Dollarama, Inc.
                    
                      
                    
                    1506018.88000000
                    USD
                    -9109.68000000
                    USD
                  
                  
                    Teck Resources Ltd., Class B
                    
                      
                    
                    1261888.96000000
                    USD
                    21567.32000000
                    USD
                  
                  
                    Empire Co. Ltd., Class A
                    
                      
                    
                    1871136.30000000
                    USD
                    35505.03000000
                    USD
                  
                  
                    Nutrien Ltd.
                    
                      
                    
                    1702915.25000000
                    USD
                    68028.95000000
                    USD
                  
                  
                    Fairfax Financial Holdings Ltd.
                    
                      
                    
                    3274987.87000000
                    USD
                    323654.84000000
                    USD
                  
                  
                    BCE, Inc.
                    
                      
                    
                    1665051.47000000
                    USD
                    -27470.74000000
                    USD
                  
                  
                    Kinaxis, Inc.
                    
                      
                    
                    950976.22000000
                    USD
                    34071.85000000
                    USD
                  
                  
                    Quebecor, Inc., Class B
                    
                      
                    
                    1349062.91000000
                    USD
                    33995.59000000
                    USD
                  
                  
                    Tourmaline Oil Corp.
                    
                      
                    
                    3124355.96000000
                    USD
                    330955.29000000
                    USD
                  
                  
                    Cenovus Energy, Inc.
                    
                      
                    
                    257813.86000000
                    USD
                    30176.44000000
                    USD
                  
                  
                    Sun Life Financial, Inc.
                    
                      
                    
                    630637.12000000
                    USD
                    -804.85000000
                    USD
                  
                  
                    Keyera Corp.
                    
                      
                    
                    1320401.88000000
                    USD
                    -66153.80000000
                    USD
                  
                  
                    Kinross Gold Corp.
                    
                      
                    
                    1196393.87000000
                    USD
                    24673.88000000
                    USD
                  
                  
                    Element Fleet Management Corp.
                    
                      
                    
                    1733025.08000000
                    USD
                    86714.36000000
                    USD
                  
                  
                    Franco-Nevada Corp.
                    
                      
                    
                    1827482.27000000
                    USD
                    -12866.73000000
                    USD
                  
                  
                    Whitecap Resources, Inc.
                    
                      
                    
                    1703347.82000000
                    USD
                    19423.40000000
                    USD
                  
                  
                    Pan American Silver Corp.
                    
                      
                    
                    706908.86000000
                    USD
                    14848.88000000
                    USD
                  
                  
                    Toromont Industries Ltd.
                    
                      
                    
                    148451.51000000
                    USD
                    -1990.42000000
                    USD
                  
                  
                    TFI International, Inc.
                    
                      
                    
                    2318023.12000000
                    USD
                    24348.53000000
                    USD
                  
                  
                    Intact Financial Corp.
                    
                      
                    
                    370873.26000000
                    USD
                    3555.64000000
                    USD
                  
                  
                    Boyd Group Services, Inc.
                    
                      
                    
                    748154.17000000
                    USD
                    -68550.71000000
                    USD
                  
                  
                    Canopy Growth Corp.
                    
                      
                    
                    783151.21000000
                    USD
                    -73907.91000000
                    USD
                  
                  
                    Capital Power Corp.
                    
                      
                    
                    2615026.87000000
                    USD
                    -47989.39000000
                    USD
                  
                  
                    Loblaw Cos. Ltd.
                    
                      
                    
                    1384224.83000000
                    USD
                    -21054.18000000
                    USD
                  
                  
                    Emera, Inc.
                    
                      
                    
                    2157933.06000000
                    USD
                    -65089.18000000
                    USD
                  
                  
                    CGI, Inc.
                    
                      
                    
                    1317935.42000000
                    USD
                    -65156.37000000
                    USD
                  
                  
                    Nuvei Corp.
                    
                      
                    
                    178277.81000000
                    USD
                    17750.86000000
                    USD
                  
                  
                    Canadian Imperial Bank of Commerce
                    
                      
                    
                    2401125.26000000
                    USD
                    -164377.46000000
                    USD
                  
                  
                    Saputo, Inc.
                    
                      
                    
                    25224.69000000
                    USD
                    -877.29000000
                    USD
                  
                  
                    Wheaton Precious Metals Corp.
                    
                      
                    
                    1648517.14000000
                    USD
                    23292.02000000
                    USD
                  
                  
                    Rogers Communications, Inc., Class B
                    
                      
                    
                    2810476.37000000
                    USD
                    -110512.52000000
                    USD
                  
                  
                    Bank of Montreal
                    
                      
                    
                    2259220.81000000
                    USD
                    -71189.38000000
                    USD
                  
                  
                    Lightspeed Commerce, Inc.
                    
                      
                    
                    482240.88000000
                    USD
                    -40025.04000000
                    USD
                  
                  
                    TC Energy Corp.
                    
                      
                    
                    2208221.03000000
                    USD
                    -50063.94000000
                    USD
                  
                  
                    Cenovus Energy, Inc.
                    
                      
                    
                    1004367.48000000
                    USD
                    65726.62000000
                    USD
                  
                  
                    TransAlta Renewables, Inc.
                    
                      
                    
                    379858.86000000
                    USD
                    -5978.50000000
                    USD
                  
                  
                    Canada Goose Holdings, Inc.
                    
                      
                    
                    827825.78000000
                    USD
                    -64022.91000000
                    USD
                  
                  
                    Barrick Gold Corp.
                    
                      
                    
                    764666.75000000
                    USD
                    -6453.61000000
                    USD
                  
                  
                    IGM Financial, Inc.
                    
                      
                    
                    1229403.93000000
                    USD
                    -47221.74000000
                    USD
                  
                  
                    Canadian Pacific Railway Ltd.
                    
                      
                    
                    875604.22000000
                    USD
                    -19372.94000000
                    USD
                  
                  
                    Hydro One Ltd.
                    
                      
                    
                    116599.64000000
                    USD
                    3195.23000000
                    USD
                  
                  
                    Canadian National Railway Co.
                    
                      
                    
                    455552.69000000
                    USD
                    -17494.13000000
                    USD
                  
                  
                    BRP, Inc.
                    
                      
                    
                    1652137.81000000
                    USD
                    218102.42000000
                    USD
                  
                  
                    Bausch Health Cos., Inc.
                    
                      
                    
                    676173.97000000
                    USD
                    -25179.75000000
                    USD
                  
                  
                    Brookfield Infrastructure Corp., Class A
                    
                      
                    
                    486132.28000000
                    USD
                    -12150.93000000
                    USD
                  
                  
                    Ritchie Bros Auctioneers, Inc.
                    
                      
                    
                    1674431.19000000
                    USD
                    46947.22000000
                    USD
                  
                  
                    First Quantum Minerals Ltd.
                    
                      
                    
                    254213.53000000
                    USD
                    -15768.74000000
                    USD
                  
                  
                    ARC Resources Ltd.
                    
                      
                    
                    3753046.00000000
                    USD
                    335814.76000000
                    USD
                  
                  
                    Constellation Software, Inc.
                    
                      
                    
                    157264.33000000
                    USD
                    -1758.18000000
                    USD
                  
                  
                    CI Financial Corp.
                    
                      
                    
                    1816781.33000000
                    USD
                    -58101.67000000
                    USD
                  
                  
                    Enbridge, Inc.
                    
                      
                    
                    2224523.98000000
                    USD
                    -41780.24000000
                    USD
                  
                  
                    Canadian Natural Resources Ltd.
                    
                      
                    
                    1859908.15000000
                    USD
                    -6630.48000000
                    USD
                  
                  
                    West Fraser Timber Co. Ltd.
                    
                      
                    
                    5208205.41000000
                    USD
                    -977565.35000000
                    USD
                  
                  
                    AltaGas Ltd.
                    
                      
                    
                    925232.97000000
                    USD
                    -3878.93000000
                    USD
                  
                  
                    Parkland Corp.
                    
                      
                    
                    863367.72000000
                    USD
                    96810.77000000
                    USD
                  
                  
                    CAE, Inc.
                    
                      
                    
                    2484039.80000000
                    USD
                    -149514.38000000
                    USD
                  
                  
                    Stantec, Inc.
                    
                      
                    
                    923883.36000000
                    USD
                    -9756.93000000
                    USD
                  
                  
                    Yamana Gold, Inc.
                    
                      
                    
                    313816.65000000
                    USD
                    -5655.35000000
                    USD
                  
                  
                    Cogeco Communications, Inc.
                    
                      
                    
                    1218682.59000000
                    USD
                    4677.35000000
                    USD
                  
                  
                    Lundin Mining Corp.
                    
                      
                    
                    2047155.39000000
                    USD
                    52719.64000000
                    USD
                  
                  
                    Finning International, Inc.
                    
                      
                    
                    1917302.08000000
                    USD
                    -57633.76000000
                    USD
                  
                  
                    Canadian Utilities Ltd., Class A
                    
                      
                    
                    1564433.20000000
                    USD
                    -61208.65000000
                    USD
                  
                  
                    Atco Ltd., Class I
                    
                      
                    
                    2420961.48000000
                    USD
                    31813.45000000
                    USD
                  
                  
                    Suncor Energy, Inc.
                    
                      
                    
                    2411820.50000000
                    USD
                    80220.71000000
                    USD
                  
                  
                    Alamos Gold, Inc., Class A
                    
                      
                    
                    196276.05000000
                    USD
                    192.98000000
                    USD
                  
                  
                    BlackBerry Ltd.
                    
                      
                    
                    831849.31000000
                    USD
                    -55333.22000000
                    USD
                  
                  
                    SNC-Lavalin Group, Inc.
                    
                      
                    
                    1123462.06000000
                    USD
                    26710.15000000
                    USD
                  
                  
                    Agnico Eagle Mines Ltd.
                    
                      
                    
                    2239896.01000000
                    USD
                    18286.42000000
                    USD
                  
                  
                    Imperial Oil Ltd.
                    
                      
                    
                    2393238.01000000
                    USD
                    231935.86000000
                    USD
                  
                  
                    Magna International, Inc.
                    
                      
                    
                    1923826.07000000
                    USD
                    68044.90000000
                    USD
                  
                  
                    Ballard Power Systems, Inc.
                    
                      
                    
                    3498924.97000000
                    USD
                    1512.86000000
                    USD
                  
                  
                    Air Canada
                    
                      
                    
                    2923132.22000000
                    USD
                    -132177.74000000
                    USD
                  
                  
                    Onex Corp.
                    
                      
                    
                    2196112.95000000
                    USD
                    -47538.40000000
                    USD
                  
                  
                    SSR Mining, Inc.
                    
                      
                    
                    567363.34000000
                    USD
                    3731.43000000
                    USD
                  
                  
                    George Weston Ltd.
                    
                      
                    
                    907580.29000000
                    USD
                    -20645.12000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-02-25
            0.00000000
            USD
            0.00000000
            USD
            160817425.00000000
            USD
            -1290409.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42812.56000000
        0.005580752858
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1347744.00000000
            EUR
            1537977.38000000
            USD
            2022-06-15
            42812.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -756.27000000
        -0.00009858219
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            216596.48000000
            USD
            1377500.00000000
            CNY
            2022-06-15
            -756.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Euro-Bund
        N/A
        
          
          
          
        
        -531.00000000
        NC
        
        146937.00000000
        0.019153703557
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              529900LN3S50JPU47S06
            
            Short
            
              
                Federal Republic of Germany
                Euro-Bund
                
                  
                
              
            
            2022-06-08
            -84248460.00000000
            EUR
            146937.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        34.00000000
        NC
        USD
        134974.23000000
        0.017594318580
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-10
            8815698.63000000
            USD
            134974.23000000
          
        
        
          N
          N
          N
        
      
      
        Tenaris SA
        549300Y7C05BKC4HZB40
        Tenaris SA
        N/A
        
          
          
        
        3958.00000000
        NS
        
        59453.43000000
        0.007749942993
        Long
        EC
        CORP
        LU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2749.99000000
        -0.00035846991
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1126307.68000000
            USD
            1365866500.00000000
            KRW
            2022-06-15
            -2749.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -513.28000000
        -0.00006690767
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            88979.66000000
            USD
            6782085.00000000
            INR
            2022-06-15
            -513.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24.04000000
        -0.00000313369
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5682.00000000
            SEK
            581.41000000
            USD
            2022-06-15
            -24.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ASX 90 Day Bank Accepted Bill
        N/A
        
          
          
        
        1568.00000000
        NC
        
        -1761582.50000000
        -0.22962786089
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                N/A
                ASX 90 Day Bank Accepted Bill
                
                  
                
              
            
            2022-09-08
            1562337058.24000000
            AUD
            -1761582.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -294.77000000
        -0.00003842420
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9200000.00000000
            MXN
            456170.87000000
            USD
            2022-06-15
            -294.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1216.14000000
        -0.00015852770
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            316000.00000000
            EUR
            349349.01000000
            USD
            2022-06-15
            -1216.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1400.94000000
        -0.00018261696
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490625.00000000
            ZAR
            31859.92000000
            USD
            2022-06-15
            -1400.94000000
          
        
        
          N
          N
          N
        
      
      
        Saipem SpA
        549300PHV8MBDHWB8X12
        Saipem SpA
        N/A
        
          
          
        
        362719.00000000
        NS
        
        457208.49000000
        0.059598575452
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        KOSPI 200 Index
        N/A
        
          
          
          
        
        189.00000000
        NC
        
        266197.00000000
        0.034699622462
        N/A
        DE
        
        KR
        N
        
        1
        
          
            
              Market Operation Department of KOFEX
              549300TJ3RRV6Q1UEW14
            
            Long
            
              
                KOSPI 200 Index
                KRD020020016
              
            
            2022-06-09
            17279325000.00000000
            KRW
            266197.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -374.47000000
        -0.00004881335
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15738.62000000
            USD
            438500.00000000
            TWD
            2022-06-15
            -374.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11993.93000000
        0.001563446781
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7468000.00000000
            NOK
            859852.81000000
            USD
            2022-06-15
            11993.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        389.20000000
        0.000050733453
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            33687.87000000
            USD
            108500.00000000
            ILS
            2022-06-15
            389.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -5.00000000
        NC
        USD
        -57620.29000000
        -0.00751098738
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-27
            -1296491.21000000
            USD
            -57620.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 E-Mini Index
        N/A
        
          
          
        
        -346.00000000
        NC
        USD
        -5070222.49000000
        -0.66091956785
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                S&P 500 E-Mini Index
                US78378X1072
              
            
            2022-06-17
            -78381975.00000000
            USD
            -5070222.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        13.00000000
        NC
        USD
        256553.31000000
        0.033442536912
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-29
            3370087.50000000
            USD
            256553.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11995.00000000
        0.001563586259
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7468000.00000000
            NOK
            859853.88000000
            USD
            2022-06-15
            11995.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        310.52000000
        0.000040477265
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            64967.00000000
            CHF
            70840.08000000
            USD
            2022-06-15
            310.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6824.29000000
        -0.00088956782
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9089000.00000000
            MXN
            444133.99000000
            USD
            2022-06-15
            -6824.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18217.91000000
        0.002374762296
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            800834.27000000
            USD
            2022-06-15
            18217.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -33.00000000
        NC
        USD
        -609054.07000000
        -0.07939212796
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-11
            -8555117.87000000
            USD
            -609054.07000000
          
        
        
          N
          N
          N
        
      
      
        Azimut Holding SpA
        81560025690EF8540635
        Azimut Holding SpA
        N/A
        
          
          
        
        30575.00000000
        NS
        
        708837.92000000
        0.092399269004
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1066.01000000
        0.000138957781
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            437508.77000000
            USD
            2799000.00000000
            CNY
            2022-06-15
            1066.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34167.93000000
        0.004453897945
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4650203.48000000
            USD
            4222500.00000000
            EUR
            2022-06-15
            34167.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1016.65000000
        0.000132523549
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8416500.00000000
            ZAR
            571594.97000000
            USD
            2022-06-15
            1016.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27962.79000000
        0.003645038283
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            301272.07000000
            USD
            1601000.00000000
            BRL
            2022-06-15
            27962.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6689.16000000
        -0.00087195320
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            658000.00000000
            GBP
            857443.82000000
            USD
            2022-06-15
            -6689.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        243296.77000000
        0.031714504916
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4030882.06000000
            USD
            20784434.00000000
            BRL
            2022-06-15
            243296.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1265.55000000
        0.000164968452
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9071826.59000000
            USD
            8178500.00000000
            EUR
            2022-06-15
            1265.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        195650.34000000
        0.025503641786
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2570499.81000000
            USD
            11708000.00000000
            PLN
            2022-06-15
            195650.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -68.97000000
        -0.00000899045
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            25666.13000000
            USD
            31117500.00000000
            KRW
            2022-06-15
            -68.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        387953.46000000
        0.050570962839
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            25765000.00000000
            EUR
            28971216.78000000
            USD
            2022-06-15
            387953.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -137668.49000000
        -0.01794552390
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2656492.02000000
            USD
            306044000.00000000
            JPY
            2022-06-15
            -137668.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1786.48000000
        0.000232873328
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2355500.00000000
            GBP
            3095198.68000000
            USD
            2022-06-15
            1786.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        387917.25000000
        0.050566242751
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            25765000.00000000
            EUR
            28971180.57000000
            USD
            2022-06-15
            387917.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3295.89000000
        -0.00042962970
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168342.55000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3295.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10647.66000000
        0.001387956220
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            783489.52000000
            USD
            2528500.00000000
            ILS
            2022-06-15
            10647.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16145.08000000
        -0.00210456233
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3943000.00000000
            CAD
            3137294.76000000
            USD
            2022-06-15
            -16145.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42925.97000000
        0.005595536211
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1422666.00000000
            EUR
            1621208.01000000
            USD
            2022-06-15
            42925.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -562605.39000000
        -0.07333739534
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            21883500.00000000
            AUD
            15833528.21000000
            USD
            2022-06-15
            -562605.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -66428.68000000
        -0.00865918893
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6038000.00000000
            CAD
            4762501.01000000
            USD
            2022-06-15
            -66428.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9204.88000000
        -0.00119988527
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1655594.36000000
            USD
            126216916.00000000
            INR
            2022-06-15
            -9204.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Euro Euribor
        N/A
        
          
          
          
        
        561.00000000
        NC
        
        -292119.10000000
        -0.03807865033
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                N/A
                3 Month Euro Euribor
                
                  
                
              
            
            2022-09-19
            140376225.00000000
            EUR
            -292119.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -120.24000000
        -0.00001567366
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18431.73000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -120.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -61442.20000000
        -0.00800918546
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            17605420.00000000
            SEK
            1814511.30000000
            USD
            2022-06-15
            -61442.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        30000000.00000000
        PA
        
        2184095.18000000
        0.284703727570
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-06-10
            44630.76000000
            USD
            0.00000000
            USD
            30000000.00000000
            AUD
            2184095.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14297.38000000
        0.001863708787
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3269500.00000000
            GBP
            4308040.19000000
            USD
            2022-06-15
            14297.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21931.03000000
        0.002858779254
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1769717.00000000
            EUR
            1985225.69000000
            USD
            2022-06-15
            21931.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44221.04000000
        0.005764352689
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4455992.72000000
            USD
            4056500.00000000
            EUR
            2022-06-15
            44221.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8636.28000000
        -0.00112576646
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1034808.16000000
            USD
            924993.00000000
            EUR
            2022-06-15
            -8636.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -95111.84000000
        -0.01239812972
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1801725.40000000
            USD
            572658750.00000000
            HUF
            2022-06-15
            -95111.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -201071.91000000
        -0.02621036061
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            13080500.00000000
            CAD
            10260142.87000000
            USD
            2022-06-15
            -201071.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        60253056.88000000
        PA
        
        175599.02000000
        0.022889888686
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Mexico Net Index
                M7MX Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            60253056.88000000
            MXN
            175599.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14292.00000000
        0.001863007487
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3269500.00000000
            GBP
            4308034.81000000
            USD
            2022-06-15
            14292.00000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Funds - Treasury Instruments Fund
        549300DAH6N80PM31E83
        Goldman Sachs Financial Square Funds - Treasury Instruments Fund
        38142B500
        
          
          
        
        23461809.86000000
        NS
        USD
        23461809.86000000
        3.058321259924
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        590.16000000
        0.000076929226
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1822732.09000000
            USD
            139781087.00000000
            INR
            2022-06-15
            590.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.20000000
        0.000000026070
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5681.00000000
            SEK
            605.54000000
            USD
            2022-06-15
            0.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        240852.93000000
        0.031395942628
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            14877158.91000000
            USD
            133160500.00000000
            NOK
            2022-06-15
            240852.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1.15000000
        -0.00000014990
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            500.00000000
            MXN
            23.66000000
            USD
            2022-06-15
            -1.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1263.08000000
        -0.00016464648
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            74482.38000000
            USD
            66000.00000000
            EUR
            2022-06-15
            -1263.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9192.64000000
        -0.00119828975
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            97754.61000000
            USD
            2022-06-15
            -9192.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8675.60000000
        0.001130891950
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            475179.48000000
            USD
            605003.00000000
            CAD
            2022-06-15
            8675.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        70471.64000000
        0.009186201581
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1401096.66000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            70471.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        544.94000000
        0.000071034655
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2111481.70000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            544.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -78358.92000000
        -0.01021433352
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6405416.00000000
            CAD
            5044414.10000000
            USD
            2022-06-15
            -78358.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17606.19000000
        0.002295022656
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7618000.00000000
            EUR
            8468888.94000000
            USD
            2022-06-15
            17606.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        22872010.00000000
        PA
        
        181184.18000000
        0.023617931990
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-13
            0.00000000
            USD
            0.00000000
            USD
            22872010.00000000
            BRL
            181184.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
        
        -20.00000000
        NC
        USD
        -208482.92000000
        -0.02717640925
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-12
            -5185110.00000000
            USD
            -208482.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7479.05000000
        0.000974917866
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1012469.00000000
            USD
            9571993.00000000
            SEK
            2022-06-15
            7479.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        783.92000000
        0.000102186456
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            54418000.00000000
            INR
            710619.22000000
            USD
            2022-06-15
            783.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1230.28000000
        -0.00016037089
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200750.00000000
            CLP
            56756.70000000
            USD
            2022-06-15
            -1230.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81745.19000000
        0.010655744546
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5272941.80000000
            USD
            2022-06-15
            81745.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SOFR
        N/A
        
          
          
        
        351.00000000
        NC
        USD
        -88046.11000000
        -0.01147708943
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                3 Month SOFR
                
                  
                
              
            
            2023-03-14
            85626450.00000000
            USD
            -88046.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4377.45000000
        0.000570614478
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2806667.24000000
            USD
            3810000.00000000
            SGD
            2022-06-15
            4377.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -69.00000000
        -0.00000899436
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            25666.16000000
            USD
            31117500.00000000
            KRW
            2022-06-15
            -69.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4241.70000000
        0.000552919035
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274439.00000000
            TWD
            189047.28000000
            USD
            2022-06-15
            4241.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -333330.08000000
        -0.04345063216
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6357214.03000000
            USD
            731918500.00000000
            JPY
            2022-06-15
            -333330.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6583.76000000
        0.000858213978
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1266285.90000000
            USD
            8123500.00000000
            CNY
            2022-06-15
            6583.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1475.87000000
        -0.00019238433
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            526664.57000000
            USD
            638452000.00000000
            KRW
            2022-06-15
            -1475.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4948.70000000
        -0.00064507872
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4133500.00000000
            MXN
            200138.33000000
            USD
            2022-06-15
            -4948.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -513.17000000
        -0.00006689333
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            88979.55000000
            USD
            6782085.00000000
            INR
            2022-06-15
            -513.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7413.80000000
        -0.00096641232
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2119440.91000000
            USD
            13479033.00000000
            CNY
            2022-06-15
            -7413.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -10.00000000
        NC
        USD
        -28776.30000000
        -0.00375108188
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-17
            -2593750.00000000
            USD
            -28776.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        68532.47000000
        0.008933424626
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4132168.00000000
            GBP
            5495193.01000000
            USD
            2022-06-15
            68532.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -23.00000000
        NC
        USD
        -480668.79000000
        -0.06265669989
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-06
            -5961542.50000000
            USD
            -480668.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4.29000000
        -0.00000055921
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            110500.00000000
            CLP
            134.40000000
            USD
            2022-06-15
            -4.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        114.53000000
        0.000014929348
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            598500.00000000
            TWD
            21084.75000000
            USD
            2022-06-15
            114.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14068.94000000
        0.001833930909
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1487291.51000000
            USD
            1825147000.00000000
            KRW
            2022-06-15
            14068.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -55275.45000000
        -0.00720533006
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7020000.00000000
            GBP
            9163893.99000000
            USD
            2022-06-15
            -55275.45000000
          
        
        
          N
          N
          N
        
      
      
        Banco BPM SpA
        815600E4E6DCD2D25E30
        Banco BPM SpA
        N/A
        
          
          
        
        182199.00000000
        NS
        
        536696.05000000
        0.069960030774
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SOFR
        N/A
        
          
          
        
        341.00000000
        NC
        USD
        -113632.24000000
        -0.01481232255
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                3 Month SOFR
                
                  
                
              
            
            2023-06-20
            82901362.50000000
            USD
            -113632.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        15500000.00000000
        PA
        
        466791.46000000
        0.060847745957
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-09-21
            1224623.48000000
            USD
            0.00000000
            USD
            15500000.00000000
            GBP
            466791.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7743.70000000
        -0.00100941583
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2388500.00000000
            CHF
            2585262.90000000
            USD
            2022-06-15
            -7743.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1633.24000000
        -0.00021289800
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490626.00000000
            ZAR
            31627.68000000
            USD
            2022-06-15
            -1633.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1065.46000000
        0.000138886087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            437509.32000000
            USD
            2799000.00000000
            CNY
            2022-06-15
            1065.46000000
          
        
        
          N
          N
          N
        
      
      
        Banco Espirito Santo SA
        635400JV7IJL16OWIT96
        Banco Espirito Santo SA (Registered)
        N/A
        
          
        
        -216618.00000000
        NS
        
        -2.40000000
        -0.00000031284
        Short
        EC
        CORP
        PT
        N
        
        3
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -75.00000000
        NC
        USD
        134926.82000000
        0.017588138536
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-06
            -19453125.00000000
            USD
            134926.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        -596241.00000000
        PA
        USD
        -4317.73000000
        -0.00056282978
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-28
            0.00000000
            USD
            0.00000000
            USD
            -596241.00000000
            USD
            -4317.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1064.55000000
        -0.00013876746
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490624.00000000
            ZAR
            32196.24000000
            USD
            2022-06-15
            -1064.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -95252.89000000
        -0.01241651604
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15358003.47000000
            USD
            14059000.00000000
            CHF
            2022-06-15
            -95252.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16517.46000000
        -0.00215310325
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            22852000.00000000
            CNY
            3564158.06000000
            USD
            2022-06-15
            -16517.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7289.19000000
        0.000950169014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            140058.52000000
            USD
            2173500.00000000
            ZAR
            2022-06-15
            7289.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13493.01000000
        0.001758856609
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            444371.72000000
            USD
            2226500.00000000
            BRL
            2022-06-15
            13493.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34909.92000000
        0.004550618692
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5582862.00000000
            GBP
            7366726.27000000
            USD
            2022-06-15
            34909.92000000
          
        
        
          N
          N
          N
        
      
      
        Interpump Group SpA
        815600C79D0F31F4D395
        Interpump Group SpA
        N/A
        
          
          
        
        -26282.00000000
        NS
        
        -1316982.45000000
        -0.17167283554
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        63835.21000000
        0.008321121901
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1407733.09000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            63835.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8860.93000000
        0.001155050303
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            480577.25000000
            USD
            611984.00000000
            CAD
            2022-06-15
            8860.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        356411.76000000
        0.046459402296
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3917767.27000000
            USD
            20784435.00000000
            BRL
            2022-06-15
            356411.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            500.00000000
            KRW
            0.41000000
            USD
            2022-06-15
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7416.45000000
        -0.00096675775
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2119443.40000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -7416.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        70630745.55000002
        PA
        
        -502858.86999999
        -0.06554924713
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Morgan Stanley International
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus SARON +/- spread (-0.75% to 0.35%). CHF Currency. Maturity 2-52 Months 05/18/22
                
                  
                    EMS-Chemie Holding AG (Registered)
                    
                      
                    
                    1656926.53000000
                    USD
                    -39765.87000000
                    USD
                  
                  
                    Flughafen Zurich AG (Registered)
                    
                      
                    
                    1610176.77000000
                    USD
                    35083.45000000
                    USD
                  
                  
                    Temenos AG (Registered)
                    
                      
                    
                    310019.57000000
                    USD
                    2453.82000000
                    USD
                  
                  
                    Straumann Holding AG (Registered)
                    
                      
                    
                    450265.86000000
                    USD
                    -19817.12000000
                    USD
                  
                  
                    Galenica AG
                    
                      
                    
                    92768.46000000
                    USD
                    748.10000000
                    USD
                  
                  
                    Helvetia Holding AG (Registered)
                    
                      
                    
                    1048201.14000000
                    USD
                    13173.28000000
                    USD
                  
                  
                    Swatch Group AG (The)
                    
                      
                    
                    3178587.26000000
                    USD
                    57508.53000000
                    USD
                  
                  
                    Sulzer AG (Registered)
                    
                      
                    
                    733969.46000000
                    USD
                    -5431.73000000
                    USD
                  
                  
                    Baloise Holding AG (Registered)
                    
                      
                    
                    962636.29000000
                    USD
                    32533.63000000
                    USD
                  
                  
                    Barry Callebaut AG (Registered)
                    
                      
                    
                    656446.62000000
                    USD
                    -9082.60000000
                    USD
                  
                  
                    Chocoladefabriken Lindt & Spruengli AG
                    
                      
                    
                    2070933.80000000
                    USD
                    -99440.56000000
                    USD
                  
                  
                    Tecan Group AG (Registered)
                    
                      
                    
                    1724079.33000000
                    USD
                    139972.36000000
                    USD
                  
                  
                    Sonova Holding AG (Registered)
                    
                      
                    
                    621594.71000000
                    USD
                    51570.83000000
                    USD
                  
                  
                    Belimo Holding AG (Registered)
                    
                      
                    
                    1876972.96000000
                    USD
                    -76767.72000000
                    USD
                  
                  
                    VAT Group AG
                    
                      
                    
                    1446427.93000000
                    USD
                    -40416.54000000
                    USD
                  
                  
                    Credit Suisse Group AG (Registered)
                    
                      
                    
                    832263.69000000
                    USD
                    -23221.68000000
                    USD
                  
                  
                    Zurich Insurance Group AG
                    
                      
                    
                    449448.95000000
                    USD
                    14972.56000000
                    USD
                  
                  
                    Swiss Re AG
                    
                      
                    
                    182772.39000000
                    USD
                    -4678.43000000
                    USD
                  
                  
                    Nestle SA (Registered)
                    
                      
                    
                    1438656.51000000
                    USD
                    -14634.16000000
                    USD
                  
                  
                    Banque Cantonale Vaudoise (Registered)
                    
                      
                    
                    973511.12000000
                    USD
                    -53779.01000000
                    USD
                  
                  
                    Givaudan SA (Registered)
                    
                      
                    
                    2326843.17000000
                    USD
                    -14162.03000000
                    USD
                  
                  
                    Novartis AG (Registered)
                    
                      
                    
                    1541883.08000000
                    USD
                    9625.90000000
                    USD
                  
                  
                    Schindler Holding AG
                    
                      
                    
                    631025.50000000
                    USD
                    32131.63000000
                    USD
                  
                  
                    OC Oerlikon Corp. AG (Registered)
                    
                      
                    
                    352442.64000000
                    USD
                    -8269.44000000
                    USD
                  
                  
                    Lonza Group AG (Registered)
                    
                      
                    
                    1420948.36000000
                    USD
                    -12888.00000000
                    USD
                  
                  
                    Clariant AG (Registered)
                    
                      
                    
                    500062.06000000
                    USD
                    8632.04000000
                    USD
                  
                  
                    dormakaba Holding AG
                    
                      
                    
                    916583.10000000
                    USD
                    -43135.46000000
                    USD
                  
                  
                    UBS Group AG (Registered)
                    
                      
                    
                    1733353.09000000
                    USD
                    93241.46000000
                    USD
                  
                  
                    Roche Holding AG
                    
                      
                    
                    1315575.69000000
                    USD
                    6886.66000000
                    USD
                  
                  
                    Cie Financiere Richemont SA
                    
                      
                    
                    870172.28000000
                    USD
                    -3143.83000000
                    USD
                  
                  
                    Georg Fischer AG (Registered)
                    
                      
                    
                    536494.98000000
                    USD
                    -18495.21000000
                    USD
                  
                  
                    Adecco Group AG (Registered)
                    
                      
                    
                    4050560.67000000
                    USD
                    -87115.85000000
                    USD
                  
                  
                    BKW AG
                    
                      
                    
                    1761673.88000000
                    USD
                    46330.55000000
                    USD
                  
                  
                    SGS SA (Registered)
                    
                      
                    
                    497645.81000000
                    USD
                    -18879.35000000
                    USD
                  
                  
                    Swiss Life Holding AG (Registered)
                    
                      
                    
                    156356.64000000
                    USD
                    2421.38000000
                    USD
                  
                  
                    Logitech International SA (Registered)
                    
                      
                    
                    2452514.31000000
                    USD
                    -17449.71000000
                    USD
                  
                  
                    SIG Combibloc Group AG
                    
                      
                    
                    5213955.59000000
                    USD
                    -268278.62000000
                    USD
                  
                  
                    Idorsia Ltd.
                    
                      
                    
                    2837275.83000000
                    USD
                    -177915.41000000
                    USD
                  
                  
                    Sika AG (Registered)
                    
                      
                    
                    1438552.54000000
                    USD
                    21514.76000000
                    USD
                  
                  
                    Kuehne + Nagel International AG (Registered)
                    
                      
                    
                    1801530.52000000
                    USD
                    -180065.22000000
                    USD
                  
                  
                    Holcim Ltd.
                    
                      
                    
                    176648.76000000
                    USD
                    -6127.01000000
                    USD
                  
                  
                    Julius Baer Group Ltd.
                    
                      
                    
                    604708.19000000
                    USD
                    12120.26000000
                    USD
                  
                  
                    Bucher Industries AG (Registered)
                    
                      
                    
                    872283.66000000
                    USD
                    -11766.36000000
                    USD
                  
                  
                    Bachem Holding AG (Registered), Class B
                    
                      
                    
                    2407749.14000000
                    USD
                    265772.27000000
                    USD
                  
                  
                    DKSH Holding AG
                    
                      
                    
                    1422259.06000000
                    USD
                    -28888.98000000
                    USD
                  
                  
                    Swisscom AG (Registered)
                    
                      
                    
                    2241007.66000000
                    USD
                    -5310.68000000
                    USD
                  
                  
                    Dufry AG (Registered)
                    
                      
                    
                    3253535.20000000
                    USD
                    -118933.67000000
                    USD
                  
                  
                    Partners Group Holding AG
                    
                      
                    
                    1277825.13000000
                    USD
                    60308.97000000
                    USD
                  
                  
                    Geberit AG (Registered)
                    
                      
                    
                    1604020.22000000
                    USD
                    56732.20000000
                    USD
                  
                  
                    Alcon, Inc.
                    
                      
                    
                    492389.17000000
                    USD
                    -10170.92000000
                    USD
                  
                  
                    ams-OSRAM AG
                    
                      
                    
                    1606210.27000000
                    USD
                    77015.87000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-05-18
            0.00000000
            USD
            0.00000000
            USD
            70630746.00000000
            USD
            -377280.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7543.87000000
        -0.00098336735
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            35981500.00000000
            INR
            461803.39000000
            USD
            2022-06-15
            -7543.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        587648.26000000
        0.076601812803
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15961779.47000000
            USD
            23909429.00000000
            NZD
            2022-06-15
            587648.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        38337.82000000
        0.004997456320
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1362676.00000000
            EUR
            1550067.95000000
            USD
            2022-06-15
            38337.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -334131.34000000
        -0.04355507894
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6629276.62000000
            USD
            764877500.00000000
            JPY
            2022-06-15
            -334131.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5843.89000000
        0.000761769579
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274437.00000000
            TWD
            190649.40000000
            USD
            2022-06-15
            5843.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1803.16000000
        -0.00023504761
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200751.00000000
            CLP
            56183.82000000
            USD
            2022-06-15
            -1803.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            500.00000000
            KRW
            0.41000000
            USD
            2022-06-15
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TOPIX Index
        N/A
        
          
          
        
        503.00000000
        NC
        
        6185708.39000000
        0.806326689616
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Japan Securities Clearing
              549300JHM7D8P3TS4S86
            
            Long
            
              
                TOPIX Index
                JP9010100007
              
            
            2022-06-09
            9790895000.00000000
            JPY
            6185708.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9.81000000
        0.000001278764
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            705.60000000
            USD
            570000.00000000
            CLP
            2022-06-15
            9.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4373.94000000
        0.000570156938
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2806670.75000000
            USD
            3810000.00000000
            SGD
            2022-06-15
            4373.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        106244.44000000
        0.013849299416
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5031317.16000000
            USD
            45252000.00000000
            NOK
            2022-06-15
            106244.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -197986.78000000
        -0.02580820414
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10953027.83000000
            USD
            8189500.00000000
            GBP
            2022-06-15
            -197986.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        259186.92000000
        0.033785836321
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2033785000.00000000
            JPY
            16997778.46000000
            USD
            2022-06-15
            259186.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -356.58000000
        -0.00004648133
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            102733500.00000000
            CLP
            128585.16000000
            USD
            2022-06-15
            -356.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20401.52000000
        0.002659402779
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1491491.85000000
            USD
            13316862.00000000
            NOK
            2022-06-15
            20401.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9278.96000000
        -0.00120954183
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2508000.00000000
            ZAR
            160745.45000000
            USD
            2022-06-15
            -9278.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14081.95000000
        0.001835626804
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            368517.34000000
            USD
            1860500.00000000
            BRL
            2022-06-15
            14081.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -72.12000000
        -0.00000940107
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            26315.55000000
            USD
            749000.00000000
            TWD
            2022-06-15
            -72.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1789.36000000
        -0.00023324874
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            734000.00000000
            ZAR
            47970.57000000
            USD
            2022-06-15
            -1789.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -631.18000000
        -0.00008227631
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            29712.69000000
            USD
            830000.00000000
            TWD
            2022-06-15
            -631.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -310914.53000000
        -0.04052869419
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18448500.00000000
            BRL
            3482895.21000000
            USD
            2022-06-15
            -310914.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2944.54000000
        0.000383830119
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338344.00000000
            EUR
            1487681.16000000
            USD
            2022-06-15
            2944.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42601.59000000
        0.005553252250
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            825217.95000000
            USD
            2022-06-15
            42601.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Canada 10 Year Bond
        N/A
        
          
          
        
        329.00000000
        NC
        
        -1442250.89000000
        -0.18800197364
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Long
            
              
                Canada
                Canada 10 Year Bond
                
                  
                
              
            
            2022-06-21
            42898310.00000000
            CAD
            -1442250.89000000
          
        
        
          N
          N
          N
        
      
      
        Unipol Gruppo SpA
        8156005CE5E7340CCA86
        Unipol Gruppo SpA
        N/A
        
          
          
        
        806152.00000000
        NS
        
        4421723.73000000
        0.576385699554
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14070.80000000
        0.001834173366
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1487289.65000000
            USD
            1825147000.00000000
            KRW
            2022-06-15
            14070.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -18.68000000
        -0.00000243499
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            21500.00000000
            MXN
            1048.06000000
            USD
            2022-06-15
            -18.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9829.36000000
        0.001281288222
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            346237.68000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            9829.36000000
          
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        N/A
        
          
          
        
        -163922.00000000
        NS
        
        -375179.08000000
        -0.04890578192
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -48463.40000000
        -0.00631735775
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            25578500.00000000
            MXN
            1220635.11000000
            USD
            2022-06-15
            -48463.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        226487.60000000
        0.029523376343
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4696458.00000000
            GBP
            6394214.39000000
            USD
            2022-06-15
            226487.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5017.50000000
        0.000654047024
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            475680.14000000
            USD
            601055.00000000
            CAD
            2022-06-15
            5017.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17366.23000000
        0.002263743109
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            723550.44000000
            USD
            3136002.00000000
            PLN
            2022-06-15
            17366.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        5444339.74000000
        PA
        USD
        44295.33000000
        0.005774036626
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus OBFR +/- spread (-3.50% to 0.70%). USD Currency. Maturity 50-61 Months 04/17/26 to 02/26/27
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-17
            0.00000000
            USD
            0.00000000
            USD
            5444340.00000000
            USD
            57981.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6710.88000000
        -0.00087478447
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2118737.52000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            -6710.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -150.65000000
        -0.00001963770
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            284699.34000000
            USD
            1816000.00000000
            CNY
            2022-06-15
            -150.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        130430.78000000
        0.017002065475
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4613578.00000000
            GBP
            6189313.59000000
            USD
            2022-06-15
            130430.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53276.17000000
        0.006944717578
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1912135.11000000
            USD
            39612585.00000000
            MXN
            2022-06-15
            53276.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6585.34000000
        0.000858419936
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1266284.32000000
            USD
            8123500.00000000
            CNY
            2022-06-15
            6585.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        70469.89000000
        0.009185973463
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1401098.34000000
            USD
            21706843.00000000
            ZAR
            2022-06-15
            70469.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -64977.02000000
        -0.00846996045
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18560790.00000000
            SEK
            1912776.37000000
            USD
            2022-06-15
            -64977.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -217194.65000000
        -0.02831201086
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6445170.42000000
            USD
            4742335.00000000
            GBP
            2022-06-15
            -217194.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10250.43000000
        -0.00133617603
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            340343.75000000
            USD
            9421020.00000000
            TWD
            2022-06-15
            -10250.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10528.81000000
        0.001372463746
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5666000.00000000
            PLN
            1349186.71000000
            USD
            2022-06-15
            10528.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        149155.57000000
        0.019442901186
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1768262.21000000
            USD
            9324000.00000000
            BRL
            2022-06-15
            149155.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        -1999161.00000000
        PA
        USD
        -13607.54000000
        -0.00177378595
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-28
            0.00000000
            USD
            0.00000000
            USD
            -1999161.00000000
            USD
            -13607.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44.65000000
        0.000005820268
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            202085.20000000
            USD
            1290000.00000000
            CNY
            2022-06-15
            44.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2466.68000000
        -0.00032153955
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            109000.00000000
            CAD
            84706.78000000
            USD
            2022-06-15
            -2466.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -594.96000000
        -0.00007755492
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200751.00000000
            CLP
            57392.02000000
            USD
            2022-06-15
            -594.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -198.19000000
        -0.00002583469
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6329.83000000
            USD
            175000.00000000
            TWD
            2022-06-15
            -198.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5091.81000000
        0.000663733568
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            197926.98000000
            USD
            68123500.00000000
            HUF
            2022-06-15
            5091.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE Bursa Malaysia KLCI Index
        N/A
        
          
          
        
        -6.00000000
        NC
        
        514.49000000
        0.000067065401
        N/A
        DE
        
        MY
        N
        
        1
        
          
            
              Bursa Malaysia Derivatives Clearing
              549300RY3Q0YLHMEXM25
            
            Short
            
              
                FTSE Bursa Malaysia KLCI Index
                MYX020000000
              
            
            2022-04-29
            -474750.00000000
            MYR
            514.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14233.80000000
        -0.00185542093
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            144696000.00000000
            HUF
            416983.14000000
            USD
            2022-06-15
            -14233.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1831.24000000
        -0.00023870793
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2113857.88000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            -1831.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -198.18000000
        -0.00002583339
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6329.82000000
            USD
            175000.00000000
            TWD
            2022-06-15
            -198.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -71830.14000000
        -0.00936328636
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18833262.00000000
            ILS
            5843215.76000000
            USD
            2022-06-15
            -71830.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23227.29000000
        0.003027750853
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5689027.26000000
            USD
            7624000.00000000
            AUD
            2022-06-15
            23227.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        58176.66000000
        0.007583511978
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2283785.95000000
            USD
            3383500.00000000
            NZD
            2022-06-15
            58176.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        255.60000000
        0.000033318269
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            14000.00000000
            EUR
            15786.97000000
            USD
            2022-06-15
            255.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -199.17000000
        -0.00002596244
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18510.66000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -199.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9192.53000000
        -0.00119827541
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520063.00000000
            BRL
            97754.92000000
            USD
            2022-06-15
            -9192.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8795.72000000
        0.001146549973
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            471902.72000000
            USD
            601056.00000000
            CAD
            2022-06-15
            8795.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15987.17000000
        -0.00208397826
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6183500.00000000
            PLN
            1444936.08000000
            USD
            2022-06-15
            -15987.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        58498081.07999999
        PA
        USD
        -1409921.85999999
        -0.18378778214
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Morgan Stanley International
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus Fed +/- spread (-6.25% to 0.40%). USD Currency. Maturity 13-24 Months 04/19/23 to 04/20/23
                
                  
                    Braskem SA, Class A
                    
                      
                    
                    1118421.36000000
                    USD
                    12720.93000000
                    USD
                  
                  
                    TOTVS SA
                    
                      
                    
                    142889.91000000
                    USD
                    -17006.28000000
                    USD
                  
                  
                    Suzano SA
                    
                      
                    
                    1378445.93000000
                    USD
                    76662.27000000
                    USD
                  
                  
                    Cheng Shin Rubber Industry Co. Ltd.
                    
                      
                    
                    243754.70000000
                    USD
                    -2181.10000000
                    USD
                  
                  
                    JBS SA
                    
                      
                    
                    2084732.99000000
                    USD
                    127942.31000000
                    USD
                  
                  
                    Cathay Financial Holding Co. Ltd.
                    
                      
                    
                    640623.89000000
                    USD
                    -2055.21000000
                    USD
                  
                  
                    Formosa Chemicals & Fibre Corp.
                    
                      
                    
                    381509.45000000
                    USD
                    -15085.35000000
                    USD
                  
                  
                    Catcher Technology Co. Ltd.
                    
                      
                    
                    1409731.86000000
                    USD
                    -56160.84000000
                    USD
                  
                  
                    Wistron Corp.
                    
                      
                    
                    2069.96000000
                    USD
                    -11.75000000
                    USD
                  
                  
                    Hiwin Technologies Corp.
                    
                      
                    
                    91299.60000000
                    USD
                    -10389.90000000
                    USD
                  
                  
                    Novatek Microelectronics Corp.
                    
                      
                    
                    705778.44000000
                    USD
                    -88569.43000000
                    USD
                  
                  
                    Cia Siderurgica Nacional SA
                    
                      
                    
                    784008.15000000
                    USD
                    49484.67000000
                    USD
                  
                  
                    Zhen Ding Technology Holding Ltd.
                    
                      
                    
                    126598.57000000
                    USD
                    1114.77000000
                    USD
                  
                  
                    Yageo Corp.
                    
                      
                    
                    313469.78000000
                    USD
                    18531.82000000
                    USD
                  
                  
                    SinoPac Financial Holdings Co. Ltd.
                    
                      
                    
                    25582.12000000
                    USD
                    882.12000000
                    USD
                  
                  
                    Compal Electronics, Inc.
                    
                      
                    
                    397763.98000000
                    USD
                    -8355.72000000
                    USD
                  
                  
                    Evergreen Marine Corp. Taiwan Ltd.
                    
                      
                    
                    325371.24000000
                    USD
                    -38551.76000000
                    USD
                  
                  
                    Asia Cement Corp.
                    
                      
                    
                    33771.94000000
                    USD
                    -296.06000000
                    USD
                  
                  
                    Telefonica Brasil SA
                    
                      
                    
                    195090.79000000
                    USD
                    15630.97000000
                    USD
                  
                  
                    Via S/A
                    
                      
                    
                    944261.66000000
                    USD
                    207220.27000000
                    USD
                  
                  
                    Uni-President Enterprises Corp.
                    
                      
                    
                    221369.89000000
                    USD
                    -4096.91000000
                    USD
                  
                  
                    B3 SA - Brasil Bolsa Balcao
                    
                      
                    
                    1296779.07000000
                    USD
                    -212256.27000000
                    USD
                  
                  
                    United Microelectronics Corp.
                    
                      
                    
                    235062.35000000
                    USD
                    -3862.45000000
                    USD
                  
                  
                    Nanya Technology Corp.
                    
                      
                    
                    1894070.17000000
                    USD
                    -196690.63000000
                    USD
                  
                  
                    Micro-Star International Co. Ltd.
                    
                      
                    
                    8979.32000000
                    USD
                    -1134.68000000
                    USD
                  
                  
                    Wan Hai Lines Ltd.
                    
                      
                    
                    115003.87000000
                    USD
                    -8319.46000000
                    USD
                  
                  
                    Chang Hwa Commercial Bank Ltd.
                    
                      
                    
                    117857.39000000
                    USD
                    4591.37000000
                    USD
                  
                  
                    Largan Precision Co. Ltd.
                    
                      
                    
                    130738.83000000
                    USD
                    -9081.57000000
                    USD
                  
                  
                    Equatorial Energia SA
                    
                      
                    
                    366945.37000000
                    USD
                    -32457.79000000
                    USD
                  
                  
                    China Steel Corp.
                    
                      
                    
                    660637.81000000
                    USD
                    14925.19000000
                    USD
                  
                  
                    Pegatron Corp.
                    
                      
                    
                    1840702.93000000
                    USD
                    -50394.07000000
                    USD
                  
                  
                    Vanguard International Semiconductor Corp.
                    
                      
                    
                    43060.03000000
                    USD
                    -589.97000000
                    USD
                  
                  
                    CTBC Financial Holding Co. Ltd.
                    
                      
                    
                    230317.91000000
                    USD
                    8950.91000000
                    USD
                  
                  
                    Banco BTG Pactual SA
                    
                      
                    
                    1248659.85000000
                    USD
                    -109168.89000000
                    USD
                  
                  
                    Hon Hai Precision Industry Co. Ltd.
                    
                      
                    
                    481009.70000000
                    USD
                    -2472.00000000
                    USD
                  
                  
                    Shanghai Commercial & Savings Bank Ltd. (The)
                    
                      
                    
                    207387.63000000
                    USD
                    4052.33000000
                    USD
                  
                  
                    Winbond Electronics Corp.
                    
                      
                    
                    670507.94000000
                    USD
                    -104793.06000000
                    USD
                  
                  
                    Far EasTone Telecommunications Co. Ltd.
                    
                      
                    
                    361279.57000000
                    USD
                    -6490.73000000
                    USD
                  
                  
                    Oneness Biotech Co. Ltd.
                    
                      
                    
                    805622.14000000
                    USD
                    40177.51000000
                    USD
                  
                  
                    Banco Inter SA
                    
                      
                    
                    2058974.38000000
                    USD
                    -364315.64000000
                    USD
                  
                  
                    ASMedia Technology, Inc.
                    
                      
                    
                    1336236.15000000
                    USD
                    -26750.15000000
                    USD
                  
                  
                    Innolux Corp.
                    
                      
                    
                    2106416.30000000
                    USD
                    -171800.50000000
                    USD
                  
                  
                    Fubon Financial Holding Co. Ltd.
                    
                      
                    
                    165170.55000000
                    USD
                    44.72000000
                    USD
                  
                  
                    ASE Technology Holding Co. Ltd.
                    
                      
                    
                    702002.55000000
                    USD
                    -21558.75000000
                    USD
                  
                  
                    Formosa Plastics Corp.
                    
                      
                    
                    384649.53000000
                    USD
                    -10259.27000000
                    USD
                  
                  
                    Advantech Co. Ltd.
                    
                      
                    
                    1447938.78000000
                    USD
                    73888.72000000
                    USD
                  
                  
                    Raia Drogasil SA
                    
                      
                    
                    128221.72000000
                    USD
                    -9499.02000000
                    USD
                  
                  
                    China Development Financial Holding Corp.
                    
                      
                    
                    907962.59000000
                    USD
                    -2620.19000000
                    USD
                  
                  
                    Taishin Financial Holding Co. Ltd.
                    
                      
                    
                    1646.13000000
                    USD
                    63.49000000
                    USD
                  
                  
                    Alpargatas SA
                    
                      
                    
                    76659.56000000
                    USD
                    4296.53000000
                    USD
                  
                  
                    Airtac International Group
                    
                      
                    
                    240070.58000000
                    USD
                    -2379.54000000
                    USD
                  
                  
                    Vibra Energia SA
                    
                      
                    
                    761646.69000000
                    USD
                    73126.77000000
                    USD
                  
                  
                    AU Optronics Corp.
                    
                      
                    
                    1754249.14000000
                    USD
                    -185296.06000000
                    USD
                  
                  
                    Inventec Corp.
                    
                      
                    
                    190299.90000000
                    USD
                    7058.10000000
                    USD
                  
                  
                    Delta Electronics, Inc.
                    
                      
                    
                    250336.65000000
                    USD
                    -735.15000000
                    USD
                  
                  
                    Hotai Motor Co. Ltd.
                    
                      
                    
                    331693.97000000
                    USD
                    -2370.77000000
                    USD
                  
                  
                    Yang Ming Marine Transport Corp.
                    
                      
                    
                    964608.77000000
                    USD
                    -97346.23000000
                    USD
                  
                  
                    Rumo SA
                    
                      
                    
                    789759.61000000
                    USD
                    -122532.02000000
                    USD
                  
                  
                    Yuanta Financial Holding Co. Ltd.
                    
                      
                    
                    195136.77000000
                    USD
                    1398.33000000
                    USD
                  
                  
                    MediaTek, Inc.
                    
                      
                    
                    155602.69000000
                    USD
                    16156.31000000
                    USD
                  
                  
                    Taiwan Cement Corp.
                    
                      
                    
                    43362.10000000
                    USD
                    -777.10000000
                    USD
                  
                  
                    WEG SA
                    
                      
                    
                    935276.67000000
                    USD
                    -96096.12000000
                    USD
                  
                  
                    Silergy Corp.
                    
                      
                    
                    469003.25000000
                    USD
                    -20442.45000000
                    USD
                  
                  
                    Chailease Holding Co. Ltd.
                    
                      
                    
                    1382361.34000000
                    USD
                    -34487.34000000
                    USD
                  
                  
                    Wiwynn Corp.
                    
                      
                    
                    1834372.98000000
                    USD
                    29426.62000000
                    USD
                  
                  
                    E.Sun Financial Holding Co. Ltd.
                    
                      
                    
                    2506079.71000000
                    USD
                    -110756.59000000
                    USD
                  
                  
                    Pou Chen Corp.
                    
                      
                    
                    895507.96000000
                    USD
                    -10181.64000000
                    USD
                  
                  
                    Taiwan Cooperative Financial Holding Co. Ltd.
                    
                      
                    
                    313039.51000000
                    USD
                    -14841.01000000
                    USD
                  
                  
                    eMemory Technology, Inc.
                    
                      
                    
                    317729.65000000
                    USD
                    -19635.15000000
                    USD
                  
                  
                    Formosa Petrochemical Corp.
                    
                      
                    
                    617038.29000000
                    USD
                    23440.11000000
                    USD
                  
                  
                    Engie Brasil Energia SA
                    
                      
                    
                    140771.47000000
                    USD
                    14448.02000000
                    USD
                  
                  
                    Vale SA
                    
                      
                    
                    78390.78000000
                    USD
                    5300.87000000
                    USD
                  
                  
                    Itausa SA
                    
                      
                    
                    119668.98000000
                    USD
                    -11707.98000000
                    USD
                  
                  
                    Mega Financial Holding Co. Ltd.
                    
                      
                    
                    824248.54000000
                    USD
                    -39690.94000000
                    USD
                  
                  
                    Natura & Co. Holding SA
                    
                      
                    
                    634144.78000000
                    USD
                    -62359.05000000
                    USD
                  
                  
                    momo.com, Inc.
                    
                      
                    
                    32503.76000000
                    USD
                    -494.06000000
                    USD
                  
                  
                    Lojas Renner SA
                    
                      
                    
                    49829.87000000
                    USD
                    -10608.08000000
                    USD
                  
                  
                    Quanta Computer, Inc.
                    
                      
                    
                    339932.03000000
                    USD
                    24036.97000000
                    USD
                  
                  
                    TIM SA/Brazil
                    
                      
                    
                    1464429.90000000
                    USD
                    111172.02000000
                    USD
                  
                  
                    Lite-On Technology Corp.
                    
                      
                    
                    103962.13000000
                    USD
                    -6900.27000000
                    USD
                  
                  
                    Centrais Eletricas Brasileiras SA
                    
                      
                    
                    47863.39000000
                    USD
                    -7243.39000000
                    USD
                  
                  
                    Localiza Rent a Car SA
                    
                      
                    
                    782831.52000000
                    USD
                    -121591.52000000
                    USD
                  
                  
                    BB Seguridade Participacoes SA
                    
                      
                    
                    226553.39000000
                    USD
                    -31340.41000000
                    USD
                  
                  
                    Cosan SA
                    
                      
                    
                    1237874.00000000
                    USD
                    -151910.24000000
                    USD
                  
                  
                    Win Semiconductors Corp.
                    
                      
                    
                    837436.02000000
                    USD
                    120065.98000000
                    USD
                  
                  
                    Ultrapar Participacoes SA
                    
                      
                    
                    233601.83000000
                    USD
                    -34012.85000000
                    USD
                  
                  
                    Unimicron Technology Corp.
                    
                      
                    
                    758586.77000000
                    USD
                    -46373.17000000
                    USD
                  
                  
                    Foxconn Technology Co. Ltd.
                    
                      
                    
                    298292.52000000
                    USD
                    -7518.88000000
                    USD
                  
                  
                    Banco do Brasil SA
                    
                      
                    
                    1898604.30000000
                    USD
                    151040.05000000
                    USD
                  
                  
                    Energisa SA
                    
                      
                    
                    96368.24000000
                    USD
                    -13768.56000000
                    USD
                  
                  
                    Petroleo Brasileiro SA
                    
                      
                    
                    1601170.96000000
                    USD
                    240630.75000000
                    USD
                  
                  
                    Shin Kong Financial Holding Co. Ltd.
                    
                      
                    
                    11303.69000000
                    USD
                    211.23000000
                    USD
                  
                  
                    BRF SA
                    
                      
                    
                    135489.65000000
                    USD
                    13967.13000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2023-04-19
            0.00000000
            USD
            0.00000000
            USD
            58498081.00000000
            USD
            -1358011.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5473.80000000
        0.000713527175
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            241451.66000000
            USD
            82856500.00000000
            HUF
            2022-06-15
            5473.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Euro STOXX 50 Index
        N/A
        
          
          
          
        
        -1295.00000000
        NC
        
        -2534754.32000000
        -0.33041325762
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro STOXX 50 Index
                EU0009658145
              
            
            2022-06-17
            -49507850.00000000
            EUR
            -2534754.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -199.14000000
        -0.00002595853
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18510.63000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -199.14000000
          
        
        
          N
          N
          N
        
      
      
        Moncler SpA
        815600EBD7FB00525B20
        Moncler SpA
        N/A
        
          
          
        
        -58868.00000000
        NS
        
        -3266108.56000000
        -0.42574760028
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13492.45000000
        0.001758783611
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            444372.28000000
            USD
            2226500.00000000
            BRL
            2022-06-15
            13492.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Soybean
        N/A
        
          
          
        
        -383.00000000
        NC
        USD
        -673838.90000000
        -0.08783703584
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                Soybean
                
                  
                
              
            
            2022-05-13
            -30989487.50000000
            USD
            -673838.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        325661.74000000
        0.042451039750
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            685953500.00000000
            JPY
            5971241.51000000
            USD
            2022-06-15
            325661.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4058.69000000
        0.000529063102
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274437.00000000
            TWD
            188864.20000000
            USD
            2022-06-15
            4058.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        14.00000000
        NC
        USD
        152689.18000000
        0.019903518447
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-13
            3629713.50000000
            USD
            152689.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17513.78000000
        0.002282976719
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            338553.26000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17513.78000000
          
        
        
          N
          N
          N
        
      
      
        Brembo SpA
        549300BLWVJN2BAT0A44
        Brembo SpA
        N/A
        
          
          
        
        -93321.00000000
        NS
        
        -1038905.38000000
        -0.13542460831
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Euro Euribor
        N/A
        
          
          
          
        
        119.00000000
        NC
        
        -35965.04000000
        -0.00468815692
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                N/A
                3 Month Euro Euribor
                
                  
                
              
            
            2022-06-13
            29854125.00000000
            EUR
            -35965.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -48461.87000000
        -0.00631715831
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            25578500.00000000
            MXN
            1220636.64000000
            USD
            2022-06-15
            -48461.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        -9297888.00000000
        PA
        
        -25826.41000000
        -0.00336655438
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-27
            0.00000000
            USD
            0.00000000
            USD
            -9297888.00000000
            ILS
            -25826.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -294.20000000
        -0.00003834990
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9200000.00000000
            MXN
            456171.44000000
            USD
            2022-06-15
            -294.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1066.09000000
        0.000138968209
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2922922.10000000
            USD
            27441000.00000000
            SEK
            2022-06-15
            1066.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4978.62000000
        -0.00064897889
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            170025.25000000
            USD
            4710509.00000000
            TWD
            2022-06-15
            -4978.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        45357.37000000
        0.005912476905
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            502784.75000000
            USD
            2665500.00000000
            BRL
            2022-06-15
            45357.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17249.16000000
        0.002248482664
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1076035.88000000
            USD
            1579500.00000000
            NZD
            2022-06-15
            17249.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -13.00000000
        NC
        USD
        -267318.33000000
        -0.03484579138
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-29
            -3370087.50000000
            USD
            -267318.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -67658.09000000
        -0.00881944642
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            25174500.00000000
            MXN
            1181395.62000000
            USD
            2022-06-15
            -67658.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        78393.19000000
        0.010218800725
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4558324.00000000
            GBP
            6064712.47000000
            USD
            2022-06-15
            78393.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -83747.95000000
        -0.01091681065
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6257788.00000000
            CAD
            4920958.62000000
            USD
            2022-06-15
            -83747.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13502.48000000
        -0.00176009105
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            159209000.00000000
            HUF
            460965.50000000
            USD
            2022-06-15
            -13502.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -439.03000000
        -0.00005722895
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            36685.80000000
            USD
            1034500.00000000
            TWD
            2022-06-15
            -439.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -66434.64000000
        -0.00865996583
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6038000.00000000
            CAD
            4762495.05000000
            USD
            2022-06-15
            -66434.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        98980.36000000
        0.012902403570
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            38795000.00000000
            NOK
            4503464.19000000
            USD
            2022-06-15
            98980.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8676.21000000
        0.001130971466
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            475179.67000000
            USD
            605004.00000000
            CAD
            2022-06-15
            8676.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33839.91000000
        -0.00441113949
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3421000.00000000
            BRL
            669665.69000000
            USD
            2022-06-15
            -33839.91000000
          
        
        
          N
          N
          N
        
      
      
        Enel SpA
        WOCMU6HCI0OJWNPRZS33
        Enel SpA
        N/A
        
          
          
        
        -65129.00000000
        NS
        
        -434850.37000000
        -0.05668412366
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Corn
        N/A
        
          
          
        
        206.00000000
        NC
        USD
        -21229.43000000
        -0.00276732347
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Corn
                
                  
                
              
            
            2022-05-13
            7712125.00000000
            USD
            -21229.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        63833.44000000
        0.008320891176
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1407734.72000000
            USD
            21706842.00000000
            ZAR
            2022-06-15
            63833.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21051.33000000
        0.002744107571
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2373901.17000000
            USD
            2911453000.00000000
            KRW
            2022-06-15
            21051.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -67656.61000000
        -0.00881925350
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            25174500.00000000
            MXN
            1181397.10000000
            USD
            2022-06-15
            -67656.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        12900000.00000000
        PA
        
        1325994.29000000
        0.172847557449
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-06-15
            83764.06000000
            USD
            0.00000000
            USD
            12900000.00000000
            GBP
            1325994.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        144.05000000
        0.000018777373
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            33933.34000000
            USD
            108501.00000000
            ILS
            2022-06-15
            144.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27963.16000000
        0.003645086514
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            301271.70000000
            USD
            1601000.00000000
            BRL
            2022-06-15
            27963.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        10.00000000
        NC
        USD
        -14714.42000000
        -0.00191807127
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-24
            2593750.00000000
            USD
            -14714.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1762.17000000
        0.000229704443
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2589000.00000000
            BRL
            534172.58000000
            USD
            2022-06-15
            1762.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        117000.44000000
        0.015251378099
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6055093.72000000
            USD
            8917000.00000000
            NZD
            2022-06-15
            117000.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        78385.61000000
        0.010217812648
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4558324.00000000
            GBP
            6064704.89000000
            USD
            2022-06-15
            78385.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -74.23000000
        -0.00000967611
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4500.00000000
            BRL
            851.16000000
            USD
            2022-06-15
            -74.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5219.36000000
        -0.00068036011
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12600500.00000000
            CNY
            1969150.58000000
            USD
            2022-06-15
            -5219.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -28342.37000000
        -0.00369451773
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3052897.17000000
            USD
            28384796.00000000
            SEK
            2022-06-15
            -28342.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        919.20000000
        0.000119820632
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            42960000.00000000
            HUF
            128946.79000000
            USD
            2022-06-15
            919.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        129169.95000000
        0.016837712290
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6950674.38000000
            USD
            8852500.00000000
            CAD
            2022-06-15
            129169.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4978.41000000
        -0.00064895151
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170025.07000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -4978.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        214772.36000000
        0.027996257686
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4558326.00000000
            GBP
            6201094.26000000
            USD
            2022-06-15
            214772.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -416784.13000000
        -0.05432913203
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            13943000.00000000
            AUD
            10029958.43000000
            USD
            2022-06-15
            -416784.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -595.03000000
        -0.00007756404
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200749.00000000
            CLP
            57391.95000000
            USD
            2022-06-15
            -595.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        33100000.00000000
        PA
        
        3149473.98000000
        0.410543913197
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-06-15
            1162205.53000000
            USD
            0.00000000
            USD
            33100000.00000000
            EUR
            3149473.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SGX NIFTY 50 Index
        N/A
        
          
          
          
        
        -25.00000000
        NC
        USD
        -4817.50000000
        -0.00062797639
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing
              549300ZLWT3FK3F0FW61
            
            Short
            
              
                SGX NIFTY 50 Index
                XC0006013996
              
            
            2022-04-28
            -876825.00000000
            USD
            -4817.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        328.54000000
        0.000042826230
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            66321.00000000
            CHF
            72328.03000000
            USD
            2022-06-15
            328.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16908.91000000
        0.002204129998
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            339158.13000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            16908.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -8.00000000
        NC
        USD
        -87631.69000000
        -0.01142306847
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-24
            -2074300.00000000
            USD
            -87631.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -85360.16000000
        -0.01112696734
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            21430000.00000000
            ZAR
            1367440.10000000
            USD
            2022-06-15
            -85360.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        738466.55000000
        0.096261454810
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            28498998.85000000
            USD
            39022497.00000000
            AUD
            2022-06-15
            738466.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10054.06000000
        -0.00131057857
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1356000.00000000
            ILS
            415830.86000000
            USD
            2022-06-15
            -10054.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12900.64000000
        0.001681639302
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            346689.43000000
            USD
            1522000.00000000
            PLN
            2022-06-15
            12900.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -26959.19000000
        -0.00351421584
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3326473.30000000
            USD
            30965230.00000000
            SEK
            2022-06-15
            -26959.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        89000000.00000000
        PA
        
        -54942.39000000
        -0.00716191463
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-23
            583940.04000000
            USD
            0.00000000
            USD
            89000000.00000000
            GBP
            -54942.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42600.55000000
        0.005553116683
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312499.00000000
            PLN
            825216.67000000
            USD
            2022-06-15
            42600.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20047.47000000
        0.002613251239
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1329928.24000000
            USD
            11890680.00000000
            NOK
            2022-06-15
            20047.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        214238.44000000
        0.027926659522
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4546560.00000000
            GBP
            6185108.39000000
            USD
            2022-06-15
            214238.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        37730.90000000
        0.004918342374
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1298016.00000000
            EUR
            1477728.30000000
            USD
            2022-06-15
            37730.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4.29000000
        -0.00000055921
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            110500.00000000
            CLP
            134.40000000
            USD
            2022-06-15
            -4.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.43000000
        0.000000056051
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5500.00000000
            TWD
            193.14000000
            USD
            2022-06-15
            0.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10.22000000
        -0.00000133220
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4249.81000000
            USD
            121000.00000000
            TWD
            2022-06-15
            -10.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -31087.99000000
        -0.00405241800
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3330602.10000000
            USD
            30965230.00000000
            SEK
            2022-06-15
            -31087.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        20803776.28999999
        PA
        
        1863112.22000000
        0.242862581618
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Morgan Stanley International
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus NIBOR +/- spread (-0.35% to 0.35%). NOK Currency. Maturity 24 Months 02/21/24
                
                  
                    Mowi ASA
                    
                      
                    
                    494193.37000000
                    USD
                    -28740.96000000
                    USD
                  
                  
                    Bakkafrost P/F
                    
                      
                    
                    837613.00000000
                    USD
                    -30772.06000000
                    USD
                  
                  
                    Yara International ASA
                    
                      
                    
                    2982359.20000000
                    USD
                    86696.67000000
                    USD
                  
                  
                    Salmar ASA
                    
                      
                    
                    1214353.08000000
                    USD
                    -76048.85000000
                    USD
                  
                  
                    Leroy Seafood Group ASA
                    
                      
                    
                    292839.00000000
                    USD
                    22985.52000000
                    USD
                  
                  
                    Adevinta ASA
                    
                      
                    
                    350634.03000000
                    USD
                    23392.62000000
                    USD
                  
                  
                    Norsk Hydro ASA
                    
                      
                    
                    2227170.87000000
                    USD
                    227790.72000000
                    USD
                  
                  
                    Telenor ASA
                    
                      
                    
                    331703.75000000
                    USD
                    11786.55000000
                    USD
                  
                  
                    Equinor ASA
                    
                      
                    
                    3864941.79000000
                    USD
                    525388.81000000
                    USD
                  
                  
                    Gjensidige Forsikring ASA
                    
                      
                    
                    848585.47000000
                    USD
                    -8358.24000000
                    USD
                  
                  
                    TOMRA Systems ASA
                    
                      
                    
                    3206534.91000000
                    USD
                    -193592.77000000
                    USD
                  
                  
                    Orkla ASA
                    
                      
                    
                    318002.76000000
                    USD
                    2394.49000000
                    USD
                  
                  
                    Schibsted ASA, Class A
                    
                      
                    
                    2499059.18000000
                    USD
                    237752.00000000
                    USD
                  
                  
                    Subsea 7 SA
                    
                      
                    
                    1335785.88000000
                    USD
                    140591.13000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-02-21
            0.00000000
            USD
            0.00000000
            USD
            20803776.00000000
            USD
            941265.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        76620.30000000
        0.009987698895
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1394948.00000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            76620.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        134464.38000000
        0.017527858017
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4601814.00000000
            GBP
            6177897.86000000
            USD
            2022-06-15
            134464.38000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796H44
        
          
          
        
        5674000.00000000
        PA
        USD
        5672114.98000000
        0.739378161172
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40726.01000000
        0.005308764454
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            743784500.00000000
            JPY
            6162270.29000000
            USD
            2022-06-15
            40726.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -95109.59000000
        -0.01239783643
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1801723.15000000
            USD
            572658750.00000000
            HUF
            2022-06-15
            -95109.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -129143.67000000
        -0.01683428660
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10442000.00000000
            BRL
            2018183.28000000
            USD
            2022-06-15
            -129143.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1040.34000000
        -0.00013561161
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            21883.58000000
            USD
            6994004.00000000
            HUF
            2022-06-15
            -1040.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -22957.55000000
        -0.00299258938
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2508000.00000000
            PLN
            569586.40000000
            USD
            2022-06-15
            -22957.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1266.83000000
        -0.00016513530
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            131225.68000000
            USD
            1917000.00000000
            ZAR
            2022-06-15
            -1266.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10073.62000000
        -0.00131312828
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1698375.69000000
            USD
            566514282.00000000
            HUF
            2022-06-15
            -10073.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22719.86000000
        0.002961605744
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1481049.34000000
            USD
            1355500.00000000
            EUR
            2022-06-15
            22719.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        32517.08000000
        0.004238704416
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1516549.85000000
            USD
            2067500.00000000
            AUD
            2022-06-15
            32517.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -925.38000000
        -0.00012062621
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            19236.87000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -925.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9279.33000000
        0.001209590069
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            181896.44000000
            USD
            2820000.00000000
            ZAR
            2022-06-15
            9279.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -27562.06000000
        -0.00359280185
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5684000.00000000
            CAD
            4518253.83000000
            USD
            2022-06-15
            -27562.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -16.00000000
        NC
        USD
        -119298.03000000
        -0.01555087623
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-16
            -4150200.00000000
            USD
            -119298.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10230.27000000
        0.001333548111
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            251553.60000000
            USD
            1273000.00000000
            BRL
            2022-06-15
            10230.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18216.90000000
        0.002374630639
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312499.00000000
            PLN
            800833.02000000
            USD
            2022-06-15
            18216.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -158.18000000
        -0.00002061926
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            12912.00000000
            USD
            364000.00000000
            TWD
            2022-06-15
            -158.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        45358.00000000
        0.005912559028
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            502784.12000000
            USD
            2665500.00000000
            BRL
            2022-06-15
            45358.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Amsterdam Exchange Index
        N/A
        
          
          
          
        
        -33.00000000
        NC
        
        -214103.77000000
        -0.02790910486
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              LCH Clearnet
              F226TOH6YD6XJB17KS62
            
            Short
            
              
                Amsterdam Exchange Index
                NL0000000107
              
            
            2022-04-14
            -4778466.00000000
            EUR
            -214103.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8375.64000000
        0.001091791214
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1751540.39000000
            USD
            5603500.00000000
            ILS
            2022-06-15
            8375.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -609.21000000
        -0.00007941245
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200750.00000000
            CLP
            57377.77000000
            USD
            2022-06-15
            -609.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2283.87000000
        0.000297709691
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2146000.00000000
            TWD
            77475.33000000
            USD
            2022-06-15
            2283.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        106238.15000000
        0.013848479494
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5031323.45000000
            USD
            45252000.00000000
            NOK
            2022-06-15
            106238.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1.15000000
        -0.00000014990
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            500.00000000
            MXN
            23.66000000
            USD
            2022-06-15
            -1.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44.39000000
        0.000005786377
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            202085.46000000
            USD
            1290000.00000000
            CNY
            2022-06-15
            44.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        160836.50000000
        0.020965547426
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13587139.31000000
            USD
            129021795.00000000
            SEK
            2022-06-15
            160836.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5024.66000000
        -0.00065498035
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            170071.29000000
            USD
            4710509.00000000
            TWD
            2022-06-15
            -5024.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        243301.83000000
        0.031715164503
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4030877.41000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            243301.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OMX Stockholm 30 Index
        N/A
        
          
          
          
        
        818.00000000
        NC
        
        -502149.63000000
        -0.06545679545
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              NASDAQ OMX Commodities Clearing
              5493008EIVLUXM0PQX05
            
            Long
            
              
                OMX Stockholm 30 Index
                SE0000337842
              
            
            2022-04-13
            170553000.00000000
            SEK
            -502149.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46095.58000000
        0.006008704918
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1351555.22000000
            USD
            20616500.00000000
            ZAR
            2022-06-15
            46095.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4134.50000000
        0.000538945176
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            64344.71000000
            USD
            333000.00000000
            BRL
            2022-06-15
            4134.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SONIA
        N/A
        
          
          
          
        
        -1226.00000000
        NC
        
        3484582.56000000
        0.454226378476
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                3 Month SONIA
                
                  
                
              
            
            2022-12-20
            -300737800.00000000
            GBP
            3484582.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40800.25000000
        0.005318441873
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338344.00000000
            EUR
            1525536.87000000
            USD
            2022-06-15
            40800.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -137671.81000000
        -0.01794595668
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2656495.34000000
            USD
            306044000.00000000
            JPY
            2022-06-15
            -137671.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        64.07000000
        0.000008351727
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            413500.00000000
            TWD
            14552.27000000
            USD
            2022-06-15
            64.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        750.10000000
        0.000097777911
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2013000.00000000
            TWD
            71281.51000000
            USD
            2022-06-15
            750.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        6500000.00000000
        PA
        
        389487.27000000
        0.050770899833
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-06-10
            0.00000000
            USD
            117342.24000000
            USD
            6500000.00000000
            AUD
            389487.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        240871.53000000
        0.031398367197
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            14877140.31000000
            USD
            133160500.00000000
            NOK
            2022-06-15
            240871.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3055.50000000
        -0.00039829410
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3315099.21000000
            USD
            4420500.00000000
            AUD
            2022-06-15
            -3055.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10530.50000000
        0.001372684043
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5666000.00000000
            PLN
            1349188.40000000
            USD
            2022-06-15
            10530.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -393.10000000
        -0.00005124183
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            381500.00000000
            MXN
            18535.34000000
            USD
            2022-06-15
            -393.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        491900000.00000000
        PA
        
        -5314635.73000000
        -0.69277960817
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-09-12
            0.00000000
            USD
            904056.36000000
            USD
            491900000.00000000
            AUD
            -5314635.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -64979.41000000
        -0.00847027199
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18560790.00000000
            SEK
            1912773.98000000
            USD
            2022-06-15
            -64979.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8820.63000000
        0.001149797070
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            645396.39000000
            USD
            2083000.00000000
            ILS
            2022-06-15
            8820.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -61436.51000000
        -0.00800844375
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18609500.00000000
            ZAR
            1200154.09000000
            USD
            2022-06-15
            -61436.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8635.12000000
        -0.00112561525
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1034822.53000000
            USD
            925007.00000000
            EUR
            2022-06-15
            -8635.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3925.14000000
        0.000511654436
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1965432.74000000
            USD
            18482000.00000000
            SEK
            2022-06-15
            3925.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8930.10000000
        -0.00116406683
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            98017.15000000
            USD
            2022-06-15
            -8930.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE/JSE Top 40 Index
        N/A
        
          
          
          
        
        44.00000000
        NC
        
        146211.38000000
        0.019059116690
        N/A
        DE
        
        ZA
        N
        
        1
        
          
            
              JSE Clear
              213800PJDCEXAVMM3J32
            
            Long
            
              
                FTSE/JSE Top 40 Index
                GB0031823254
              
            
            2022-06-15
            30307640.00000000
            ZAR
            146211.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -138476.94000000
        -0.01805090792
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            34678000.00000000
            ZAR
            2212442.68000000
            USD
            2022-06-15
            -138476.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Hang Seng Index
        N/A
        
          
          
        
        -323.00000000
        NC
        
        -650735.88000000
        -0.08482548397
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              HKCC & SEOCH
              213800NM8ZN1F16ARD34
            
            Short
            
              
                Hang Seng Index
                HK0000004322
              
            
            2022-04-28
            -355138500.00000000
            HKD
            -650735.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36629.61000000
        0.004774785733
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1330233.00000000
            EUR
            1512368.02000000
            USD
            2022-06-15
            36629.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4109.68000000
        0.000535709810
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274439.00000000
            TWD
            188915.26000000
            USD
            2022-06-15
            4109.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        836.76000000
        0.000109074317
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            33240.31000000
            USD
            108500.00000000
            ILS
            2022-06-15
            836.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        267.90000000
        0.000034921613
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            65167.00000000
            CHF
            71014.59000000
            USD
            2022-06-15
            267.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20403.39000000
        0.002659646539
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1491490.21000000
            USD
            13316864.00000000
            NOK
            2022-06-15
            20403.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81749.81000000
        0.010656346778
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2019521.59000000
            USD
            19719980.00000000
            SEK
            2022-06-15
            81749.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        214230.71000000
        0.027925651892
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4546560.00000000
            GBP
            6185100.66000000
            USD
            2022-06-15
            214230.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -372872.31000000
        -0.04860508714
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15139500.00000000
            NZD
            10106259.63000000
            USD
            2022-06-15
            -372872.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8861.53000000
        0.001155128515
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            480576.65000000
            USD
            611984.00000000
            CAD
            2022-06-15
            8861.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81223.11000000
        0.010587689764
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5272419.72000000
            USD
            2022-06-15
            81223.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53278.56000000
        0.006945029122
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1912132.72000000
            USD
            39612585.00000000
            MXN
            2022-06-15
            53278.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Brent Crude Oil
        N/A
        
          
          
          
        
        289.00000000
        NC
        USD
        380664.98000000
        0.049620886376
        N/A
        DCO
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                N/A
                Brent Crude Oil
                
                  
                
              
            
            2022-04-29
            30261190.00000000
            USD
            380664.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3297.27000000
        0.000429809592
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1355142.70000000
            USD
            1224500.00000000
            EUR
            2022-06-15
            3297.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34492.72000000
        -0.00449623535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2459500.00000000
            BRL
            471286.89000000
            USD
            2022-06-15
            -34492.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1254.21000000
        0.000163490247
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9071837.93000000
            USD
            8178500.00000000
            EUR
            2022-06-15
            1254.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        50023.61000000
        0.006520736075
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5241220.22000000
            USD
            2022-06-15
            50023.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18836.95000000
        0.002455456122
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5386211.00000000
            DKK
            822111.58000000
            USD
            2022-06-15
            18836.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1264.43000000
        -0.00016482245
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200749.00000000
            CLP
            56722.55000000
            USD
            2022-06-15
            -1264.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        58179.52000000
        0.007583884788
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2283783.09000000
            USD
            3383500.00000000
            NZD
            2022-06-15
            58179.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8.05000000
        -0.00000104934
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5682.00000000
            SEK
            597.40000000
            USD
            2022-06-15
            -8.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        3027673.60000000
        PA
        
        -294553.58000000
        -0.03839599252
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Netherlands Net Return Index
                M7NL Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            3027673.60000000
            EUR
            -294553.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        149157.78000000
        0.019443189267
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1768260.00000000
            USD
            9324000.00000000
            BRL
            2022-06-15
            149157.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13741.81000000
        -0.00179128847
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11566000.00000000
            GBP
            15175562.15000000
            USD
            2022-06-15
            -13741.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -114985.99000000
        -0.01498878815
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2337622.82000000
            USD
            270056500.00000000
            JPY
            2022-06-15
            -114985.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40702.04000000
        0.005305639888
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            20987000.00000000
            NOK
            2423403.48000000
            USD
            2022-06-15
            40702.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        22658593.70999999
        PA
        
        500874.87000000
        0.065290626453
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus SORA +/- spread (-1.00% to 0.25%). SGD Currency. Maturity 35-58 Months 02/25/25 to 12/14/26
                
                  
                    DBS Group Holdings Ltd.
                    
                      
                    
                    1145037.18000000
                    USD
                    25413.45000000
                    USD
                  
                  
                    Venture Corp. Ltd.
                    
                      
                    
                    1315767.56000000
                    USD
                    58327.90000000
                    USD
                  
                  
                    Oversea-Chinese Banking Corp. Ltd.
                    
                      
                    
                    1193856.36000000
                    USD
                    15007.07000000
                    USD
                  
                  
                    City Developments Ltd.
                    
                      
                    
                    2726765.96000000
                    USD
                    -171941.85000000
                    USD
                  
                  
                    SATS Ltd.
                    
                      
                    
                    199839.50000000
                    USD
                    -15669.73000000
                    USD
                  
                  
                    Wilmar International Ltd.
                    
                      
                    
                    1215591.95000000
                    USD
                    21627.76000000
                    USD
                  
                  
                    Genting Singapore Ltd.
                    
                      
                    
                    2278745.91000000
                    USD
                    112371.73000000
                    USD
                  
                  
                    Singapore Airlines Ltd.
                    
                      
                    
                    675861.55000000
                    USD
                    32353.99000000
                    USD
                  
                  
                    United Overseas Bank Ltd.
                    
                      
                    
                    1272851.23000000
                    USD
                    -15636.05000000
                    USD
                  
                  
                    Keppel Corp. Ltd.
                    
                      
                    
                    1115627.13000000
                    USD
                    -35051.53000000
                    USD
                  
                  
                    Yangzijiang Shipbuilding Holdings Ltd.
                    
                      
                    
                    5173441.70000000
                    USD
                    577028.20000000
                    USD
                  
                  
                    UOL Group Ltd.
                    
                      
                    
                    120641.27000000
                    USD
                    -1503.73000000
                    USD
                  
                  
                    Singapore Technologies Engineering Ltd.
                    
                      
                    
                    1065922.72000000
                    USD
                    -19540.52000000
                    USD
                  
                  
                    Singapore Telecommunications Ltd.
                    
                      
                    
                    3158643.69000000
                    USD
                    -73922.36000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-02-25
            0.00000000
            USD
            0.00000000
            USD
            22658594.00000000
            USD
            508864.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9035.01000000
        -0.00117774218
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1957525.46000000
            USD
            2368706000.00000000
            KRW
            2022-06-15
            -9035.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11764.38000000
        0.001533524211
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            391331.76000000
            USD
            5946000.00000000
            ZAR
            2022-06-15
            11764.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3502.92000000
        0.000456616721
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            109323.48000000
            USD
            2274000.00000000
            MXN
            2022-06-15
            3502.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20370.48000000
        0.002655356617
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10379695.00000000
            EUR
            11535431.82000000
            USD
            2022-06-15
            20370.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        310.09000000
        0.000040421214
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            33766.98000000
            USD
            108500.00000000
            ILS
            2022-06-15
            310.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -29.12000000
        -0.00000379588
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            74456.78000000
            USD
            475000.00000000
            CNY
            2022-06-15
            -29.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        437.96000000
        0.000057089473
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            26730.65000000
            USD
            9116500.00000000
            HUF
            2022-06-15
            437.96000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796T66
        
          
          
        
        12857000.00000000
        PA
        USD
        12807193.53000000
        1.669458259464
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        16.00000000
        NC
        USD
        122157.92000000
        0.015923671960
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-16
            4150200.00000000
            USD
            122157.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39715.34000000
        0.005177020417
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            464112.40000000
            USD
            2132500.00000000
            PLN
            2022-06-15
            39715.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        37227.02000000
        0.004852660020
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1257231.00000000
            EUR
            1431978.22000000
            USD
            2022-06-15
            37227.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -632893.44000000
        -0.08249966538
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11870580.28000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -632893.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7746.93000000
        -0.00100983687
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2388500.00000000
            CHF
            2585259.67000000
            USD
            2022-06-15
            -7746.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5633.92000000
        0.000734399324
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274436.00000000
            TWD
            190439.40000000
            USD
            2022-06-15
            5633.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            500.00000000
            KRW
            0.41000000
            USD
            2022-06-15
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7066.32000000
        -0.00092111720
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520062.00000000
            BRL
            99880.93000000
            USD
            2022-06-15
            -7066.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
        
        -25.00000000
        NC
        USD
        -275065.75000000
        -0.03585569212
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-21
            -6482187.50000000
            USD
            -275065.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        919.37000000
        0.000119842792
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            42960000.00000000
            HUF
            128946.96000000
            USD
            2022-06-15
            919.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        389.25000000
        0.000050739970
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            33688.14000000
            USD
            108501.00000000
            ILS
            2022-06-15
            389.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -31852.78000000
        -0.00415211080
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            29483000.00000000
            MXN
            1430970.74000000
            USD
            2022-06-15
            -31852.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -95162.44000000
        -0.01240472560
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            43347000.00000000
            ZAR
            2843453.19000000
            USD
            2022-06-15
            -95162.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        65262.56000000
        0.008507181496
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5256459.17000000
            USD
            2022-06-15
            65262.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17247.81000000
        0.002248306687
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1076037.23000000
            USD
            1579500.00000000
            NZD
            2022-06-15
            17247.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17772.91000000
        -0.00231675513
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1085923500.00000000
            JPY
            8919666.35000000
            USD
            2022-06-15
            -17772.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5474.10000000
        0.000713566281
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            241451.36000000
            USD
            82856500.00000000
            HUF
            2022-06-15
            5474.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39486.75000000
        0.005147222986
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2418930.80000000
            USD
            7827500.00000000
            ILS
            2022-06-15
            39486.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        310.05000000
        0.000040415999
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            33766.71000000
            USD
            108499.00000000
            ILS
            2022-06-15
            310.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42412.12000000
        -0.00552855423
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            58937471.00000000
            SEK
            6237696.80000000
            USD
            2022-06-15
            -42412.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        8.00000000
        NC
        USD
        86153.96000000
        0.011230441686
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-24
            2074300.00000000
            USD
            86153.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1431.33000000
        0.000186578401
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            160486.56000000
            USD
            1426184.00000000
            NOK
            2022-06-15
            1431.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36627.69000000
        0.004774535455
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1330232.00000000
            EUR
            1512364.99000000
            USD
            2022-06-15
            36627.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -84865.55000000
        -0.01106249336
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1752324.38000000
            USD
            559520278.00000000
            HUF
            2022-06-15
            -84865.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ASX 90 Day Bank Accepted Bill
        N/A
        
          
          
        
        1272.00000000
        NC
        
        -1282404.70000000
        -0.16716551626
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                N/A
                ASX 90 Day Bank Accepted Bill
                
                  
                
              
            
            2023-03-09
            1263742392.24000000
            AUD
            -1282404.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8796.31000000
        0.001146626881
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            471902.13000000
            USD
            601056.00000000
            CAD
            2022-06-15
            8796.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SOFR
        N/A
        
          
          
        
        114.00000000
        NC
        USD
        3134.12000000
        0.000408542473
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                3 Month SOFR
                
                  
                
              
            
            2022-09-20
            28119525.00000000
            USD
            3134.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        1270380.24000000
        PA
        
        23906.14000000
        0.003116241101
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Poland Net Return Index
                M7PL Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            1270380.24000000
            PLN
            23906.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        781.16000000
        0.000101826681
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1822541.09000000
            USD
            139781087.00000000
            INR
            2022-06-15
            781.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        55832.48000000
        0.007277940687
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            809822.84000000
            USD
            4209500.00000000
            BRL
            2022-06-15
            55832.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2748.59000000
        -0.00035828741
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1126306.28000000
            USD
            1365866500.00000000
            KRW
            2022-06-15
            -2748.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month SONIA
        N/A
        
          
          
          
        
        -1264.00000000
        NC
        
        3582308.23000000
        0.466965229229
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                3 Month SONIA
                
                  
                
              
            
            2023-03-14
            -309285000.00000000
            GBP
            3582308.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1365.06000000
        0.000177939896
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            952717.49000000
            USD
            1159842000.00000000
            KRW
            2022-06-15
            1365.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -72154.41000000
        -0.00940555598
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6232296.00000000
            CAD
            4912164.77000000
            USD
            2022-06-15
            -72154.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3469.28000000
        -0.00045223164
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5508000.00000000
            CNY
            859578.19000000
            USD
            2022-06-15
            -3469.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62218.82000000
        0.008110420343
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1903192.51000000
            USD
            39612586.00000000
            MXN
            2022-06-15
            62218.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        243.07000000
        0.000031684944
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1148000.00000000
            TWD
            40466.65000000
            USD
            2022-06-15
            243.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21.35000000
        0.000002783040
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            313500.00000000
            TWD
            11005.75000000
            USD
            2022-06-15
            21.35000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        163.40000000
        0.000021299707
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            64589.00000000
            CHF
            70282.60000000
            USD
            2022-06-15
            163.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        15.00000000
        NC
        USD
        214460.55000000
        0.027955612264
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-06
            3889500.00000000
            USD
            214460.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24038.79000000
        -0.00313353244
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7110000.00000000
            SEK
            733570.48000000
            USD
            2022-06-15
            -24038.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6.69000000
        -0.00000087206
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3500.00000000
            EUR
            3876.15000000
            USD
            2022-06-15
            -6.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        72390.82000000
        0.009436372775
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3983874.00000000
            EUR
            4492034.51000000
            USD
            2022-06-15
            72390.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -72148.27000000
        -0.00940475561
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6232296.00000000
            CAD
            4912170.91000000
            USD
            2022-06-15
            -72148.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54537.74000000
        -0.00710916722
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4103500.00000000
            BRL
            789319.39000000
            USD
            2022-06-15
            -54537.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8929.99000000
        -0.00116405249
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520063.00000000
            BRL
            98017.46000000
            USD
            2022-06-15
            -8929.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        750.19000000
        0.000097789643
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2013000.00000000
            TWD
            71281.60000000
            USD
            2022-06-15
            750.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53.85000000
        0.000007019518
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4971.34000000
            USD
            16000.00000000
            ILS
            2022-06-15
            53.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33891.43000000
        -0.00441785529
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312501.00000000
            PLN
            748725.17000000
            USD
            2022-06-15
            -33891.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3755.58000000
        -0.00048955175
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168802.24000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3755.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        352475910.01999998
        PA
        
        -2795255.77000000
        -0.36437044709
        N/A
        DE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley International
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus ESTR +/- spread (-0.75% to 0.35%). EUR Currency. Maturity 7-61 Months 11/11/22
                
                  
                    Sanofi
                    
                      
                    
                    563238.25000000
                    USD
                    -15896.25000000
                    USD
                  
                  
                    Kesko OYJ, Class B
                    
                      
                    
                    1541666.35000000
                    USD
                    -46378.51000000
                    USD
                  
                  
                    Hannover Rueck SE
                    
                      
                    
                    17667.34000000
                    USD
                    -40.02000000
                    USD
                  
                  
                    Beiersdorf AG
                    
                      
                    
                    927521.75000000
                    USD
                    60017.52000000
                    USD
                  
                  
                    METRO AG
                    
                      
                    
                    677158.55000000
                    USD
                    11434.70000000
                    USD
                  
                  
                    Knorr-Bremse AG
                    
                      
                    
                    529776.72000000
                    USD
                    18470.46000000
                    USD
                  
                  
                    TotalEnergies SE
                    
                      
                    
                    3898139.21000000
                    USD
                    -23138.17000000
                    USD
                  
                  
                    Imerys SA
                    
                      
                    
                    951526.55000000
                    USD
                    31334.32000000
                    USD
                  
                  
                    STMicroelectronics NV
                    
                      
                    
                    188981.44000000
                    USD
                    -7855.64000000
                    USD
                  
                  
                    Ipsen SA
                    
                      
                    
                    1035696.16000000
                    USD
                    59206.38000000
                    USD
                  
                  
                    Rheinmetall AG
                    
                      
                    
                    2335834.32000000
                    USD
                    341478.94000000
                    USD
                  
                  
                    Air France-KLM
                    
                      
                    
                    575154.85000000
                    USD
                    21570.12000000
                    USD
                  
                  
                    E.ON SE
                    
                      
                    
                    724368.45000000
                    USD
                    -17993.57000000
                    USD
                  
                  
                    Commerzbank AG
                    
                      
                    
                    1065770.52000000
                    USD
                    13299.11000000
                    USD
                  
                  
                    Nokia OYJ
                    
                      
                    
                    3097848.59000000
                    USD
                    93364.20000000
                    USD
                  
                  
                    Bankinter SA
                    
                      
                    
                    627571.10000000
                    USD
                    -6600.83000000
                    USD
                  
                  
                    HelloFresh SE
                    
                      
                    
                    870026.64000000
                    USD
                    -47486.50000000
                    USD
                  
                  
                    Software AG
                    
                      
                    
                    943453.13000000
                    USD
                    -43551.36000000
                    USD
                  
                  
                    Nokian Renkaat OYJ
                    
                      
                    
                    1512909.09000000
                    USD
                    -181719.17000000
                    USD
                  
                  
                    Deutsche Bank AG (Registered)
                    
                      
                    
                    2735345.66000000
                    USD
                    115825.76000000
                    USD
                  
                  
                    Publicis Groupe SA
                    
                      
                    
                    954893.38000000
                    USD
                    -51054.01000000
                    USD
                  
                  
                    adidas AG
                    
                      
                    
                    799279.38000000
                    USD
                    13282.59000000
                    USD
                  
                  
                    NN Group NV
                    
                      
                    
                    3355694.91000000
                    USD
                    125137.51000000
                    USD
                  
                  
                    Ageas SA/NV
                    
                      
                    
                    2290013.59000000
                    USD
                    24268.85000000
                    USD
                  
                  
                    BE Semiconductor Industries NV
                    
                      
                    
                    916877.37000000
                    USD
                    14374.20000000
                    USD
                  
                  
                    Valeo
                    
                      
                    
                    291139.28000000
                    USD
                    -15084.93000000
                    USD
                  
                  
                    ABN AMRO Bank NV
                    
                      
                    
                    657914.54000000
                    USD
                    -8929.26000000
                    USD
                  
                  
                    Wartsila OYJ Abp
                    
                      
                    
                    882845.05000000
                    USD
                    -222611.70000000
                    USD
                  
                  
                    United Internet AG (Registered), Class G
                    
                      
                    
                    98973.52000000
                    USD
                    -1682.42000000
                    USD
                  
                  
                    Fortum OYJ
                    
                      
                    
                    1189270.11000000
                    USD
                    -87575.94000000
                    USD
                  
                  
                    Ferrovial SA
                    
                      
                    
                    6562202.87000000
                    USD
                    465558.62000000
                    USD
                  
                  
                    thyssenkrupp AG
                    
                      
                    
                    2777.92000000
                    USD
                    290.37000000
                    USD
                  
                  
                    Renault SA
                    
                      
                    
                    622734.80000000
                    USD
                    5893.73000000
                    USD
                  
                  
                    QIAGEN NV
                    
                      
                    
                    117915.01000000
                    USD
                    2074.72000000
                    USD
                  
                  
                    Koninklijke Ahold Delhaize NV
                    
                      
                    
                    4712666.18000000
                    USD
                    59184.00000000
                    USD
                  
                  
                    CaixaBank SA
                    
                      
                    
                    1154685.29000000
                    USD
                    -53427.22000000
                    USD
                  
                  
                    Banco de Sabadell SA
                    
                      
                    
                    2291641.07000000
                    USD
                    -24734.68000000
                    USD
                  
                  
                    Aeroports de Paris
                    
                      
                    
                    2889377.06000000
                    USD
                    -172743.84000000
                    USD
                  
                  
                    TeamViewer AG
                    
                      
                    
                    896674.27000000
                    USD
                    -20276.88000000
                    USD
                  
                  
                    Siemens Healthineers AG
                    
                      
                    
                    647966.69000000
                    USD
                    2962.25000000
                    USD
                  
                  
                    Allianz SE (Registered)
                    
                      
                    
                    2156437.73000000
                    USD
                    23898.65000000
                    USD
                  
                  
                    Mapfre SA
                    
                      
                    
                    2776055.02000000
                    USD
                    52547.30000000
                    USD
                  
                  
                    L'Oreal SA
                    
                      
                    
                    2315984.22000000
                    USD
                    -1857.84000000
                    USD
                  
                  
                    Electricite de France SA
                    
                      
                    
                    5258438.23000000
                    USD
                    -507928.64000000
                    USD
                  
                  
                    Randstad NV
                    
                      
                    
                    2869208.96000000
                    USD
                    -230305.70000000
                    USD
                  
                  
                    SES SA
                    
                      
                    
                    910802.37000000
                    USD
                    59740.32000000
                    USD
                  
                  
                    KBC Group NV
                    
                      
                    
                    472468.66000000
                    USD
                    -20292.76000000
                    USD
                  
                  
                    Galapagos NV
                    
                      
                    
                    999329.59000000
                    USD
                    15634.88000000
                    USD
                  
                  
                    Eurofins Scientific SE
                    
                      
                    
                    1057583.49000000
                    USD
                    -12675.56000000
                    USD
                  
                  
                    Argenx SE
                    
                      
                    
                    3811711.04000000
                    USD
                    -155496.19000000
                    USD
                  
                  
                    JDE Peet's NV
                    
                      
                    
                    428870.37000000
                    USD
                    -21829.73000000
                    USD
                  
                  
                    Faurecia SE
                    
                      
                    
                    186352.87000000
                    USD
                    -9340.67000000
                    USD
                  
                  
                    Eiffage SA
                    
                      
                    
                    1656894.78000000
                    USD
                    -10397.35000000
                    USD
                  
                  
                    Uniper SE
                    
                      
                    
                    132839.46000000
                    USD
                    9330.65000000
                    USD
                  
                  
                    Enagas SA
                    
                      
                    
                    497087.95000000
                    USD
                    1756.00000000
                    USD
                  
                  
                    Hermes International
                    
                      
                    
                    1569620.03000000
                    USD
                    -91838.78000000
                    USD
                  
                  
                    Endesa SA
                    
                      
                    
                    1902454.62000000
                    USD
                    109352.20000000
                    USD
                  
                  
                    Scout24 SE
                    
                      
                    
                    1001703.53000000
                    USD
                    34738.48000000
                    USD
                  
                  
                    Deutsche Telekom AG (Registered)
                    
                      
                    
                    448711.18000000
                    USD
                    2188.16000000
                    USD
                  
                  
                    Aurubis AG
                    
                      
                    
                    2091561.04000000
                    USD
                    -75855.36000000
                    USD
                  
                  
                    Safran SA
                    
                      
                    
                    4202333.86000000
                    USD
                    15827.77000000
                    USD
                  
                  
                    Teleperformance
                    
                      
                    
                    604866.48000000
                    USD
                    4094.20000000
                    USD
                  
                  
                    Engie SA
                    
                      
                    
                    4532757.81000000
                    USD
                    -70782.45000000
                    USD
                  
                  
                    Covestro AG
                    
                      
                    
                    2509360.88000000
                    USD
                    -104681.00000000
                    USD
                  
                  
                    Cie Plastic Omnium SA
                    
                      
                    
                    481022.07000000
                    USD
                    -2471.45000000
                    USD
                  
                  
                    Elisa OYJ
                    
                      
                    
                    3959740.53000000
                    USD
                    -170198.43000000
                    USD
                  
                  
                    Akzo Nobel NV
                    
                      
                    
                    444476.25000000
                    USD
                    12648.27000000
                    USD
                  
                  
                    UCB SA
                    
                      
                    
                    700838.48000000
                    USD
                    -28494.56000000
                    USD
                  
                  
                    Casino Guichard Perrachon SA
                    
                      
                    
                    1259435.78000000
                    USD
                    65852.98000000
                    USD
                  
                  
                    La Francaise des Jeux SAEM
                    
                      
                    
                    14520.18000000
                    USD
                    -302.68000000
                    USD
                  
                  
                    Rubis SCA
                    
                      
                    
                    2936319.07000000
                    USD
                    -28321.78000000
                    USD
                  
                  
                    Acerinox SA
                    
                      
                    
                    3116699.41000000
                    USD
                    -79412.38000000
                    USD
                  
                  
                    CNP Assurances
                    
                      
                    
                    185084.41000000
                    USD
                    -404.22000000
                    USD
                  
                  
                    ASM International NV
                    
                      
                    
                    1684473.55000000
                    USD
                    -67944.95000000
                    USD
                  
                  
                    ASML Holding NV
                    
                      
                    
                    865347.33000000
                    USD
                    -27305.13000000
                    USD
                  
                  
                    Wolters Kluwer NV
                    
                      
                    
                    572263.34000000
                    USD
                    -6072.99000000
                    USD
                  
                  
                    Grifols SA
                    
                      
                    
                    211509.66000000
                    USD
                    11468.71000000
                    USD
                  
                  
                    Metso Outotec OYJ
                    
                      
                    
                    666679.06000000
                    USD
                    -20344.36000000
                    USD
                  
                  
                    Aena SME SA
                    
                      
                    
                    2495003.85000000
                    USD
                    -149887.14000000
                    USD
                  
                  
                    Telefonica Deutschland Holding AG
                    
                      
                    
                    1186209.12000000
                    USD
                    -30252.85000000
                    USD
                  
                  
                    Fluidra SA
                    
                      
                    
                    1324707.35000000
                    USD
                    66406.71000000
                    USD
                  
                  
                    Naturgy Energy Group SA
                    
                      
                    
                    3857341.76000000
                    USD
                    -379209.60000000
                    USD
                  
                  
                    Mercedes-Benz Group AG
                    
                      
                    
                    922992.73000000
                    USD
                    -8167.54000000
                    USD
                  
                  
                    OCI NV
                    
                      
                    
                    167131.42000000
                    USD
                    -578.94000000
                    USD
                  
                  
                    BNP Paribas SA
                    
                      
                    
                    1898060.22000000
                    USD
                    -50830.47000000
                    USD
                  
                  
                    MTU Aero Engines AG
                    
                      
                    
                    2900713.87000000
                    USD
                    60234.34000000
                    USD
                  
                  
                    SBM Offshore NV
                    
                      
                    
                    520741.58000000
                    USD
                    -5201.97000000
                    USD
                  
                  
                    Infineon Technologies AG
                    
                      
                    
                    470237.53000000
                    USD
                    -10724.91000000
                    USD
                  
                  
                    Sampo OYJ, Class A
                    
                      
                    
                    987692.47000000
                    USD
                    3678.54000000
                    USD
                  
                  
                    CTS Eventim AG & Co. KGaA
                    
                      
                    
                    1787516.66000000
                    USD
                    -86291.45000000
                    USD
                  
                  
                    Atos SE
                    
                      
                    
                    1582358.54000000
                    USD
                    -212814.70000000
                    USD
                  
                  
                    Iberdrola SA
                    
                      
                    
                    183689.27000000
                    USD
                    1831.90000000
                    USD
                  
                  
                    Stroeer SE & Co. KGaA
                    
                      
                    
                    987175.16000000
                    USD
                    88836.22000000
                    USD
                  
                  
                    Stora Enso OYJ, Class R
                    
                      
                    
                    647512.91000000
                    USD
                    32341.24000000
                    USD
                  
                  
                    Sartorius Stedim Biotech
                    
                      
                    
                    6153092.90000000
                    USD
                    -255269.99000000
                    USD
                  
                  
                    ACS Actividades de Construccion y Servicios SA
                    
                      
                    
                    711190.40000000
                    USD
                    8028.43000000
                    USD
                  
                  
                    Air Liquide SA
                    
                      
                    
                    1443812.23000000
                    USD
                    -50968.57000000
                    USD
                  
                  
                    Remy Cointreau SA
                    
                      
                    
                    3168266.70000000
                    USD
                    -115964.59000000
                    USD
                  
                  
                    Elia Group SA/NV
                    
                      
                    
                    1232773.53000000
                    USD
                    -59140.72000000
                    USD
                  
                  
                    Rational AG
                    
                      
                    
                    1451138.29000000
                    USD
                    121591.73000000
                    USD
                  
                  
                    Aalberts NV
                    
                      
                    
                    347287.92000000
                    USD
                    10916.77000000
                    USD
                  
                  
                    Symrise AG
                    
                      
                    
                    1387879.13000000
                    USD
                    -52704.78000000
                    USD
                  
                  
                    Siemens Energy AG
                    
                      
                    
                    89956.40000000
                    USD
                    1006.89000000
                    USD
                  
                  
                    Kone OYJ, Class B
                    
                      
                    
                    61487.88000000
                    USD
                    -4277.88000000
                    USD
                  
                  
                    Koninklijke DSM NV
                    
                      
                    
                    1383564.50000000
                    USD
                    -3695.72000000
                    USD
                  
                  
                    Getlink SE
                    
                      
                    
                    2673516.09000000
                    USD
                    -47191.12000000
                    USD
                  
                  
                    Veolia Environnement SA
                    
                      
                    
                    672114.77000000
                    USD
                    -1449.67000000
                    USD
                  
                  
                    FUCHS PETROLUB SE
                    
                      
                    
                    560258.13000000
                    USD
                    10338.81000000
                    USD
                  
                  
                    RWE AG
                    
                      
                    
                    3908464.23000000
                    USD
                    -198715.27000000
                    USD
                  
                  
                    BioMerieux
                    
                      
                    
                    888320.43000000
                    USD
                    -2956.28000000
                    USD
                  
                  
                    Alstom SA
                    
                      
                    
                    2552584.89000000
                    USD
                    -21316.54000000
                    USD
                  
                  
                    Siemens Gamesa Renewable Energy SA
                    
                      
                    
                    3558133.54000000
                    USD
                    428103.46000000
                    USD
                  
                  
                    SOITEC
                    
                      
                    
                    1219862.07000000
                    USD
                    -63383.07000000
                    USD
                  
                  
                    Orpea SA
                    
                      
                    
                    678027.68000000
                    USD
                    -22819.45000000
                    USD
                  
                  
                    Thales SA
                    
                      
                    
                    958929.26000000
                    USD
                    -3907.32000000
                    USD
                  
                  
                    Deutsche Post AG (Registered)
                    
                      
                    
                    2537917.13000000
                    USD
                    -192111.48000000
                    USD
                  
                  
                    SCOR SE
                    
                      
                    
                    819513.68000000
                    USD
                    35325.35000000
                    USD
                  
                  
                    Wacker Chemie AG
                    
                      
                    
                    536977.47000000
                    USD
                    14296.21000000
                    USD
                  
                  
                    GEA Group AG
                    
                      
                    
                    42954.73000000
                    USD
                    -2251.00000000
                    USD
                  
                  
                    APERAM SA
                    
                      
                    
                    757534.88000000
                    USD
                    -55891.61000000
                    USD
                  
                  
                    Credit Agricole SA
                    
                      
                    
                    897599.67000000
                    USD
                    -389.47000000
                    USD
                  
                  
                    Schneider Electric SE
                    
                      
                    
                    2083519.37000000
                    USD
                    15669.32000000
                    USD
                  
                  
                    Cellnex Telecom SA
                    
                      
                    
                    8005158.47000000
                    USD
                    -73734.91000000
                    USD
                  
                  
                    Vinci SA
                    
                      
                    
                    2224810.03000000
                    USD
                    25428.01000000
                    USD
                  
                  
                    Carl Zeiss Meditec AG
                    
                      
                    
                    1380108.90000000
                    USD
                    55832.47000000
                    USD
                  
                  
                    D'ieteren Group
                    
                      
                    
                    1474529.39000000
                    USD
                    -191012.63000000
                    USD
                  
                  
                    Orion OYJ, Class B
                    
                      
                    
                    1199594.51000000
                    USD
                    20842.40000000
                    USD
                  
                  
                    Koninklijke KPN NV
                    
                      
                    
                    2063713.14000000
                    USD
                    -65352.97000000
                    USD
                  
                  
                    Cie de Saint-Gobain
                    
                      
                    
                    5275661.98000000
                    USD
                    -412721.67000000
                    USD
                  
                  
                    Ubisoft Entertainment SA
                    
                      
                    
                    1666531.86000000
                    USD
                    22689.82000000
                    USD
                  
                  
                    KION Group AG
                    
                      
                    
                    8502.02000000
                    USD
                    -314.99000000
                    USD
                  
                  
                    Adyen NV
                    
                      
                    
                    2234223.83000000
                    USD
                    14582.28000000
                    USD
                  
                  
                    Sodexo SA
                    
                      
                    
                    992949.03000000
                    USD
                    -7372.98000000
                    USD
                  
                  
                    LANXESS AG
                    
                      
                    
                    175812.04000000
                    USD
                    -10363.02000000
                    USD
                  
                  
                    Delivery Hero SE
                    
                      
                    
                    2323846.17000000
                    USD
                    144292.70000000
                    USD
                  
                  
                    Nemetschek SE
                    
                      
                    
                    1312878.85000000
                    USD
                    -130855.79000000
                    USD
                  
                  
                    Bollore SE
                    
                      
                    
                    1058597.85000000
                    USD
                    32585.45000000
                    USD
                  
                  
                    Signify NV
                    
                      
                    
                    4082226.71000000
                    USD
                    -242470.65000000
                    USD
                  
                  
                    Cie Generale des Etablissements Michelin SCA
                    
                      
                    
                    516449.91000000
                    USD
                    -2897.21000000
                    USD
                  
                  
                    UPM-Kymmene OYJ
                    
                      
                    
                    156417.58000000
                    USD
                    -2689.14000000
                    USD
                  
                  
                    Muenchener Rueckversicherungs-Gesellschaft AG (Registered)
                    
                      
                    
                    1794918.81000000
                    USD
                    46971.41000000
                    USD
                  
                  
                    Umicore SA
                    
                      
                    
                    202001.52000000
                    USD
                    6643.69000000
                    USD
                  
                  
                    Acciona SA
                    
                      
                    
                    1162102.47000000
                    USD
                    63347.63000000
                    USD
                  
                  
                    Pernod Ricard SA
                    
                      
                    
                    3848021.04000000
                    USD
                    -211030.48000000
                    USD
                  
                  
                    Industria de Diseno Textil SA
                    
                      
                    
                    195176.45000000
                    USD
                    13274.73000000
                    USD
                  
                  
                    Sartorius AG
                    
                      
                    
                    2552733.66000000
                    USD
                    -46863.03000000
                    USD
                  
                  
                    Amadeus IT Group SA
                    
                      
                    
                    4403156.06000000
                    USD
                    -247658.97000000
                    USD
                  
                  
                    Rexel SA
                    
                      
                    
                    2955884.34000000
                    USD
                    -66596.95000000
                    USD
                  
                  
                    Banco Bilbao Vizcaya Argentaria SA
                    
                      
                    
                    2223915.27000000
                    USD
                    -56079.47000000
                    USD
                  
                  
                    Fraport AG Frankfurt Airport Services Worldwide
                    
                      
                    
                    334374.40000000
                    USD
                    -8681.71000000
                    USD
                  
                  
                    Puma SE
                    
                      
                    
                    1488233.92000000
                    USD
                    -8146.79000000
                    USD
                  
                  
                    Eutelsat Communications SA
                    
                      
                    
                    1662066.08000000
                    USD
                    38054.79000000
                    USD
                  
                  
                    Koninklijke Vopak NV
                    
                      
                    
                    726970.96000000
                    USD
                    -21043.21000000
                    USD
                  
                  
                    Bureau Veritas SA
                    
                      
                    
                    1197884.87000000
                    USD
                    36467.43000000
                    USD
                  
                  
                    Fresenius Medical Care AG & Co. KGaA
                    
                      
                    
                    2094758.53000000
                    USD
                    22582.72000000
                    USD
                  
                  
                    SEB SA
                    
                      
                    
                    1495717.02000000
                    USD
                    -22394.67000000
                    USD
                  
                  
                    Henkel AG & Co. KGaA
                    
                      
                    
                    1616201.41000000
                    USD
                    -109833.00000000
                    USD
                  
                  
                    BASF SE
                    
                      
                    
                    1452305.75000000
                    USD
                    -83860.72000000
                    USD
                  
                  
                    Koninklijke Philips NV
                    
                      
                    
                    419257.83000000
                    USD
                    10596.83000000
                    USD
                  
                  
                    Carrefour SA
                    
                      
                    
                    2599153.05000000
                    USD
                    210740.52000000
                    USD
                  
                  
                    Etablissements Franz Colruyt NV
                    
                      
                    
                    2361341.39000000
                    USD
                    62624.34000000
                    USD
                  
                  
                    Freenet AG
                    
                      
                    
                    118711.80000000
                    USD
                    -49.04000000
                    USD
                  
                  
                    AXA SA
                    
                      
                    
                    2394201.12000000
                    USD
                    77391.82000000
                    USD
                  
                  
                    Bechtle AG
                    
                      
                    
                    1510478.66000000
                    USD
                    116744.57000000
                    USD
                  
                  
                    Evotec SE
                    
                      
                    
                    1527923.97000000
                    USD
                    12685.41000000
                    USD
                  
                  
                    Brenntag SE
                    
                      
                    
                    913474.40000000
                    USD
                    -4132.03000000
                    USD
                  
                  
                    Societe Generale SA
                    
                      
                    
                    1840218.04000000
                    USD
                    -51634.40000000
                    USD
                  
                  
                    Dassault Aviation SA
                    
                      
                    
                    307306.57000000
                    USD
                    -24735.72000000
                    USD
                  
                  
                    EssilorLuxottica SA
                    
                      
                    
                    1659732.51000000
                    USD
                    -5726.86000000
                    USD
                  
                  
                    Evonik Industries AG
                    
                      
                    
                    1674007.81000000
                    USD
                    -23102.85000000
                    USD
                  
                  
                    Anheuser-Busch InBev SA/NV
                    
                      
                    
                    2096888.80000000
                    USD
                    -2714.72000000
                    USD
                  
                  
                    Repsol SA
                    
                      
                    
                    6168938.15000000
                    USD
                    181164.16000000
                    USD
                  
                  
                    Siemens AG (Registered)
                    
                      
                    
                    1725718.46000000
                    USD
                    129188.38000000
                    USD
                  
                  
                    Arkema SA
                    
                      
                    
                    1131447.19000000
                    USD
                    -27869.73000000
                    USD
                  
                  
                    Zalando SE
                    
                      
                    
                    304311.50000000
                    USD
                    21608.72000000
                    USD
                  
                  
                    Bouygues SA
                    
                      
                    
                    4245697.21000000
                    USD
                    -188714.51000000
                    USD
                  
                  
                    Amundi SA
                    
                      
                    
                    232905.17000000
                    USD
                    -4617.43000000
                    USD
                  
                  
                    ArcelorMittal SA
                    
                      
                    
                    2200135.50000000
                    USD
                    1660.15000000
                    USD
                  
                  
                    Dassault Systemes SE
                    
                      
                    
                    2750761.99000000
                    USD
                    -2407.04000000
                    USD
                  
                  
                    Daimler Truck Holding AG
                    
                      
                    
                    315596.48000000
                    USD
                    6916.25000000
                    USD
                  
                  
                    Proximus SADP
                    
                      
                    
                    3437917.36000000
                    USD
                    -74573.65000000
                    USD
                  
                  
                    HeidelbergCement AG
                    
                      
                    
                    2120408.38000000
                    USD
                    -312030.91000000
                    USD
                  
                  
                    LVMH Moet Hennessy Louis Vuitton SE
                    
                      
                    
                    2200643.16000000
                    USD
                    -52575.65000000
                    USD
                  
                  
                    Worldline SA
                    
                      
                    
                    1349225.39000000
                    USD
                    66555.50000000
                    USD
                  
                  
                    Telefonica SA
                    
                      
                    
                    3686224.86000000
                    USD
                    160365.85000000
                    USD
                  
                  
                    Kering SA
                    
                      
                    
                    1805596.47000000
                    USD
                    72246.13000000
                    USD
                  
                  
                    Accor SA
                    
                      
                    
                    2590010.92000000
                    USD
                    -73544.43000000
                    USD
                  
                  
                    HUGO BOSS AG
                    
                      
                    
                    940379.95000000
                    USD
                    45019.33000000
                    USD
                  
                  
                    Airbus SE
                    
                      
                    
                    2443174.99000000
                    USD
                    -40910.96000000
                    USD
                  
                  
                    Prosus NV
                    
                      
                    
                    3193013.81000000
                    USD
                    157506.98000000
                    USD
                  
                  
                    Danone SA
                    
                      
                    
                    908360.64000000
                    USD
                    64301.67000000
                    USD
                  
                  
                    ASR Nederland NV
                    
                      
                    
                    5061828.25000000
                    USD
                    107698.56000000
                    USD
                  
                  
                    Continental AG
                    
                      
                    
                    946688.46000000
                    USD
                    -28970.68000000
                    USD
                  
                  
                    Korian SA
                    
                      
                    
                    51831.75000000
                    USD
                    -2558.80000000
                    USD
                  
                  
                    Bayer AG (Registered)
                    
                      
                    
                    1156355.12000000
                    USD
                    -74118.90000000
                    USD
                  
                  
                    Red Electrica Corp. SA
                    
                      
                    
                    1751112.33000000
                    USD
                    104561.90000000
                    USD
                  
                  
                    Orange SA
                    
                      
                    
                    3769168.68000000
                    USD
                    8347.43000000
                    USD
                  
                  
                    Legrand SA
                    
                      
                    
                    1741801.88000000
                    USD
                    92143.01000000
                    USD
                  
                  
                    Bayerische Motoren Werke AG
                    
                      
                    
                    989481.36000000
                    USD
                    18103.39000000
                    USD
                  
                  
                    Valmet OYJ
                    
                      
                    
                    1707021.80000000
                    USD
                    -254476.44000000
                    USD
                  
                  
                    Vivendi SE
                    
                      
                    
                    526225.81000000
                    USD
                    818.32000000
                    USD
                  
                  
                    Aegon NV
                    
                      
                    
                    2410032.57000000
                    USD
                    243598.01000000
                    USD
                  
                  
                    CompuGroup Medical SE & Co. KgaA
                    
                      
                    
                    609651.30000000
                    USD
                    67955.82000000
                    USD
                  
                  
                    Banco Santander SA
                    
                      
                    
                    1553550.27000000
                    USD
                    -34126.29000000
                    USD
                  
                  
                    Deutsche Lufthansa AG (Registered)
                    
                      
                    
                    3232591.26000000
                    USD
                    -111964.86000000
                    USD
                  
                  
                    ProSiebenSat.1 Media SE
                    
                      
                    
                    3830101.14000000
                    USD
                    -270603.10000000
                    USD
                  
                  
                    Neste OYJ
                    
                      
                    
                    828063.19000000
                    USD
                    -84585.11000000
                    USD
                  
                  
                    Edenred
                    
                      
                    
                    2200839.17000000
                    USD
                    -36935.53000000
                    USD
                  
                  
                    HOCHTIEF AG
                    
                      
                    
                    1295247.42000000
                    USD
                    -34805.38000000
                    USD
                  
                  
                    Solvay SA
                    
                      
                    
                    432560.91000000
                    USD
                    -27691.11000000
                    USD
                  
                  
                    IMCD NV
                    
                      
                    
                    2473761.19000000
                    USD
                    -31373.40000000
                    USD
                  
                  
                    Heineken NV
                    
                      
                    
                    241274.22000000
                    USD
                    -1919.56000000
                    USD
                  
                  
                    Huhtamaki OYJ
                    
                      
                    
                    996198.27000000
                    USD
                    -4479.89000000
                    USD
                  
                  
                    Merck KGaA
                    
                      
                    
                    1596122.72000000
                    USD
                    -2551.59000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-11-11
            0.00000000
            USD
            0.00000000
            USD
            352475910.00000000
            USD
            -3413324.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1262.98000000
        -0.00016463344
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            74482.28000000
            USD
            66000.00000000
            EUR
            2022-06-15
            -1262.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -25967.59000000
        -0.00338495764
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312499.00000000
            PLN
            756648.53000000
            USD
            2022-06-15
            -25967.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        100 oz Gold
        N/A
        
          
          
        
        -430.00000000
        NC
        USD
        -414232.89000000
        -0.05399656981
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                100 oz Gold
                
                  
                
              
            
            2022-06-28
            -84022000.00000000
            USD
            -414232.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -562625.18000000
        -0.07333997503
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            21883500.00000000
            AUD
            15833508.42000000
            USD
            2022-06-15
            -562625.18000000
          
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-02
      AQR Funds
      Heather Bonner
      Heather Bonner
      Principal Financial Officer
    
  
  XXXX




1
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
172.3%
COMMON
STOCKS
-
96.0%
Australia
-
1.6%
Ampol
Ltd.
(2)(a)
1,919
43,596
Aurizon
Holdings
Ltd.
(2)(a)
5,734
15,761
BlueScope
Steel
Ltd.
(2)(a)
24,357
378,753
Fortescue
Metals
Group
Ltd.
(2)(a)
15,871
243,967
Harvey
Norman
Holdings
Ltd.
(2)(a)
43,993
175,313
JB
Hi-Fi
Ltd.
(2)(a)
8,356
337,750
Pro
Medicus
Ltd.
(2)(a)
1,163
42,132
Qube
Holdings
Ltd.
(2)(a)
7,629
17,778
Santos
Ltd.
(2)(a)
3,284
19,040
Sonic
Healthcare
Ltd.
(2)(a)
1,696
44,778
Tabcorp
Holdings
Ltd.
(2)(a)
29,182
116,264
Treasury
Wine
Estates
Ltd.
(2)(a)
15,638
135,082
Woodside
Petroleum
Ltd.
(2)(a)
6,462
155,291
Worley
Ltd.
(2)(a)
30,900
298,506
2,024,011
Belgium
-
0.7%
Ageas
SA/NV
(2)(a)
10,765
544,206
KBC
Group
NV
(2)(a)
1,752
125,705
Solvay
SA
(2)(a)
2,386
235,154
905,065
Brazil
-
0.3%
Yara
International
ASA
(2)
8,404
420,272
Canada
-
4.7%
Atco
Ltd.,
Class
I
(a)
2,069
71,049
Bank
of
Montreal
(a)
525
61,779
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
2,752
415,524
CGI,
Inc.
*(a)
1,526
121,565
CI
Financial
Corp.
(a)
6,799
108,010
Cogeco
Communications,
Inc.
(a)
1,072
88,734
Empire
Co.
Ltd.,
Class
A
(a)
6,628
235,080
Fairfax
Financial
Holdings
Ltd.
(a)
131
71,468
Finning
International,
Inc.
(a)
648
19,510
Hydro
One
Ltd.
(a)(b)
4,360
117,462
iA
Financial
Corp.,
Inc.
(a)
2,412
146,651
IGM
Financial,
Inc.
(a)
1,918
67,766
Imperial
Oil
Ltd.
(a)
5,930
286,978
Intact
Financial
Corp.
(a)
291
42,998
Keyera
Corp.
(a)
2,274
57,644
Kinross
Gold
Corp.
(a)
17,149
100,687
Loblaw
Cos.
Ltd.
(a)
352
31,586
Magna
International,
Inc.
(a)
4,423
283,958
Manulife
Financial
Corp.
(a)
21,828
465,492
Metro,
Inc.
(a)
788
45,358
National
Bank
of
Canada
(a)
1,664
127,554
Northland
Power,
Inc.
(a)
3,357
111,600
Quebecor,
Inc.,
Class
B
(a)
8,435
201,066
Ritchie
Bros
Auctioneers,
Inc.
(a)
897
52,981
SSR
Mining,
Inc.
(a)
1,605
34,895
Stantec
,
Inc.
(a)
2,643
132,578
Suncor
Energy,
Inc.
(a)
9,012
293,396
Teck
Resources
Ltd.,
Class
B
(a)
14,186
572,819
TFI
International,
Inc.
(a)
3,445
366,917
Thomson
Reuters
Corp.
(a)
1,651
179,251
TMX
Group
Ltd.
(a)
1,368
140,701
INVESTMENTS
SHARES
VALUE
($)
Canada
-
4.7%
(continued)
Toromont
Industries
Ltd.
(a)
476
45,123
Tourmaline
Oil
Corp.
(a)
16,168
744,931
West
Fraser
Timber
Co.
Ltd.
(a)
3,534
290,771
6,133,882
China
-
0.4%
Wilmar
International
Ltd.
(2)
44,000
152,382
Yangzijiang
Shipbuilding
Holdings
Ltd.
(2)
286,600
321,859
474,241
Denmark
-
1.3%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
249
748,236
Carlsberg
A/S,
Class
B
(2)(a)
288
35,355
Danske
Bank
A/S
(2)(a)
10,972
182,520
Genmab
A/S
(2)*(a)
88
31,781
H
Lundbeck
A/S
(2)(a)
1,475
33,986
Jyske
Bank
A/S
(Registered)
(2)*(a)
3,371
183,229
Pandora
A/S
(2)(a)
4,091
389,727
ROCKWOOL
International
A/S,
Class
B
(2)(a)
102
33,671
1,638,505
Finland
-
0.4%
Kesko
OYJ,
Class
B
(2)(a)
8,792
242,748
UPM-
Kymmene
OYJ
(2)(a)
1,583
51,693
Valmet
OYJ
(2)(a)
5,750
178,471
472,912
France
-
2.7%
Arkema
SA
(2)(a)
713
85,232
Atos
SE
(2)(a)
3,255
88,883
BNP
Paribas
SA
(2)(a)
1,820
104,003
Bouygues
SA
(2)(a)
9,048
315,812
Carrefour
SA
(2)(a)
23,338
507,883
Casino
Guichard
Perrachon
SA
(2)*(a)
649
11,949
Cie
de
Saint-Gobain
(2)(a)
8,901
529,613
Cie
Generale
des
Etablissements
Michelin
SCA
(2)(a)
262
35,505
CNP
Assurances
(2)(a)
2,234
53,782
Credit
Agricole
SA
(2)(a)
7,874
94,083
Eutelsat
Communications
SA
(2)(a)
4,982
54,119
Orange
SA
(2)(a)
38,855
460,094
Publicis
Groupe
SA
(2)(a)
974
59,116
Rexel
SA
(2)*(a)
9,730
207,714
Rubis
SCA
(2)(a)
1,304
38,328
Sanofi
(2)(a)
186
19,017
SCOR
SE
(2)(a)
1,737
55,854
Sodexo
SA
(2)(a)
154
12,532
TotalEnergies
SE
(2)(a)
14,996
758,791
3,492,310
Germany
-
3.4%
Allianz
SE
(Registered)
(2)(a)
3,671
876,666
Aurubis
AG
(2)(a)
1,441
171,539
BASF
SE
(2)(a)
3,224
183,963
Bayerische
Motoren
Werke
AG
(2)
(a)
2,338
202,044
2
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
3.4%
(continued)
Brenntag
SE
(2)(a)
2,086
168,197
Continental
AG
(2)*(a)
3,156
226,242
Covestro
AG
(2)(a)(b)
5,048
254,194
Deutsche
Bank
AG
(Registered)
(2)*(a)
31,998
402,989
Deutsche
Post
AG
(Registered)
(2)
(a)
9,813
468,589
Freenet
AG
(2)(a)
1,628
43,567
Hannover
Rueck
SE
(2)(a)
203
34,485
HeidelbergCement
AG
(2)(a)
5,512
312,388
HOCHTIEF
AG
(2)(a)
824
55,507
METRO
AG
(2)(a)
6,208
55,024
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)(a)
1,588
424,535
ProSiebenSat.1
Media
SE
(2)(a)
22,667
288,726
Rheinmetall
AG
(2)(a)
1,214
256,601
Software
AG
(2)(a)
715
24,719
4,449,975
Italy
-
2.0%
A2A
SpA
(2)(a)
25,236
43,224
Assicurazioni
Generali
SpA
(2)(a)
32,006
732,045
Banco
BPM
SpA
(2)(a)
51,404
151,419
Eni
SpA
(2)(a)
15,055
219,550
Hera
SpA
(2)(a)
35,283
129,988
Italgas
SpA
(2)(a)
9,298
59,651
Leonardo
SpA
(2)*(a)
66,806
663,863
Poste
Italiane
SpA
(2)(a)(b)
19,741
223,875
Terna
-
Rete
Elettrica
Nazionale
(2)(a)
5,586
47,969
Unipol
Gruppo
SpA
(2)(a)
45,903
251,777
2,523,361
Japan
-
16.0%
AEON
Financial
Service
Co.
Ltd.
(2)(a)
5,500
54,505
AGC,
Inc.
(2)(a)
13,100
523,416
Aisin
Corp.
(2)(a)
3,800
129,875
Allegro
MicroSystems
,
Inc.
*(a)
1,507
42,799
Asahi
Kasei
Corp.
(2)(a)
1,900
16,434
Astellas
Pharma,
Inc.
(2)(a)
2,000
31,250
Bandai
Namco
Holdings,
Inc.
(2)(a)
1,400
106,161
Bridgestone
Corp.
(2)(a)
3,200
124,211
Brother
Industries
Ltd.
(2)(a)
10,800
196,403
Chiba
Bank
Ltd.
(The)
(2)(a)
19,800
116,418
Chubu
Electric
Power
Co.,
Inc.
(2)
(a)
18,100
187,332
Chugoku
Electric
Power
Co.,
Inc.
(The)
(2)(a)
1,500
10,431
Concordia
Financial
Group
Ltd.
(2)
(a)
7,000
26,052
Dai-ichi
Life
Holdings,
Inc.
(2)(a)
600
12,192
Daiwa
Securities
Group,
Inc.
(2)(a)
35,800
202,510
DeNA
Co.
Ltd.
(2)(a)
5,200
78,994
Electric
Power
Development
Co.
Ltd.
(2)(a)
13,500
192,808
ENEOS
Holdings,
Inc.
(2)(a)
145,800
545,106
Fujitsu
Ltd.
(2)(a)
1,300
194,773
INVESTMENTS
SHARES
VALUE
($)
Japan
-
16.0%
(continued)
Fukuoka
Financial
Group,
Inc.
(2)
(a)
13,100
252,777
Haseko
Corp.
(2)(a)
12,300
141,276
Hitachi
Ltd.
(2)(a)
4,800
240,212
Honda
Motor
Co.
Ltd.
(2)(a)
8,300
235,270
Idemitsu
Kosan
Co.
Ltd.
(2)(a)
10,500
289,438
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
7,200
124,135
Inpex
Corp.
(2)(a)
47,600
559,649
Isuzu
Motors
Ltd.
(2)(a)
12,000
155,016
ITOCHU
Corp.
(2)(a)
16,600
561,511
Japan
Post
Bank
Co.
Ltd.
(2)(a)
18,400
147,766
Japan
Post
Holdings
Co.
Ltd.
(2)(a)
85,100
624,995
Japan
Post
Insurance
Co.
Ltd.
(2)
(a)
19,900
346,562
JFE
Holdings,
Inc.
(2)(a)
27,800
389,039
Kajima
Corp.
(2)(a)
25,700
312,685
Kamigumi
Co.
Ltd.
(2)(a)
1,800
32,311
Kaneka
Corp.
(2)(a)
1,400
40,440
Kansai
Electric
Power
Co.,
Inc.
(The)
(2)(a)
14,400
135,636
KDDI
Corp.
(2)(a)
7,200
236,064
Kinden
Corp.
(2)(a)
3,200
41,243
Komatsu
Ltd.
(2)(a)
1,300
31,233
Konami
Holdings
Corp.
(2)(a)
600
37,845
Kuraray
Co.
Ltd.
(2)(a)
9,800
84,358
Kyushu
Electric
Power
Co.,
Inc.
(2)
(a)
21,600
144,621
Mabuchi
Motor
Co.
Ltd.
(2)(a)
3,500
108,955
Marubeni
Corp.
(2)(a)
64,400
747,826
Mazda
Motor
Corp.
(2)(a)
21,500
158,038
Medipal
Holdings
Corp.
(2)(a)
5,100
83,916
Mitsubishi
Corp.
(2)(a)
2,000
75,053
Mitsubishi
Electric
Corp.
(2)(a)
12,900
147,948
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)(a)
8,200
138,810
Mitsubishi
HC
Capital,
Inc.
(2)(a)
56,100
260,670
Mitsubishi
Heavy
Industries
Ltd.
(2)(a)
5,300
173,979
Mitsubishi
Materials
Corp.
(2)(a)
2,400
41,990
Mitsui
&
Co.
Ltd.
(2)(a)
9,900
268,738
Mitsui
Chemicals,
Inc.
(2)(a)
11,300
284,077
Mizuho
Financial
Group,
Inc.
(2)(a)
26,380
336,487
MS&AD
Insurance
Group
Holdings,
Inc.
(2)(a)
19,400
629,878
NGK
Insulators
Ltd.
(2)(a)
1,100
15,692
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)(a)
3,000
206,102
Nippon
Steel
Corp.
(2)(a)
28,700
506,402
Nippon
Telegraph
&
Telephone
Corp.
(2)(a)
23,400
679,861
Nippon
Yusen
KK
(2)(a)
4,000
349,898
Nomura
Holdings,
Inc.
(2)(a)
87,300
367,163
NS
Solutions
Corp.
(2)(a)
1,200
35,961
Obayashi
Corp.
(2)(a)
38,600
283,314
Oji
Holdings
Corp.
(2)(a)
41,100
203,905
ORIX
Corp.
(2)(a)
3,800
75,744
Osaka
Gas
Co.
Ltd.
(2)(a)
15,700
269,038
Resona
Holdings,
Inc.
(2)(a)
171,000
728,347
Rohto
Pharmaceutical
Co.
Ltd.
(2)
(a)
600
18,112
3
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
16.0%
(continued)
Sankyu,
Inc.
(2)(a)
1,400
45,632
Secom
Co.
Ltd.
(2)(a)
200
14,468
Sega
Sammy
Holdings,
Inc.
(2)(a)
3,200
55,182
Seino
Holdings
Co.
Ltd.
(2)(a)
2,700
24,564
Sekisui
Chemical
Co.
Ltd.
(2)(a)
4,400
63,047
Shimamura
Co.
Ltd.
(2)(a)
300
26,664
Shinsei
Bank
Ltd.
(2)(a)
9,700
176,921
Shizuoka
Bank
Ltd.
(The)
(2)(a)
11,700
82,117
Sojitz
Corp.
(2)(a)
25,120
413,130
Sompo
Holdings,
Inc.
(2)(a)
12,500
549,256
Subaru
Corp.
(2)(a)
10,900
173,125
Sumitomo
Corp.
(2)(a)
23,200
401,793
Sumitomo
Forestry
Co.
Ltd.
(2)(a)
700
12,334
Sumitomo
Heavy
Industries
Ltd.
(2)(a)
4,300
98,538
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)(a)
12,300
388,537
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(2)(a)
8,700
283,138
Suntory
Beverage
&
Food
Ltd.
(2)
(a)
1,400
53,361
T&D
Holdings,
Inc.
(2)(a)
19,100
259,339
Taiheiyo
Cement
Corp.
(2)(a)
4,400
72,505
Taisei
Corp.
(2)(a)
6,200
178,988
TBS
Holdings,
Inc.
(2)(a)
1,300
18,945
Teijin
Ltd.
(2)(a)
13,500
150,219
Tokio
Marine
Holdings,
Inc.
(2)(a)
1,700
98,929
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*(a)
267,300
882,353
TOPPAN,
Inc.
(2)(a)
10,000
176,399
Tosoh
Corp.
(2)(a)
18,700
276,377
Toyota
Boshoku
Corp.
(2)(a)
7,700
125,208
Toyota
Tsusho
Corp.
(2)(a)
7,900
324,231
Yokohama
Rubber
Co.
Ltd.
(The)
(2)(a)
5,000
68,800
20,645,756
Luxembourg
-
0.7%
APERAM
SA
(2)
3,108
137,364
ArcelorMittal
SA
(2)
16,088
515,365
Eurofins
Scientific
SE
(2)
2,382
235,634
888,363
Netherlands
-
2.0%
Aegon
NV
(2)(a)
33,114
175,542
ASR
Nederland
NV
(2)(a)
9,454
441,369
Koninklijke
Ahold
Delhaize
NV
(2)
(a)
19,645
631,892
Koninklijke
Vopak
NV
(2)(a)
589
19,057
NN
Group
NV
(2)(a)
13,613
689,889
Randstad
NV
(2)(a)
4,158
250,124
SBM
Offshore
NV
(2)(a)
972
15,409
Shell
plc
(2)(a)
919
25,189
Signify
NV
(2)(a)(b)
6,829
317,667
2,566,138
INVESTMENTS
SHARES
VALUE
($)
Norway
-
0.2%
Leroy
Seafood
Group
ASA
(2)(a)
7,310
67,053
Salmar
ASA
(2)(a)
1,755
138,731
205,784
Panama
-
0.1%
Copa
Holdings
SA,
Class
A
*
909
76,029
Singapore
-
0.3%
DBS
Group
Holdings
Ltd.
(2)
500
13,101
Genting
Singapore
Ltd.
(2)
93,800
56,063
Oversea-Chinese
Banking
Corp.
Ltd.
(2)
8,900
80,740
SATS
Ltd.
(2)*
10,200
32,510
United
Overseas
Bank
Ltd.
(2)
3,300
77,213
Venture
Corp.
Ltd.
(2)
13,400
172,686
432,313
Spain
-
2.0%
Acciona
SA
(2)(a)
809
154,628
Acerinox
SA
(2)(a)
2,640
28,917
Banco
de
Sabadell
SA
(2)(a)
165,067
134,886
Banco
Santander
SA
(2)(a)
92,256
313,664
CaixaBank
SA
(2)(a)
30,528
103,547
Enagas
SA
(2)(a)
4,915
109,144
Endesa
SA
(2)(a)
7,799
170,047
Iberdrola
SA
(2)(a)
13,023
142,341
Mapfre
SA
(2)(a)
73,590
153,921
Repsol
SA
(2)(a)
65,949
863,880
Telefonica
SA
(2)(a)
93,214
451,739
2,626,714
Sweden
-
1.7%
Axfood
AB
(2)(a)
4,649
151,400
BillerudKorsnas
AB
(2)(a)
3,990
59,128
Boliden
AB
(2)(a)
1,895
95,594
Electrolux
AB,
Series
B
(2)(a)
1,063
16,086
Getinge
AB,
Class
B
(2)(a)
10,830
431,455
Holmen
AB,
Class
B
(2)(a)
450
25,118
Husqvarna
AB,
Class
B
(2)(a)
1,720
17,943
Securitas
AB,
Class
B
(2)(a)
12,070
136,166
Skanska
AB,
Class
B
(2)(a)
5,534
123,808
SKF
AB,
Class
B
(2)(a)
10,093
164,576
SSAB
AB,
Class
A
(2)*(a)
49,963
347,160
Svenska
Handelsbanken
AB,
Class
A
(2)(a)
46,709
429,510
Trelleborg
AB,
Class
B
(2)(a)
2,490
57,649
Volvo
AB,
Class
B
(2)(a)
8,773
163,663
2,219,256
Switzerland
-
2.0%
Baloise
Holding
AG
(Registered)
(2)(a)
1,681
300,221
BKW
AG
(2)(a)
157
19,665
Bucher
Industries
AG
(Registered)
(2)(a)
136
54,972
Credit
Suisse
Group
AG
(Registered)
(2)(a)
100,349
789,959
DKSH
Holding
AG
(2)(a)
887
74,705
dormakaba
Holding
AG
(2)(a)
31
15,900
Geberit
AG
(Registered)
(2)(a)
57
35,138
4
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
2.0%
(continued)
Helvetia
Holding
AG
(Registered)
(2)(a)
1,025
133,816
Roche
Holding
AG
(2)(a)
597
236,210
Sulzer
AG
(Registered)
(2)(a)
900
74,759
Swiss
Life
Holding
AG
(Registered)
(2)(a)
433
277,469
Swisscom
AG
(Registered)
(2)(a)
745
447,601
UBS
Group
AG
(Registered)
(2)(a)
9,133
178,471
2,638,886
United
Kingdom
-
3.3%
Ashmore
Group
plc
(2)(a)
5,458
16,577
ASOS
plc
(2)*(a)
2,377
50,009
Aviva
plc
(2)(a)
103,352
611,526
BP
plc
(2)(a)
76,844
376,719
Britvic
plc
(2)(a)
5,019
53,207
BT
Group
plc
(2)(a)
162,438
387,304
Centrica
plc
(2)*
228,264
238,776
DCC
plc
(2)(a)
284
21,991
Direct
Line
Insurance
Group
plc
(2)(a)
29,718
107,085
DS
Smith
plc
(2)(a)
31,521
132,568
Howden
Joinery
Group
plc
(2)(a)
13,817
138,516
Investec
plc
(2)(a)
17,694
117,055
Kingfisher
plc
(2)(a)
24,750
82,607
Liberty
Global
plc,
Class
C
*(a)
11,995
310,790
M&G
plc
(2)(a)
101,689
293,000
Man
Group
plc
(2)(a)
16,121
49,195
Marks
&
Spencer
Group
plc
(2)*(a)
102,526
206,934
National
Grid
plc
(2)(a)
12,232
187,984
Royal
Mail
plc
(2)(a)
87,614
376,447
Spectris
plc
(2)(a)
709
24,045
Subsea
7
SA
(2)(a)
10,238
95,119
Tate
&
Lyle
plc
(2)(a)
5,102
48,908
Tesco
plc
(2)(a)
95,248
344,827
4,271,189
United
States
-
50.2%
A
O
Smith
Corp.
(a)
244
15,589
AbbVie,
Inc.
(a)(c)
2,861
463,797
ABIOMED,
Inc.
*(a)
50
16,562
Accenture
plc,
Class
A
(a)
74
24,955
ACI
Worldwide,
Inc.
*(a)
342
10,770
Acuity
Brands,
Inc.
(a)(c)
1,165
220,535
AGCO
Corp.
(a)
589
86,012
Agilent
Technologies,
Inc.
(a)
775
102,556
Air
Lease
Corp.
(a)
1,110
49,562
Akamai
Technologies,
Inc.
*(a)(c)
1,368
163,326
Alaska
Air
Group,
Inc.
*(a)
13,746
797,405
Albertsons
Cos.,
Inc.,
Class
A
(a)
1,048
34,846
Alliance
Data
Systems
Corp.
(a)
13,322
748,030
Allison
Transmission
Holdings,
Inc.
(a)
12,931
507,671
Allstate
Corp.
(The)
(a)(c)
2,295
317,880
Altice
USA,
Inc.,
Class
A
*(a)
1,651
20,604
Amdocs
Ltd.
(a)
3,899
320,537
AMERCO
(a)
40
23,878
Ameriprise
Financial,
Inc.
(a)
646
194,033
Amgen,
Inc.
(a)
1,421
343,626
Amkor
Technology,
Inc.
(a)
17,245
374,561
INVESTMENTS
SHARES
VALUE
($)
United
States
-
50.2%
(continued)
ANSYS,
Inc.
*(a)
553
175,660
Anthem,
Inc.
(a)
694
340,907
APA
Corp.
(a)(c)
10,661
440,619
Applied
Materials,
Inc.
(a)(c)
1,028
135,490
Aramark
(a)(c)
2,191
82,382
Archer-Daniels-Midland
Co.
(a)
835
75,367
Arrow
Electronics,
Inc.
*(a)
6,282
745,234
Associated
Banc-Corp.
(a)(c)
7,113
161,892
Assured
Guaranty
Ltd.
(a)
722
45,963
AutoNation,
Inc.
*(a)(c)
8,136
810,182
AutoZone,
Inc.
*(a)
81
165,611
Avient
Corp.
(a)(c)
3,212
154,176
Avnet,
Inc.
(a)
1,008
40,915
Bank
of
New
York
Mellon
Corp.
(The)
(a)(c)
1,432
71,070
Baxter
International,
Inc.
(a)
258
20,005
Belden,
Inc.
(a)
822
45,539
Berry
Global
Group,
Inc.
*(a)(c)
3,537
205,005
Best
Buy
Co.,
Inc.
(a)
5,117
465,135
Biogen,
Inc.
*(a)
2,654
558,932
Bio-Rad
Laboratories,
Inc.,
Class
A
*(a)
509
286,684
Bio-
Techne
Corp.
(a)
442
191,404
BJ's
Wholesale
Club
Holdings,
Inc.
*(a)
3,093
209,118
Blackbaud
,
Inc.
*(a)(c)
1,469
87,949
Booking
Holdings,
Inc.
*(a)
9
21,136
Booz
Allen
Hamilton
Holding
Corp.
(a)
2,614
229,614
BorgWarner,
Inc.
(a)(c)
3,172
123,391
Boyd
Gaming
Corp.
(a)
4,091
269,106
Brighthouse
Financial,
Inc.
*(a)
2,482
128,220
Bristol-Myers
Squibb
Co.
(a)
3,690
269,481
Broadcom,
Inc.
(a)
147
92,563
BRP,
Inc.
(a)
2,970
243,178
Brunswick
Corp.
(a)(c)
9,023
729,870
CACI
International,
Inc.,
Class
A
*(a)
1,125
338,918
Cadence
Design
Systems,
Inc.
*(a)
1,605
263,958
Callaway
Golf
Co.
*(a)(c)
2,467
57,777
Carlisle
Cos.,
Inc.
(a)
467
114,845
Carter's,
Inc.
(a)(c)
1,129
103,857
Casey's
General
Stores,
Inc.
(a)
802
158,932
Cathay
General
Bancorp
(a)
1,339
59,920
CDK
Global,
Inc.
(a)(c)
1,735
84,460
CDW
Corp.
(a)
1,379
246,689
Cerence
,
Inc.
*(a)(c)
3,333
120,321
Certara
,
Inc.
*(a)(c)
3,374
72,474
CH
Robinson
Worldwide,
Inc.
(a)
990
106,633
Charles
River
Laboratories
International,
Inc.
*(a)
1,640
465,711
Chemed
Corp.
(a)
243
123,092
Chemours
Co.
(The)
(a)(c)
3,551
111,785
Chevron
Corp.
(a)(c)
1,566
254,992
Chipotle
Mexican
Grill,
Inc.
*(a)
34
53,789
Ciena
Corp.
*(a)
2,162
131,082
Cigna
Corp.
(a)
322
77,154
Cirrus
Logic,
Inc.
*(a)
3,272
277,433
Citizens
Financial
Group,
Inc.
(a)
925
41,930
Citrix
Systems,
Inc.
(a)
532
53,679
5
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
50.2%
(continued)
CNO
Financial
Group,
Inc.
(a)
634
15,907
CNX
Resources
Corp.
*(a)(c)
2,993
62,015
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)
1,239
111,101
Colgate-Palmolive
Co.
(a)
170
12,891
Columbia
Sportswear
Co.
(a)
1,799
162,863
Commercial
Metals
Co.
(a)(c)
11,408
474,801
Concentrix
Corp.
(a)
234
38,975
ConocoPhillips
(a)
3,173
317,300
Cooper
Cos.,
Inc.
(The)
(a)
236
98,551
Coterra
Energy,
Inc.
(a)
680
18,340
Cracker
Barrel
Old
Country
Store,
Inc.
(a)(c)
3,303
392,165
Cummins,
Inc.
(a)(c)
1,776
364,275
Curtiss-Wright
Corp.
(a)(c)
1,120
168,179
CVS
Health
Corp.
(a)(c)
1,195
120,946
Dana,
Inc.
(a)(c)
5,821
102,275
Darling
Ingredients,
Inc.
*(a)
178
14,308
Deckers
Outdoor
Corp.
*(a)(c)
1,549
424,070
Dick's
Sporting
Goods,
Inc.
(c)
4,256
425,685
DISH
Network
Corp.,
Class
A
*(a)
(c)
9,454
299,219
DXC
Technology
Co.
*(a)
6,794
221,688
Eagle
Materials,
Inc.
(a)
283
36,326
East
West
Bancorp,
Inc.
(a)
358
28,289
Eastman
Chemical
Co.
(a)
1,465
164,168
Eaton
Corp.
plc
(a)
1,489
225,971
eBay,
Inc.
(a)(c)
4,376
250,570
Electronic
Arts,
Inc.
(a)
2,545
321,968
EMCOR
Group,
Inc.
(a)
1,373
154,641
Emerson
Electric
Co.
(a)
794
77,852
EnerSys
(a)
161
12,006
EOG
Resources,
Inc.
(a)
5,646
673,173
EPAM
Systems,
Inc.
*(a)
359
106,483
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
(a)
745
202,878
Everest
Re
Group
Ltd.
(a)
636
191,678
Expeditors
International
of
Washington,
Inc.
(a)
3,076
317,320
F5,
Inc.
*(a)
602
125,788
Fair
Isaac
Corp.
*(a)
541
252,355
Federated
Hermes,
Inc.
(a)(c)
5,966
203,202
First
American
Financial
Corp.
(a)
202
13,094
First
Hawaiian,
Inc.
(a)(c)
922
25,715
Flowers
Foods,
Inc.
(a)
1,638
42,113
Flowserve
Corp.
(a)
1,828
65,625
FNB
Corp.
(a)(c)
10,949
136,315
Foot
Locker,
Inc.
(a)
4,653
138,008
Fortinet,
Inc.
*(a)
819
279,885
Fortune
Brands
Home
&
Security,
Inc.
(a)
1,222
90,770
Frontdoor
,
Inc.
*(a)
1,809
53,999
Fulton
Financial
Corp.
(a)
2,749
45,688
Gates
Industrial
Corp.
plc
*(a)
3,303
49,743
General
Dynamics
Corp.
(a)
595
143,502
General
Mills,
Inc.
(a)
1,302
88,171
General
Motors
Co.
*(a)
3,227
141,149
Globus
Medical,
Inc.,
Class
A
*(a)
2,412
177,957
GoHealth
,
Inc.,
Class
A
*(c)
53,917
63,622
INVESTMENTS
SHARES
VALUE
($)
United
States
-
50.2%
(continued)
Goodyear
Tire
&
Rubber
Co.
(The)
*(a)
8,726
124,695
Graham
Holdings
Co.,
Class
B
(a)
311
190,167
Grand
Canyon
Education,
Inc.
*(a)
(c)
1,943
188,685
Greif,
Inc.,
Class
A
(a)(c)
2,109
137,212
H&R
Block,
Inc.
(a)(c)
5,130
133,585
Halliburton
Co.
(a)
5,763
218,245
Hanesbrands,
Inc.
(a)
1,597
23,779
Harley-Davidson,
Inc.
(a)(c)
8,547
336,752
Hartford
Financial
Services
Group,
Inc.
(The)
(a)(c)
1,737
124,734
Hasbro,
Inc.
(a)
915
74,957
HCA
Healthcare,
Inc.
(a)
513
128,568
Helen
of
Troy
Ltd.
*(a)
438
85,778
Henry
Schein,
Inc.
*(a)
207
18,048
Hexcel
Corp.
(a)(c)
2,416
143,680
HF
Sinclair
Corp.
*(a)
7,059
281,301
Hologic
,
Inc.
*(a)
580
44,556
Horizon
Therapeutics
plc
*(a)
1,545
162,549
Howmet
Aerospace,
Inc.
(a)
7,692
276,450
HP,
Inc.
(a)
14,984
543,919
Hubbell,
Inc.
(a)(c)
576
105,852
Humana,
Inc.
(a)
224
97,478
Huntsman
Corp.
(a)(c)
2,896
108,629
IAC/InterActiveCorp
*(a)
649
65,082
Ingredion,
Inc.
(a)
1,330
115,910
Intel
Corp.
(a)
3,408
168,900
Interpublic
Group
of
Cos.,
Inc.
(The)
(c)
2,347
83,201
Intuit,
Inc.
(a)
63
30,293
Invesco
Ltd.
(a)
9,950
229,447
IQVIA
Holdings,
Inc.
*(a)(c)
1,121
259,186
ITT,
Inc.
(a)(c)
2,012
151,323
J
M
Smucker
Co.
(The)
(a)(c)
1,367
185,105
Jabil,
Inc.
(a)(c)
6,559
404,887
Jack
in
the
Box,
Inc.
(a)
2,869
267,993
JetBlue
Airways
Corp.
*(a)(c)
8,712
130,244
Johnson
Controls
International
plc
(a)
682
44,719
Juniper
Networks,
Inc.
(a)(c)
3,281
121,922
KB
Home
(a)
5,162
167,146
KBR,
Inc.
(a)(c)
1,336
73,119
Keysight
Technologies,
Inc.
*(a)
870
137,434
KLA
Corp.
(a)
481
176,075
Knight-Swift
Transportation
Holdings,
Inc.
(a)(c)
1,529
77,153
Kroger
Co.
(The)
(a)(c)
10,691
613,343
L3Harris
Technologies,
Inc.
(a)
100
24,847
Laboratory
Corp.
of
America
Holdings
*(a)
652
171,906
Lear
Corp.
(a)
605
86,267
Lithia
Motors,
Inc.
(a)
1,573
472,089
Lowe's
Cos.,
Inc.
(a)
878
177,523
Lumentum
Holdings,
Inc.
*(a)
187
18,251
LyondellBasell
Industries
NV,
Class
A
(a)
2,966
304,964
M&T
Bank
Corp.
(a)
424
71,868
Manhattan
Associates,
Inc.
*(a)
1,480
205,291
ManpowerGroup
,
Inc.
(a)
5,114
480,307
6
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
50.2%
(continued)
Marathon
Oil
Corp.
(a)
4,694
117,866
Marriott
Vacations
Worldwide
Corp.
(a)
1,209
190,659
Masimo
Corp.
*(a)
293
42,643
MasTec
,
Inc.
*(a)(c)
2,112
183,955
Match
Group,
Inc.
*(a)
1,011
109,936
Mattel,
Inc.
*(a)(c)
28,341
629,454
Maximus,
Inc.
(a)(c)
1,980
148,401
McDonald's
Corp.
(a)
339
83,828
MDU
Resources
Group,
Inc.
(a)(c)
8,283
220,742
Medpace
Holdings,
Inc.
*(a)
87
14,232
Medtronic
plc
(a)
882
97,858
Merck
&
Co.,
Inc.
(a)(c)
4,753
389,984
Meta
Platforms,
Inc.,
Class
A
*(a)
3,978
884,548
Micron
Technology,
Inc.
(a)(c)
4,413
343,729
Microsoft
Corp.
(a)
337
103,900
MillerKnoll
,
Inc.
(a)(c)
5,319
183,825
Minerals
Technologies,
Inc.
(a)
1,346
89,038
MKS
Instruments,
Inc.
(a)(c)
2,988
448,200
Moderna
,
Inc.
*(a)(c)
4,786
824,435
Mohawk
Industries,
Inc.
*(a)(c)
2,006
249,145
Molina
Healthcare,
Inc.
*(a)
761
253,862
Molson
Coors
Beverage
Co.,
Class
B
(a)(c)
3,510
187,364
MSA
Safety,
Inc.
(a)(c)
202
26,805
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
(a)(c)
588
50,103
Murphy
Oil
Corp.
(a)
2,481
100,208
Murphy
USA,
Inc.
(a)
2,685
536,893
Navient
Corp.
(c)
22,900
390,216
NCR
Corp.
*(a)(c)
14,913
599,353
Nielsen
Holdings
plc
(a)
1,136
30,945
Nordson
Corp.
(a)
68
15,441
NortonLifeLock
,
Inc.
(a)
3,279
86,959
Nu
Skin
Enterprises,
Inc.,
Class
A
(a)(c)
5,129
245,577
Old
Republic
International
Corp.
(a)(c)
3,133
81,051
Olin
Corp.
(a)
1,832
95,777
Omnicom
Group,
Inc.
(a)
1,032
87,596
Oracle
Corp.
(a)
1,653
136,753
O'Reilly
Automotive,
Inc.
*(a)
79
54,112
Organon
&
Co.
(a)(c)
15,139
528,805
Oshkosh
Corp.
(a)(c)
1,130
113,735
Owens
Corning
(a)(c)
8,520
779,580
PACCAR,
Inc.
(a)
534
47,029
Packaging
Corp.
of
America
(a)(c)
1,964
306,600
Papa
John's
International,
Inc.
(a)
(c)
1,671
175,923
Paysafe
Ltd.
*
22,175
75,173
Penske
Automotive
Group,
Inc.
(a)
(c)
4,634
434,298
PerkinElmer,
Inc.
(a)
315
54,955
Pfizer,
Inc.
(a)
4,091
211,791
Pinterest,
Inc.,
Class
A
*(a)
453
11,148
Polaris,
Inc.
(a)(c)
2,128
224,121
Popular,
Inc.
5,592
457,090
Procter
&
Gamble
Co.
(The)
(a)
204
31,171
PulteGroup,
Inc.
(a)
2,953
123,731
PVH
Corp.
(a)
325
24,898
INVESTMENTS
SHARES
VALUE
($)
United
States
-
50.2%
(continued)
Qorvo
,
Inc.
*(a)(c)
4,341
538,718
QUALCOMM,
Inc.
(a)
474
72,437
Quanta
Services,
Inc.
(a)
3,380
444,842
Quest
Diagnostics,
Inc.
(a)
368
50,364
Quidel
Corp.
*(a)
6,126
688,930
Qurate
Retail,
Inc.,
Series
A
65,732
312,884
Ralph
Lauren
Corp.
(a)
895
101,529
Regal
Rexnord
Corp.
(a)
2,970
441,877
Regeneron
Pharmaceuticals,
Inc.
*(a)
390
272,384
Regions
Financial
Corp.
(a)
604
13,445
Reliance
Steel
&
Aluminum
Co.
(a)
1,225
224,604
Reynolds
Consumer
Products,
Inc.
(a)
805
23,619
Ryder
System,
Inc.
(a)
3,007
238,545
Saia,
Inc.
*(a)
714
174,087
Schneider
National,
Inc.,
Class
B
(a)(c)
4,903
125,027
Science
Applications
International
Corp.
(a)
673
62,030
Semtech
Corp.
*(a)
177
12,273
Silgan
Holdings,
Inc.
(a)(c)
5,212
240,951
Simpson
Manufacturing
Co.,
Inc.
(a)
446
48,632
Skechers
USA,
Inc.,
Class
A
*(a)
4,402
179,426
Skillz
,
Inc.
*(c)
28,440
85,320
Skyworks
Solutions,
Inc.
(a)
1,729
230,441
Snap-on,
Inc.
(a)
1,153
236,918
Sonoco
Products
Co.
(a)
566
35,409
Sprouts
Farmers
Market,
Inc.
*(a)
(c)
11,095
354,818
SS&C
Technologies
Holdings,
Inc.
(a)
611
45,837
Steel
Dynamics,
Inc.
(a)
10,200
850,985
STERIS
plc
(a)(c)
1,247
301,487
Stifel
Financial
Corp.
(a)
2,087
141,707
Stryker
Corp.
(a)
159
42,509
Swiss
Re
AG
(2)(a)
4,125
392,675
Synaptics
,
Inc.
*(a)
1,595
318,203
Syneos
Health,
Inc.
*(a)
974
78,845
Synopsys,
Inc.
*(a)
1,051
350,267
Synovus
Financial
Corp.
(a)
2,718
133,182
Tapestry,
Inc.
(a)
2,307
85,705
Target
Corp.
(a)
2,355
499,778
Taylor
Morrison
Home
Corp.
*(a)
722
19,653
TD
SYNNEX
Corp.
(a)
3,730
384,973
TEGNA,
Inc.
(a)
14,975
335,440
Teladoc
Health,
Inc.
*(a)
177
12,767
Teradata
Corp.
*(a)(c)
14,282
703,960
Teradyne,
Inc.
(a)(c)
1,698
200,755
Terex
Corp.
(a)(c)
6,857
244,521
Texas
Roadhouse,
Inc.
(a)
2,299
192,495
Textron,
Inc.
(a)
4,567
339,693
Thermo
Fisher
Scientific,
Inc.
(a)
590
348,484
Timken
Co.
(The)
(a)(c)
2,191
132,994
Toll
Brothers,
Inc.
(a)
10,034
471,799
Tractor
Supply
Co.
(a)
79
18,436
Travel
+
Leisure
Co.
(a)
4,866
281,936
Tri
Pointe
Homes,
Inc.
*(a)
28,624
574,770
Tyson
Foods,
Inc.,
Class
A
(a)
2,353
210,899
7
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
50.2%
(continued)
United
Rentals,
Inc.
*(a)
361
128,231
United
States
Steel
Corp.
(a)(c)
12,362
466,542
United
Therapeutics
Corp.
*(a)
3,280
588,465
Universal
Display
Corp.
(a)
596
99,502
Universal
Health
Services,
Inc.,
Class
B
(a)(c)
1,160
168,142
Unum
Group
(a)
16,840
530,628
Urban
Outfitters,
Inc.
*(a)
4,357
109,404
US
Foods
Holding
Corp.
*(a)
1,219
45,871
Valero
Energy
Corp.
(a)
209
21,222
Veeva
Systems,
Inc.,
Class
A
*(a)
893
189,727
VeriSign,
Inc.
*(a)
605
134,588
Vertex
Pharmaceuticals,
Inc.
*(a)
173
45,148
Vertiv
Holdings
Co.
(a)
852
11,928
Virtu
Financial,
Inc.,
Class
A
(a)
713
26,538
Vishay
Intertechnology
,
Inc.
(a)(c)
3,681
72,148
VMware,
Inc.,
Class
A
(a)
253
28,809
Vontier
Corp.
(a)
12,075
306,584
Werner
Enterprises,
Inc.
(a)(c)
2,812
115,292
Western
Digital
Corp.
*(a)
9,636
478,427
Western
Union
Co.
(The)
(a)(c)
11,844
221,957
Westlake
Corp.
(a)
511
63,057
Westrock
Co.
(a)
4,326
203,452
Whirlpool
Corp.
(a)
373
64,447
Williams-Sonoma,
Inc.
(a)(c)
2,174
315,230
Wintrust
Financial
Corp.
(a)
880
81,778
World
Fuel
Services
Corp.
(a)
3,914
105,835
World
Wrestling
Entertainment,
Inc.,
Class
A
(a)
959
59,880
Worthington
Industries,
Inc.
(a)(c)
1,423
73,156
Xerox
Holdings
Corp.
(a)(c)
10,774
217,312
XPO
Logistics,
Inc.
*(a)
3,944
287,123
Yelp,
Inc.
*(a)
12,981
442,782
YETI
Holdings,
Inc.
*(a)
2,375
142,453
Zebra
Technologies
Corp.,
Class
A
*(a)
176
72,811
Ziff
Davis,
Inc.
*(a)(c)
4,472
432,800
Zimmer
Biomet
Holdings,
Inc.
(a)
125
15,988
Zimvie
,
Inc.
*
12
274
Zoetis,
Inc.
(a)
759
143,140
64,959,333
TOTAL
COMMON
STOCKS
(Cost
$92,359,794)
124,064,295
PREFERRED
STOCKS
-
0.1%
United
States
-
0.1%
Qurate
Retail,
Inc.,
8.00%,
3/15/2031
(Cost
$125,034)
1,728
148,625
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
76.2%
INVESTMENT
COMPANIES
-
59.3%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(d)(e)
994,605
994,605
J.P.
Morgan
U.S.
Treasury
Plus
Money
Market
Fund
-
IM
Shares,
0.14%
(d)
30,006
30,006
Limited
Purpose
Cash
Investment
Fund,
0.18%
(d)
75,755,403
75,717,525
TOTAL
INVESTMENT
COMPANIES
(Cost
$76,746,934)
76,742,136
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
16.9%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(2)(f)
$
2,532,000
2,531,939
0.06%,
4/14/2022
(2)(f)
117,000
116,994
0.06%,
4/28/2022
(2)(f)
276,000
275,978
0.07%,
5/5/2022
(2)(f)
181,000
180,975
0.07%,
5/19/2022
(2)(f)
2,369,000
2,368,213
0.07%,
5/26/2022
(2)(f)(g)
179,000
178,921
0.22%,
7/7/2022
(2)(f)(g)
9,166,000
9,151,798
0.28%,
7/14/2022
(2)(f)
992,000
990,259
0.38%,
7/28/2022
(2)(f)
428,000
426,941
0.49%,
8/4/2022
(2)(f)
313,000
312,133
0.71%,
8/25/2022
(2)(f)
978,000
974,444
0.67%,
9/1/2022
(2)(f)
885,000
881,572
0.70%,
9/8/2022
(2)(f)
326,000
324,672
0.82%,
9/15/2022
(2)(f)
999,000
994,683
0.87%,
9/22/2022
(2)(f)
1,284,000
1,278,115
1.06%,
9/29/2022
(2)(f)
884,000
879,525
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$21,881,228)
21,867,162
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$98,628,162)
98,609,298
TOTAL
LONG
POSITIONS
(Cost
$191,112,990)
222,822,218
SHARES
SHORT
POSITIONS
-
(89.6)%
COMMON
STOCKS
-
(89.6)%
Australia
-
(1.5)%
Alumina
Ltd.
(2)
(11,404)
(17,121)
APA
Group
(2)
(24,023)
(190,931)
Atlas
Arteria
Ltd.
(2)
(20,949)
(101,956)
Domino's
Pizza
Enterprises
Ltd.
(2)
(380)
(24,736)
IDP
Education
Ltd.
(2)
(7,538)
(176,420)
Insurance
Australia
Group
Ltd.
(2)
(78,147)
(255,758)
Mineral
Resources
Ltd.
(2)
(3,422)
(134,896)
Northern
Star
Resources
Ltd.
(2)
(43,940)
(354,495)
Pilbara
Minerals
Ltd.
(2)*
(108,395)
(256,087)
QBE
Insurance
Group
Ltd.
(2)
(37,612)
(322,535)
Seven
Group
Holdings
Ltd.
(2)
(4,733)
(74,730)
Suncorp
Group
Ltd.
(2)
(1,807)
(14,979)
Transurban
Group
(2)
(7,294)
(73,698)
(1,998,342)
8
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Austria
-
0.0%
(h)
ams
-OSRAM
AG
(2)*
(2,258)
(34,563)
Belgium
-
(0.4)%
Anheuser-Busch
InBev
SA/NV
(2)
(6,227)
(372,300)
Galapagos
NV
(2)*
(1,757)
(109,166)
(481,466)
Brazil
-
(0.4)%
MercadoLibre
,
Inc.
*
(362)
(430,591)
Wheaton
Precious
Metals
Corp.
(1,392)
(66,196)
(496,787)
Canada
-
(2.7)%
Air
Canada
*
(17,522)
(339,886)
Algonquin
Power
&
Utilities
Corp.
(752)
(11,664)
AltaGas
Ltd.
(2,517)
(56,374)
Ballard
Power
Systems,
Inc.
*
(30,762)
(358,027)
Barrick
Gold
Corp.
(11,823)
(289,960)
BlackBerry
Ltd.
*
(25,823)
(191,480)
Boralex
,
Inc.,
Class
A
(3,733)
(120,994)
CAE,
Inc.
*
(4,470)
(116,349)
Canada
Goose
Holdings,
Inc.
*
(3,293)
(86,530)
Canopy
Growth
Corp.
*
(38,746)
(293,814)
Element
Fleet
Management
Corp.
(2,401)
(23,239)
GFL
Environmental,
Inc.
(477)
(15,514)
Innergex
Renewable
Energy,
Inc.
(8,775)
(139,541)
Kinaxis
,
Inc.
*
(121)
(15,837)
Lightspeed
Commerce,
Inc.
*
(6,459)
(197,002)
Nuvei
Corp.
*(b)
(170)
(12,782)
Restaurant
Brands
International,
Inc.
(2,702)
(157,864)
Shopify,
Inc.,
Class
A
*
(1,306)
(883,241)
SNC-Lavalin
Group,
Inc.
(6,584)
(158,524)
Yamana
Gold,
Inc.
(7,636)
(42,634)
(3,511,256)
Chile
-
0.0%
(h)
Antofagasta
plc
(2)
(2,242)
(48,716)
China
-
(0.2)%
Prosus
NV
(2)*
(4,143)
(223,423)
Colombia
-
(0.1)%
Millicom
International
Cellular
SA,
SDR
(2)*
(2,830)
(71,845)
Denmark
-
(1.4)%
Ambu
A/S,
Class
B
(2)
(7,603)
(111,925)
Coloplast
A/S,
Class
B
(2)
(512)
(77,537)
Demant
A/S
(2)*
(1,987)
(89,922)
GN
Store
Nord
A/S
(2)
(292)
(14,313)
Novo
Nordisk
A/S,
Class
B
(2)
(3,213)
(356,374)
Orsted
A/S
(2)*(b)
(4,573)
(572,409)
Tryg
A/S
(2)
(656)
(15,950)
Vestas
Wind
Systems
A/S
(2)
(19,533)
(572,996)
(1,811,426)
Faroe
Islands
-
0.0%
(h)
Bakkafrost
P/F
(2)
(456)
(30,585)
INVESTMENTS
SHARES
VALUE
($)
Finland
-
(0.1)%
Neste
OYJ
(2)
(1,515)
(69,074)
Orion
OYJ,
Class
B
(2)
(893)
(40,557)
(109,631)
France
-
(3.6)%
Accor
SA
(2)*
(3,298)
(106,259)
Adevinta
ASA
(2)*
(14,570)
(133,012)
Airbus
SE
(2)*
(2,096)
(252,921)
BioMerieux
(2)
(1,032)
(110,146)
Cie
Plastic
Omnium
SA
(2)
(1,073)
(19,481)
Dassault
Systemes
SE
(2)
(10,353)
(508,629)
Edenred
(2)
(6,194)
(306,261)
EssilorLuxottica
SA
(2)
(265)
(48,466)
Getlink
SE
(2)
(4,549)
(81,926)
Hermes
International
(2)
(622)
(880,346)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(1,037)
(740,210)
Orpea
SA
(2)
(1,925)
(83,533)
Safran
SA
(2)
(746)
(87,831)
Sartorius
Stedim
Biotech
(2)
(849)
(347,593)
SOITEC
(2)*
(896)
(168,076)
Ubisoft
Entertainment
SA
(2)*
(638)
(28,036)
Valeo
(2)
(7,408)
(136,833)
Worldline
SA
(2)*(b)
(15,517)
(673,441)
(4,713,000)
Germany
-
(3.0)%
Carl
Zeiss
Meditec
AG
(2)
(1,280)
(206,179)
Commerzbank
AG
(2)*
(8,702)
(66,126)
CompuGroup
Medical
SE
&
Co.
KgaA
(2)
(284)
(17,305)
HelloFresh
SE
(2)*
(1,721)
(77,245)
Merck
KGaA
(2)
(3,041)
(635,067)
MTU
Aero
Engines
AG
(2)
(374)
(86,499)
Nemetschek
SE
(2)
(2,153)
(206,761)
Puma
SE
(2)
(3,277)
(278,682)
Rational
AG
(2)
(47)
(32,370)
SAP
SE
(2)
(2,852)
(316,082)
Sartorius
AG
(Preference)
(2)
(1,100)
(485,478)
Siemens
Healthineers
AG
(2)(b)
(7,995)
(495,457)
TeamViewer
AG
(2)*(b)
(5,705)
(84,248)
Telefonica
Deutschland
Holding
AG
(2)
(49,224)
(133,879)
thyssenkrupp
AG
(2)*
(8,951)
(76,508)
United
Internet
AG
(Registered)
(2)
(2,660)
(91,286)
Volkswagen
AG
(Preference)
(2)
(99)
(17,013)
Zalando
SE
(2)*(b)
(10,548)
(534,089)
(3,840,274)
Italy
-
(1.8)%
Amplifon
SpA
(2)
(6,675)
(297,070)
Brembo
SpA
(2)
(3,436)
(38,252)
Davide
Campari-Milano
NV
(2)
(6,439)
(74,686)
DiaSorin
SpA
(2)
(106)
(16,556)
Enel
SpA
(2)
(8,408)
(56,138)
Ferrari
NV
(2)
(2,069)
(450,752)
FinecoBank
Banca
Fineco
SpA
(2)
(3,135)
(47,558)
Infrastrutture
Wireless
Italiane
SpA
(2)(b)
(1,147)
(12,840)
Interpump
Group
SpA
(2)
(1,713)
(85,838)
9
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Italy
-
(1.8)%
(continued)
Moncler
SpA
(2)
(11,918)
(661,234)
Nexi
SpA
(2)*(b)
(47,047)
(542,909)
(2,283,833)
Japan
-
(14.5)%
Advantest
Corp.
(2)
(4,700)
(366,947)
Aeon
Co.
Ltd.
(2)
(6,100)
(130,067)
Ajinomoto
Co.,
Inc.
(2)
(2,300)
(65,280)
ANA
Holdings,
Inc.
(2)*
(6,000)
(125,419)
Asahi
Intecc
Co.
Ltd.
(2)
(13,100)
(255,563)
Asics
Corp.
(2)
(9,000)
(173,671)
Azbil
Corp.
(2)
(1,000)
(33,190)
BayCurrent
Consulting,
Inc.
(2)
(1,200)
(434,374)
Benefit
One,
Inc.
(2)
(1,200)
(25,185)
Capcom
Co.
Ltd.
(2)
(3,700)
(89,704)
Casio
Computer
Co.
Ltd.
(2)
(3,200)
(36,632)
Chugai
Pharmaceutical
Co.
Ltd.
(2)
(4,200)
(140,147)
Coca-Cola
Bottlers
Japan
Holdings,
Inc.
(2)
(3,400)
(40,066)
Cosmos
Pharmaceutical
Corp.
(2)
(1,500)
(181,798)
CyberAgent
,
Inc.
(2)
(13,500)
(167,057)
Daifuku
Co.
Ltd.
(2)
(800)
(57,081)
Daiichi
Sankyo
Co.
Ltd.
(2)
(9,200)
(200,900)
Daikin
Industries
Ltd.
(2)
(800)
(145,283)
East
Japan
Railway
Co.
(2)
(5,800)
(335,690)
Eisai
Co.
Ltd.
(2)
(6,100)
(282,604)
Fancl
Corp.
(2)
(3,400)
(75,735)
FANUC
Corp.
(2)
(100)
(17,551)
Fast
Retailing
Co.
Ltd.
(2)
(600)
(307,594)
Food
&
Life
Cos.
Ltd.
(2)
(2,600)
(72,519)
Freee
KK
(2)*
(900)
(31,947)
FUJIFILM
Holdings
Corp.
(2)
(400)
(24,416)
GMO
internet,
Inc.
(2)
(400)
(9,082)
GMO
Payment
Gateway,
Inc.
(2)
(1,100)
(112,064)
Harmonic
Drive
Systems,
Inc.
(2)
(4,700)
(161,410)
Hisamitsu
Pharmaceutical
Co.,
Inc.
(2)
(500)
(14,888)
Hoya
Corp.
(2)
(4,300)
(490,019)
Ibiden
Co.
Ltd.
(2)
(1,400)
(68,253)
Isetan
Mitsukoshi
Holdings
Ltd.
(2)
(3,900)
(30,693)
Japan
Airlines
Co.
Ltd.
(2)*
(12,300)
(229,313)
Japan
Airport
Terminal
Co.
Ltd.
(2)*
(6,400)
(291,506)
JCR
Pharmaceuticals
Co.
Ltd.
(2)
(1,100)
(20,231)
JSR
Corp.
(2)
(1,300)
(38,282)
Justsystems
Corp.
(2)
(600)
(28,262)
Kakaku.com,
Inc.
(2)
(4,900)
(109,431)
Kansai
Paint
Co.
Ltd.
(2)
(900)
(14,449)
Kawasaki
Heavy
Industries
Ltd.
(2)
(4,600)
(83,343)
Keihan
Holdings
Co.
Ltd.
(2)
(1,500)
(36,772)
Keikyu
Corp.
(2)
(1,100)
(11,253)
Keio
Corp.
(2)
(3,000)
(116,942)
Keisei
Electric
Railway
Co.
Ltd.
(2)
(3,800)
(105,563)
Keyence
Corp.
(2)
(500)
(231,851)
Kikkoman
Corp.
(2)
(3,400)
(225,204)
Kintetsu
Group
Holdings
Co.
Ltd.
(2)
(6,200)
(177,474)
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
(800)
(64,098)
Kobe
Bussan
Co.
Ltd.
(2)
(19,100)
(587,797)
Koei
Tecmo
Holdings
Co.
Ltd.
(2)
(1,650)
(54,108)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(14.5)%
(continued)
Koito
Manufacturing
Co.
Ltd.
(2)
(900)
(36,423)
Kose
Corp.
(2)
(2,500)
(261,564)
Lasertec
Corp.
(2)
(2,500)
(415,910)
M3,
Inc.
(2)
(23,300)
(841,502)
Marui
Group
Co.
Ltd.
(2)
(4,800)
(87,826)
Mercari
,
Inc.
(2)*
(6,400)
(165,210)
Mitsubishi
Motors
Corp.
(2)*
(86,800)
(233,121)
Miura
Co.
Ltd.
(2)
(600)
(14,784)
MonotaRO
Co.
Ltd.
(2)
(22,300)
(478,610)
Nagoya
Railroad
Co.
Ltd.
(2)
(1,000)
(17,696)
Nexon
Co.
Ltd.
(2)
(1,500)
(35,886)
Nidec
Corp.
(2)
(1,300)
(102,678)
Nihon
M&A
Center
Holdings,
Inc.
(2)
(7,400)
(103,511)
Nikon
Corp.
(2)
(1,300)
(13,881)
Nintendo
Co.
Ltd.
(2)
(700)
(353,333)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(29,800)
(261,088)
Nippon
Sanso
Holdings
Corp.
(2)
(2,200)
(41,830)
Nisshin
Seifun
Group,
Inc.
(2)
(900)
(12,556)
Nomura
Research
Institute
Ltd.
(2)
(3,100)
(101,145)
NTT
Data
Corp.
(2)
(2,900)
(56,992)
Obic
Co.
Ltd.
(2)
(900)
(134,799)
Odakyu
Electric
Railway
Co.
Ltd.
(2)
(9,400)
(155,803)
Olympus
Corp.
(2)
(12,800)
(242,593)
Omron
Corp.
(2)
(200)
(13,310)
Oracle
Corp.
Japan
(2)
(200)
(13,859)
Oriental
Land
Co.
Ltd.
(2)
(100)
(19,141)
Pan
Pacific
International
Holdings
Corp.
(2)
(5,200)
(83,203)
Park24
Co.
Ltd.
(2)*
(11,700)
(191,457)
PeptiDream
,
Inc.
(2)*
(6,300)
(111,958)
Persol
Holdings
Co.
Ltd.
(2)
(1,700)
(38,091)
Pola
Orbis
Holdings,
Inc.
(2)
(7,900)
(102,866)
Rakus
Co.
Ltd.
(2)
(25,500)
(342,269)
Rakuten
Group,
Inc.
(2)
(36,300)
(285,417)
Recruit
Holdings
Co.
Ltd.
(2)
(700)
(30,413)
Renesas
Electronics
Corp.
(2)*
(2,900)
(33,602)
Ryohin
Keikaku
Co.
Ltd.
(2)
(14,200)
(164,709)
SG
Holdings
Co.
Ltd.
(2)
(4,700)
(88,505)
Sharp
Corp.
(2)
(19,800)
(184,822)
Shimadzu
Corp.
(2)
(400)
(13,758)
Shinko
Electric
Industries
Co.
Ltd.
(2)
(6,100)
(286,946)
Shiseido
Co.
Ltd.
(2)
(6,000)
(303,051)
Showa
Denko
KK
(2)
(11,100)
(219,165)
SoftBank
Corp.
(2)
(54,400)
(634,473)
SoftBank
Group
Corp.
(2)
(9,800)
(438,155)
Sony
Group
Corp.
(2)
(5,000)
(514,379)
SUMCO
Corp.
(2)
(10,000)
(163,649)
Sundrug
Co.
Ltd.
(2)
(1,000)
(24,355)
Sysmex
Corp.
(2)
(3,100)
(224,525)
Takara
Bio,
Inc.
(2)
(1,600)
(29,270)
Takeda
Pharmaceutical
Co.
Ltd.
(2)
(2,900)
(82,627)
Terumo
Corp.
(2)
(4,400)
(133,137)
THK
Co.
Ltd.
(2)
(3,700)
(81,421)
TIS,
Inc.
(2)
(1,400)
(32,764)
Tobu
Railway
Co.
Ltd.
(2)
(600)
(14,589)
Toho
Gas
Co.
Ltd.
(2)
(500)
(11,129)
Tokyo
Century
Corp.
(2)
(1,300)
(47,659)
10
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(14.5)%
(continued)
Tokyo
Electron
Ltd.
(2)
(1,300)
(667,629)
TOTO
Ltd.
(2)
(3,200)
(128,514)
Toyota
Industries
Corp.
(2)
(200)
(13,795)
Toyota
Motor
Corp.
(2)
(4,500)
(81,171)
Tsuruha
Holdings,
Inc.
(2)
(200)
(12,700)
Unicharm
Corp.
(2)
(10,800)
(387,999)
USS
Co.
Ltd.
(2)
(2,100)
(35,288)
Welcia
Holdings
Co.
Ltd.
(2)
(4,600)
(113,184)
West
Japan
Railway
Co.
(2)
(5,200)
(215,466)
Yakult
Honsha
Co.
Ltd.
(2)
(6,700)
(357,404)
Yamato
Holdings
Co.
Ltd.
(2)
(3,200)
(59,777)
Yaskawa
Electric
Corp.
(2)
(3,200)
(124,720)
Yokogawa
Electric
Corp.
(2)
(7,100)
(120,973)
Z
Holdings
Corp.
(2)
(61,300)
(265,006)
(18,839,749)
Netherlands
-
(1.8)%
Adyen
NV
(2)*(b)
(411)
(814,065)
Argenx
SE
(2)*
(1,607)
(502,784)
ASM
International
NV
(2)
(847)
(308,420)
ASML
Holding
NV
(2)
(363)
(242,565)
Heineken
NV
(2)
(519)
(49,632)
IMCD
NV
(2)
(515)
(87,855)
Koninklijke
DSM
NV
(2)
(1,271)
(227,374)
OCI
NV
(2)*
(1,889)
(66,690)
(2,299,385)
New
Zealand
-
0.0%
(h)
Xero
Ltd.
(2)*
(190)
(14,400)
Norway
-
(0.1)%
Mowi
ASA
(2)
(1,377)
(37,091)
Schibsted
ASA,
Class
A
(2)
(2,176)
(53,633)
TOMRA
Systems
ASA
(2)
(934)
(47,647)
(138,371)
Saudi
Arabia
-
(0.6)%
Delivery
Hero
SE
(2)*(b)
(16,564)
(721,923)
Singapore
-
(0.6)%
City
Developments
Ltd.
(2)
(7,800)
(45,090)
Singapore
Telecommunications
Ltd.
(2)
(345,700)
(671,262)
(716,352)
Spain
-
(2.0)%
Aena
SME
SA
(2)*(b)
(370)
(61,679)
Amadeus
IT
Group
SA
(2)*
(8,861)
(576,125)
Cellnex
Telecom
SA
(2)(b)
(18,813)
(905,364)
Ferrovial
SA
(2)
(12,347)
(328,367)
Fluidra
SA
(2)
(6,690)
(193,572)
Industria
de
Diseno
Textil
SA
(2)
(5,460)
(119,055)
Siemens
Gamesa
Renewable
Energy
SA
(2)*
(19,549)
(342,875)
(2,527,037)
Sweden
-
(1.6)%
Beijer
Ref
AB
(2)
(3,669)
(66,451)
Embracer
Group
AB
(2)*
(37,037)
(309,153)
Epiroc
AB,
Class
A
(2)
(3,482)
(74,476)
EQT
AB
(2)
(11,233)
(438,069)
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
(1.6)%
(continued)
Evolution
AB
(2)(b)
(3,484)
(354,442)
Lifco
AB,
Class
B
(2)
(3,035)
(77,045)
Nibe
Industrier
AB,
Class
B
(2)
(22,303)
(247,219)
Saab
AB,
Class
B
(2)
(3,139)
(113,380)
Sinch
AB
(2)*(b)
(31,079)
(210,792)
Sweco
AB,
Class
B
(2)
(4,574)
(66,500)
Swedish
Match
AB
(2)
(23,197)
(174,442)
(2,131,969)
Switzerland
-
(2.4)%
Bachem
Holding
AG
(Registered),
Class
B
(2)
(164)
(90,256)
Clariant
AG
(Registered)
(2)*
(7,593)
(131,762)
Dufry
AG
(Registered)
(2)*
(10,126)
(426,079)
Idorsia
Ltd.
(2)*
(11,284)
(225,414)
Lonza
Group
AG
(Registered)
(2)
(113)
(81,880)
OC
Oerlikon
Corp.
AG
(Registered)
(2)
(4,550)
(36,259)
Partners
Group
Holding
AG
(2)
(167)
(206,780)
SIG
Combibloc
Group
AG
(2)*
(1,350)
(34,033)
Sika
AG
(Registered)
(2)
(2,042)
(675,604)
Sonova
Holding
AG
(Registered)
(2)
(561)
(234,351)
Straumann
Holding
AG
(Registered)
(2)
(345)
(550,857)
Temenos
AG
(Registered)
(2)
(2,633)
(253,268)
VAT
Group
AG
(2)(b)
(453)
(172,475)
(3,119,018)
Taiwan
-
(0.1)%
Sea
Ltd.,
ADR
*
(1,460)
(174,893)
United
Kingdom
-
(2.3)%
Associated
British
Foods
plc
(2)
(677)
(14,707)
AVEVA
Group
plc
(2)
(4,154)
(132,681)
Beazley
plc
(2)
(7,203)
(39,606)
Bellway
plc
(2)
(961)
(30,549)
boohoo
Group
plc
(2)*
(112,247)
(130,037)
British
American
Tobacco
plc
(2)
(5,627)
(236,318)
ConvaTec
Group
plc
(2)(b)
(4,958)
(14,003)
Croda
International
plc
(2)
(3,970)
(408,401)
Dechra
Pharmaceuticals
plc
(2)
(2,441)
(129,598)
easyJet
plc
(2)*
(12,721)
(92,287)
Halma
plc
(2)
(801)
(26,206)
Hargreaves
Lansdown
plc
(2)
(9,060)
(119,418)
Hiscox
Ltd.
(2)
(9,572)
(123,438)
JD
Sports
Fashion
plc
(2)
(47,867)
(92,236)
Legal
&
General
Group
plc
(2)
(12,859)
(45,590)
Ocado
Group
plc
(2)*
(12,643)
(193,054)
Prudential
plc
(2)
(10,473)
(154,616)
Quilter
plc
(2)(b)
(8,238)
(15,380)
Reckitt
Benckiser
Group
plc
(2)
(1,889)
(144,104)
Rolls-Royce
Holdings
plc
(2)*
(449,440)
(591,013)
Standard
Chartered
plc
(2)
(9,193)
(61,023)
Weir
Group
plc
(The)
(2)
(2,130)
(45,454)
WH
Smith
plc
(2)*
(2,620)
(48,936)
Whitbread
plc
(2)*
(602)
(22,415)
(2,911,070)
11
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(48.4)%
10X
Genomics,
Inc.,
Class
A
*
(4,603)
(350,150)
Adaptive
Biotechnologies
Corp.
*
(9,759)
(135,455)
ADT,
Inc.
(2,783)
(21,123)
Advanced
Micro
Devices,
Inc.
*
(1,706)
(186,534)
AES
Corp.
(The)
(506)
(13,019)
Airbnb,
Inc.,
Class
A
*
(1,614)
(277,221)
Albemarle
Corp.
(601)
(132,911)
Alcoa
Corp.
(1,862)
(167,636)
Alnylam
Pharmaceuticals,
Inc.
*
(1,648)
(269,102)
Alteryx
,
Inc.,
Class
A
*
(1,403)
(100,357)
Altria
Group,
Inc.
(1,373)
(71,739)
Amazon.com,
Inc.
*
(206)
(671,550)
AMC
Entertainment
Holdings,
Inc.,
Class
A
*
(52,034)
(1,282,118)
Amedisys
,
Inc.
*
(119)
(20,503)
American
Airlines
Group,
Inc.
*
(49,168)
(897,316)
American
Express
Co.
(4,453)
(832,711)
American
Water
Works
Co.,
Inc.
(2,320)
(384,030)
Amphenol
Corp.,
Class
A
(1,688)
(127,191)
Aon
plc,
Class
A
(3,004)
(978,193)
Aptiv
plc
*
(3,494)
(418,267)
Arrowhead
Pharmaceuticals,
Inc.
*
(2,574)
(118,378)
Asana,
Inc.,
Class
A
*
(2,832)
(113,195)
Atmos
Energy
Corp.
(8,065)
(963,687)
Avalara,
Inc.
*
(310)
(30,848)
Avis
Budget
Group,
Inc.
*
(2,933)
(772,259)
Axalta
Coating
Systems
Ltd.
*
(463)
(11,381)
Axon
Enterprise,
Inc.
*
(560)
(77,129)
Baker
Hughes
Co.
(6,879)
(250,464)
Ball
Corp.
(9,346)
(841,140)
Bank
OZK
(606)
(25,876)
Bausch
Health
Cos.,
Inc.
*
(2,041)
(46,627)
Beyond
Meat,
Inc.
*
(14,196)
(685,809)
Bill.com
Holdings,
Inc.
*
(3,212)
(728,449)
BioMarin
Pharmaceutical,
Inc.
*
(653)
(50,346)
Block,
Inc.
*
(1,055)
(143,058)
Boeing
Co.
(The)
*
(3,500)
(670,250)
Boston
Beer
Co.,
Inc.
(The),
Class
A
*
(427)
(165,877)
Bright
Horizons
Family
Solutions,
Inc.
*
(2,168)
(287,672)
Brink's
Co.
(The)
(1,739)
(118,252)
Cadence
Bank
(734)
(21,477)
Caesars
Entertainment,
Inc.
*
(840)
(64,982)
Carnival
Corp.
*
(39,842)
(805,605)
Carvana
Co.
*
(2,313)
(275,918)
Catalent
,
Inc.
*
(657)
(72,861)
CenterPoint
Energy,
Inc.
(23,789)
(728,895)
ChargePoint
Holdings,
Inc.
*
(2,757)
(54,809)
Charter
Communications,
Inc.,
Class
A
*
(334)
(182,204)
Chegg
,
Inc.
*
(12,030)
(436,448)
Cheniere
Energy,
Inc.
(7,406)
(1,026,842)
Chewy,
Inc.,
Class
A
*
(4,056)
(165,404)
Clarivate
plc
*
(10,619)
(177,974)
Cloudflare
,
Inc.,
Class
A
*
(1,561)
(186,852)
CME
Group,
Inc.
(3,177)
(755,681)
CommScope
Holding
Co.,
Inc.
*
(6,413)
(50,534)
Compass
Minerals
International,
Inc.
(1,167)
(73,276)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(48.4)%
(continued)
Copart
,
Inc.
*
(183)
(22,961)
Corning,
Inc.
(347)
(12,808)
CoStar
Group,
Inc.
*
(180)
(11,990)
Costco
Wholesale
Corp.
(1,496)
(861,472)
Coupa
Software,
Inc.
*
(1,735)
(176,328)
Crocs,
Inc.
*
(1,281)
(97,868)
Crowdstrike
Holdings,
Inc.,
Class
A
*
(2,266)
(514,563)
Danaher
Corp.
(2,266)
(664,686)
Datadog
,
Inc.,
Class
A
*
(1,200)
(181,764)
Delta
Air
Lines,
Inc.
*
(2,531)
(100,152)
Dexcom
,
Inc.
*
(751)
(384,212)
Discovery,
Inc.,
Class
A
*
(7,556)
(188,296)
DocuSign,
Inc.
*
(304)
(32,564)
Dollar
General
Corp.
(4,465)
(994,043)
Dollar
Tree,
Inc.
*
(6,131)
(981,880)
Dominion
Energy,
Inc.
(937)
(79,617)
DoorDash
,
Inc.,
Class
A
*
(1,454)
(170,394)
DraftKings
,
Inc.,
Class
A
*
(13,227)
(257,530)
Duke
Energy
Corp.
(672)
(75,036)
Dun
&
Bradstreet
Holdings,
Inc.
*
(17,793)
(311,733)
Edison
International
(7,920)
(555,192)
Elanco
Animal
Health,
Inc.
*
(2,338)
(60,998)
Elastic
NV
*
(478)
(42,518)
Eli
Lilly
&
Co.
(1,888)
(540,667)
Encompass
Health
Corp.
(240)
(17,066)
Energizer
Holdings,
Inc.
(951)
(29,253)
Enphase
Energy,
Inc.
*
(2,060)
(415,667)
Erie
Indemnity
Co.,
Class
A
(394)
(69,395)
Essential
Utilities,
Inc.
(2,876)
(147,050)
Etsy,
Inc.
*
(887)
(110,236)
Everbridge
,
Inc.
*
(276)
(12,045)
Eversource
Energy
(2,302)
(203,013)
Exact
Sciences
Corp.
*
(3,875)
(270,940)
Exelixis
,
Inc.
*
(2,452)
(55,587)
Exxon
Mobil
Corp.
(2,577)
(212,834)
Fastly
,
Inc.,
Class
A
*
(8,923)
(155,082)
First
Citizens
BancShares
,
Inc.,
Class
A
(18)
(11,981)
First
Financial
Bankshares
,
Inc.
(307)
(13,545)
First
Republic
Bank
(451)
(73,107)
FirstEnergy
Corp.
(4,240)
(194,446)
Five9,
Inc.
*
(1,588)
(175,315)
Floor
&
Decor
Holdings,
Inc.,
Class
A
*
(374)
(30,294)
Fluor
Corp.
*
(3,227)
(92,583)
Fox
Factory
Holding
Corp.
*
(606)
(59,358)
Freshpet
,
Inc.
*
(2,772)
(284,518)
GameStop
Corp.,
Class
A
*
(8,241)
(1,372,786)
General
Electric
Co.
(4,227)
(386,771)
Grocery
Outlet
Holding
Corp.
*
(6,640)
(217,659)
Guardant
Health,
Inc.
*
(8,953)
(593,047)
HealthEquity
,
Inc.
*
(4,001)
(269,827)
Hershey
Co.
(The)
(1,440)
(311,947)
Hess
Corp.
(5,686)
(608,629)
Home
Depot,
Inc.
(The)
(63)
(18,858)
Howard
Hughes
Corp.
(The)
*
(2,042)
(211,572)
Incyte
Corp.
*
(177)
(14,057)
Insulet
Corp.
*
(965)
(257,066)
12
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(48.4)%
(continued)
International
Flavors
&
Fragrances,
Inc.
(1,631)
(214,199)
Intuitive
Surgical,
Inc.
*
(728)
(219,623)
Ionis
Pharmaceuticals,
Inc.
*
(10,478)
(388,105)
Iovance
Biotherapeutics
,
Inc.
*
(33,309)
(554,595)
Iridium
Communications,
Inc.
*
(7,555)
(304,618)
Kirby
Corp.
*
(1,713)
(123,661)
Kraft
Heinz
Co.
(The)
(399)
(15,717)
Lamb
Weston
Holdings,
Inc.
(780)
(46,730)
Las
Vegas
Sands
Corp.
*
(793)
(30,824)
Lemonade,
Inc.
*
(3,434)
(90,555)
LendingTree
,
Inc.
*
(2,461)
(294,508)
LHC
Group,
Inc.
*
(100)
(16,860)
Liberty
Broadband
Corp.,
Class
C
*
(346)
(46,821)
Lululemon
Athletica
,
Inc.
*
(1,462)
(533,966)
Lyft,
Inc.,
Class
A
*
(21,878)
(840,115)
Madison
Square
Garden
Sports
Corp.
*
(1,175)
(210,748)
Marathon
Petroleum
Corp.
(2,920)
(249,660)
MarketAxess
Holdings,
Inc.
(138)
(46,948)
Marsh
&
McLennan
Cos.,
Inc.
(864)
(147,243)
Mercury
Systems,
Inc.
*
(509)
(32,805)
Mirati
Therapeutics,
Inc.
*
(2,891)
(237,698)
MongoDB,
Inc.
*
(553)
(245,305)
MSCI,
Inc.
(59)
(29,670)
Natera
,
Inc.
*
(5,680)
(231,062)
Nektar
Therapeutics
*
(28,595)
(154,127)
Netflix,
Inc.
*
(879)
(329,265)
New
Fortress
Energy,
Inc.
(10,938)
(466,068)
New
Relic,
Inc.
*
(496)
(33,172)
Newell
Brands,
Inc.
(7,565)
(161,967)
Newmont
Corp.
(11,278)
(896,037)
News
Corp.,
Class
A
(590)
(13,069)
NextEra
Energy,
Inc.
(10,997)
(931,556)
NIKE,
Inc.,
Class
B
(6,489)
(873,160)
Nordstrom,
Inc.
(4,972)
(134,791)
Norwegian
Cruise
Line
Holdings
Ltd.
*
(41,806)
(914,715)
NOV,
Inc.
(17,145)
(336,213)
Novocure
Ltd.
*
(2,733)
(226,429)
Nucor
Corp.
(1,779)
(264,448)
Nutanix
,
Inc.,
Class
A
*
(6,212)
(166,606)
NVIDIA
Corp.
(1,543)
(421,023)
Oak
Street
Health,
Inc.
*
(2,857)
(76,796)
Okta
,
Inc.
*
(1,052)
(158,810)
Ollie's
Bargain
Outlet
Holdings,
Inc.
*
(1,973)
(84,760)
ONE
Gas,
Inc.
(659)
(58,150)
ONEOK,
Inc.
(2,381)
(168,170)
PacWest
Bancorp
(5,555)
(239,587)
Palantir
Technologies,
Inc.,
Class
A
*
(6,940)
(95,286)
Paramount
Global,
Class
B
(4,496)
(169,994)
Peloton
Interactive,
Inc.,
Class
A
*
(30,018)
(793,076)
Penumbra,
Inc.
*
(183)
(40,650)
Plug
Power,
Inc.
*
(41,321)
(1,182,194)
Primerica,
Inc.
(98)
(13,408)
Progressive
Corp.
(The)
(7,549)
(860,511)
Progyny
,
Inc.
*
(4,273)
(219,632)
QuantumScape
Corp.
*
(10,795)
(215,792)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(48.4)%
(continued)
Repligen
Corp.
*
(1,233)
(231,915)
RingCentral,
Inc.,
Class
A
*
(611)
(71,615)
Rocket
Cos.,
Inc.,
Class
A
(78,368)
(871,452)
Roku,
Inc.
*
(1,719)
(215,339)
Royal
Caribbean
Cruises
Ltd.
*
(4,470)
(374,497)
Royal
Gold,
Inc.
(1,533)
(216,582)
Sabre
Corp.
*
(33,712)
(385,328)
Sage
Therapeutics,
Inc.
*
(4,639)
(153,551)
Sailpoint
Technologies
Holdings,
Inc.
*
(1,169)
(59,829)
Schlumberger
NV
(16,586)
(685,168)
Seagen
,
Inc.
*
(1,645)
(236,962)
Sherwin-Williams
Co.
(The)
(536)
(133,796)
Shift4
Payments,
Inc.,
Class
A
*
(625)
(38,706)
Signature
Bank
(1,669)
(489,835)
Sirius
XM
Holdings,
Inc.
(32,709)
(216,534)
SiTime
Corp.
*
(82)
(20,321)
Six
Flags
Entertainment
Corp.
*
(5,982)
(260,217)
Smartsheet
,
Inc.,
Class
A
*
(394)
(21,583)
Snap,
Inc.,
Class
A
*
(12,139)
(436,883)
Snowflake,
Inc.,
Class
A
*
(483)
(110,670)
SoFi
Technologies,
Inc.
*
(7,681)
(72,585)
SolarEdge
Technologies,
Inc.
*
(792)
(255,317)
Spire,
Inc.
(543)
(38,966)
Splunk
,
Inc.
*
(645)
(95,853)
STAAR
Surgical
Co.
*
(1,156)
(92,376)
Sunrun
,
Inc.
*
(14,768)
(448,504)
SVB
Financial
Group
*
(114)
(63,777)
Tandem
Diabetes
Care,
Inc.
*
(407)
(47,330)
Tempur
Sealy
International,
Inc.
(1,006)
(28,088)
Tenaris
SA
(2)
(11,864)
(178,210)
Tesla,
Inc.
*
(583)
(628,241)
Texas
Capital
Bancshares,
Inc.
*
(672)
(38,512)
T-Mobile
US,
Inc.
*
(4,169)
(535,091)
Trade
Desk,
Inc.
(The),
Class
A
*
(1,381)
(95,634)
Trimble,
Inc.
*
(641)
(46,242)
TripAdvisor,
Inc.
*
(4,417)
(119,789)
Twilio
,
Inc.,
Class
A
*
(1,778)
(293,032)
Twitter,
Inc.
*
(6,706)
(259,455)
Uber
Technologies,
Inc.
*
(22,287)
(795,200)
Ultragenyx
Pharmaceutical,
Inc.
*
(5,559)
(403,695)
United
Airlines
Holdings,
Inc.
*
(7,152)
(331,567)
Unity
Software,
Inc.
*
(663)
(65,776)
Upstart
Holdings,
Inc.
*
(5,602)
(611,122)
Vimeo,
Inc.
*
(9,024)
(107,205)
Virgin
Galactic
Holdings,
Inc.
*
(31,957)
(315,735)
Vroom,
Inc.
*
(36,682)
(97,574)
Walmart,
Inc.
(3,369)
(501,711)
Walt
Disney
Co.
(The)
*
(557)
(76,398)
Wayfair,
Inc.,
Class
A
*
(1,444)
(159,966)
WEC
Energy
Group,
Inc.
(642)
(64,078)
West
Pharmaceutical
Services,
Inc.
(268)
(110,070)
Westinghouse
Air
Brake
Technologies
Corp.
(909)
(87,419)
Williams
Cos.,
Inc.
(The)
(29,041)
(970,260)
Willis
Towers
Watson
plc
(432)
(102,047)
Wolfspeed
,
Inc.
*
(770)
(87,672)
Wynn
Resorts
Ltd.
*
(3,540)
(282,280)
Xcel
Energy,
Inc.
(662)
(47,777)
Zendesk
,
Inc.
*
(134)
(16,119)
13
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(48.4)%
(continued)
Zoom
Video
Communications,
Inc.,
Class
A
*
(111)
(13,013)
ZoomInfo
Technologies,
Inc.
*
(1,397)
(83,457)
Zscaler
,
Inc.
*
(855)
(206,294)
(62,688,109)
TOTAL
COMMON
STOCKS
(Proceeds
$(146,214,724))
(115,937,423)
NO.
OF
WARRANTS
WARRANTS
-
0.0%
(h)
Canada
-
0.0%
(h)
Cenovus
Energy,
Inc.,
expiring
1/1/2026
*
(Proceeds
$–)
(674)
(7,817)
TOTAL
SHORT
POSITIONS
(Proceeds
$(146,214,724))
(115,945,240)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
82.7%
(Cost
$44,898,266)
106,876,978
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
17.3%
(
i
)
22,456,938
NET
ASSETS
-
100.0%
129,333,916
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(2,425,549)
(1.9)
%
Consumer
Discretionary
(4,575,740)
(3.5)
Consumer
Staples
(1,523,149)
(1.2)
Energy
3,048,991
2.4
Financials
12,761,152
9.9
Health
Care
(5,352,646)
(4.1)
Industrials
5,890,493
4.5
Information
Technology
(1,991,629)
(1.5)
Materials
4,872,035
3.8
Real
Estate
(256,661)
(0.2)
Utilities
(2,179,617)
(1.7)
Short-Term
Investments
98,609,298
76.2
Total
Investments
In
Securities
At
Value
106,876,978
82.7
Other
Assets
in
Excess
of
Liabilities
(
i
)
22,456,938
17.3
Net
Assets
$
129,333,916
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$101,341,861.
In
addition,
$5,541,754
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$(5,285,100),
which
represents
approximately
(4.09)%
of
net
assets
of
the
fund.
(c)
All
or
a
portion
of
this
security
has
been
rehypothecated
in
connection
with
the
Fund's
Master
Securities
Loan
Agreement
with
State
Street
Bank
and
Trust
Company
with
a
total
value
of
$19,458,386.
(d)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
(i)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security.
14
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
effective
interest
rat
e
swap
contracts
outstanding
as
of
March
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
TONAR
Annual
0.50%
Annual
9/23/2032
JPY
1,622,100,000
$
373,345
$
(92,155)
$
281,190
Receive
1D
SOFR
Annual
0.50%
Annual
6/17/2024
USD
800,000
31,935
(902)
31,033
Receive
1D
SOFR
Annual
2.00%
Annual
9/21/2032
USD
3,000,000
61,524
(14,569)
46,955
Receive
1D
SOFR
Annual
1.50%
Annual
9/21/2032
USD
200,000
4,049
8,008
12,057
Receive
1D
SONIA
Annual
2.00%
Annual
9/23/2024
GBP
8,600,000
56,484
(5,367)
51,117
Receive
1D
SONIA
Annual
0.75%
Annual
6/15/2032
GBP
2,000,000
12,894
205,673
218,567
Receive
1D
SONIA
Annual
0.75%
Annual
9/21/2032
GBP
1,000,000
79,007
30,116
109,123
Receive
1D
TONAR
Annual
0.00%
Annual
9/24/2024
JPY
6,432,800,000
6,348
46,110
52,458
Receive
1D
TONAR
Annual
0.00%
Annual
9/23/2032
JPY
339,900,000
73,713
5,589
79,302
Receive
3M
BA
Qtrly
2.00%
Semi
9/19/2024
CAD
2,500,000
13,417
28,360
41,777
Receive
3M
BA
Qtrly
1.75%
Semi
6/14/2032
CAD
900,000
18,444
56,230
74,674
Receive
6M
BBR
Semi
2.50%
Semi
6/10/2032
AUD
1,000,000
(18,052)
59,921
41,869
Receive
6M
BBR
Semi
2.00%
Semi
6/10/2032
AUD
3,000,000
2,481
220,392
222,873
Receive
6M
BBR
Semi
2.50%
Semi
9/09/2032
AUD
13,300,000
133,745
481,293
615,038
Receive
6M
BBR
Semi
3.00%
Semi
9/09/2032
AUD
800,000
14,533
(3,282)
11,251
Receive
6M
EURIBOR
Semi
0.00%
Annual
6/15/2032
EUR
2,900,000
75,799
301,961
377,760
Receive
6M
EURIBOR
Semi
1.00%
Annual
9/21/2032
EUR
500,000
19,900
(4,869)
15,031
Receive
6M
EURIBOR
Semi
0.25%
Annual
9/21/2032
EUR
9,700,000
652,098
406,780
1,058,878
1,611,664
1,729,289
3,340,953
Pay
1D
SOFR
Annual
1.00%
Annual
9/23/2024
USD
800,000
(12,261)
(13,449)
(25,710)
Pay
1D
SOFR
Annual
2.00%
Annual
9/23/2024
USD
13,500,000
(180,944)
10,097
(170,847)
Pay
1D
SOFR
Annual
1.25%
Annual
6/15/2032
USD
200,000
(17,932)
1,743
(16,189)
Pay
1D
SONIA
Annual
0.50%
Annual
6/17/2024
GBP
8,600,000
(210,873)
(149,524)
(360,397)
Pay
1D
SONIA
Annual
1.00%
Annual
9/23/2024
GBP
5,100,000
(129,970)
(29,663)
(159,633)
Pay
1D
SONIA
Annual
1.50%
Annual
9/21/2032
GBP
1,900,000
(50,696)
12,275
(38,421)
Pay
3M
BA
Qtrly
1.25%
Semi
6/13/2024
CAD
4,000,000
(68,302)
(36,190)
(104,492)
Pay
3M
BA
Qtrly
2.25%
Semi
9/20/2032
CAD
600,000
(18,947)
(11,237)
(30,184)
Pay
3M
BBR
Qtrly
1.50%
Qtrly
6/13/2024
AUD
18,800,000
(16,443)
(261,395)
(277,838)
Pay
3M
BBR
Qtrly
2.00%
Qtrly
9/12/2024
AUD
60,600,000
(120,397)
(645,718)
(766,115)
Pay
6M
EURIBOR
Semi
0.50%
Annual
6/17/2024
EUR
10,600,000
(193,155)
(89,391)
(282,546)
Pay
6M
EURIBOR
Semi
0.50%
Annual
9/23/2024
EUR
2,300,000
(28,500)
6,372
(22,128)
Pay
6M
EURIBOR
Semi
0.25%
Annual
9/23/2024
EUR
46,800,000
(794,020)
(430,021)
(1,224,041)
(1,842,440)
(1,636,101)
(3,478,541)
$
(230,776)
$
93,188
$
(137,588)
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly
:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
March
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
0.29%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
0.69%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.23%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
1.26%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.71%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
-0.37%
15
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
53,000
$
3
DTOP
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
06/15/2022
ZAR
265,920
1,248
iBovespa
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MSCS
04/13/2022
BRL
3,611,370
17,855
KOSPI
200
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
06/09/2022
KRW
548,550,000
11,989
Lean
Hogs
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/14/2022
USD
(40,700)
301
Lean
Hogs
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/14/2022
USD
48,250
1,114
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(167,250)
957
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
167,250
2,433
Natural
Gas
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/27/2022
USD
56,420
5,205
Soybean
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
80,913
1,731
Sugar
No.
11
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/18/2022
USD
21,829
1,960
Swiss
Market
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
Monthly
MLIN
06/17/2022
CHF
9,988,220
546,683
TAIEX
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/20/2022
TWD
38,794,800
43,621
WIG20
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
06/17/2022
PLN
519,600
7,732
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.78%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
06/15/2022
EUR
1,425,998
143,718
16
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Mexico
Net
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TIIE
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
06/15/2022
MXN
5,418,607
$
15,792
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.34%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
06/15/2022
EUR
68,543
3,615
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.58%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
06/15/2022
CHF
3,299,063
260,383
1,066,340
Cocoa
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(53,000)
(1,450)
Cocoa
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(53,740)
(53)
Hang
Seng
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
(1,099,500)
(1,208)
HSCEI
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
(4,512,600)
(1,459)
HSCEI
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
04/28/2022
HKD
(2,632,350)
(2,186)
KC
HRW
Wheat
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/22/2022
USD
51,488
(4,763)
Lean
Hogs
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/14/2022
USD
40,700
(11)
Lean
Hogs
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/14/2022
USD
(48,250)
(2,469)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(219,400)
(6,171)
17
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Live
Cattle
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
54,850
$
(377)
Sugar
No.
11
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/18/2022
USD
(21,829)
(2,206)
Tel
Aviv
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/27/2022
ILS
(1,617,024)
(4,491)
Wheat
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
(50,300)
(11,605)
Wheat
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
50,300
(6,400)
MSCI
China
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.35%)
Monthly
BANA
06/15/2022
HKD
(1,510,215)
(4,869)
MSCI
Netherlands
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.32%)
Monthly
BANA
06/15/2022
EUR
(124,689)
(12,150)
MSCI
Singapore
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SORA
plus
or
minus
a
specified
spread
(0.00%)
Monthly
BANA
06/15/2022
SGD
(10,917)
(650)
(62,518)
$
1,003,822
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
34
4/2022
USD
$
3,560,140
$
20,434
CAC
40
10
Euro
Index
25
4/2022
EUR
1,841,215
35,229
IBEX
35
Index
33
4/2022
EUR
3,072,329
85,399
LME
Aluminum
Base
Metal
1
4/2022
USD
87,028
13,776
LME
Aluminum
Base
Metal
1
4/2022
USD
87,045
12,988
LME
Aluminum
Base
Metal
1
4/2022
USD
87,098
10,187
18
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
1
4/2022
USD
$
87,139
$
9,198
LME
Aluminum
Base
Metal
1
4/2022
USD
87,157
9,017
LME
Aluminum
Base
Metal
3
4/2022
USD
261,271
30,185
LME
Copper
Base
Metal
1
4/2022
USD
259,275
10,645
LME
Copper
Base
Metal
1
4/2022
USD
259,238
19,735
LME
Copper
Base
Metal
1
4/2022
USD
259,266
13,263
LME
Copper
Base
Metal
2
4/2022
USD
518,625
22,544
LME
Copper
Base
Metal
2
4/2022
USD
518,531
21,813
LME
Copper
Base
Metal
2
4/2022
USD
518,511
26,006
LME
Copper
Base
Metal
3
4/2022
USD
777,863
30,881
LME
Copper
Base
Metal
3
4/2022
USD
777,593
65,578
LME
Copper
Base
Metal
3
4/2022
USD
777,755
53,247
LME
Copper
Base
Metal
4
4/2022
USD
1,036,984
70,048
LME
Nickel
Base
Metal
1
4/2022
USD
192,666
57,873
LME
Nickel
Base
Metal
1
4/2022
USD
192,662
61,109
LME
Nickel
Base
Metal
2
4/2022
USD
385,353
112,294
LME
Zinc
Base
Metal
1
4/2022
USD
105,238
15,347
LME
Zinc
Base
Metal
1
4/2022
USD
105,313
14,660
LME
Zinc
Base
Metal
1
4/2022
USD
105,213
14,841
LME
Zinc
Base
Metal
1
4/2022
USD
105,813
16,562
LME
Zinc
Base
Metal
1
4/2022
USD
105,179
14,576
LME
Zinc
Base
Metal
1
4/2022
USD
105,556
17,328
Natural
Gas
32
4/2022
USD
1,805,440
272,748
NY
Harbor
ULSD
2
4/2022
USD
282,316
7,609
OMXS30
Index
83
4/2022
SEK
1,840,541
(53,844)
RBOB
Gasoline
2
4/2022
USD
264,676
(6,345)
SGX
FTSE
Taiwan
Index
37
4/2022
USD
2,285,120
11,158
WTI
Crude
Oil
21
4/2022
USD
2,105,880
(205,238)
Copper
2
5/2022
USD
237,550
1,899
Corn
25
5/2022
USD
935,938
(1,143)
Cotton
No.
2
4
5/2022
USD
271,380
24,175
LME
Aluminum
Base
Metal
1
5/2022
USD
87,091
7,588
LME
Aluminum
Base
Metal
1
5/2022
USD
87,109
2,206
LME
Aluminum
Base
Metal
1
5/2022
USD
87,106
9,603
LME
Aluminum
Base
Metal
1
5/2022
USD
87,178
5,699
LME
Aluminum
Base
Metal
1
5/2022
USD
87,109
4,950
LME
Aluminum
Base
Metal
1
5/2022
USD
87,111
7,908
LME
Copper
Base
Metal
1
5/2022
USD
259,298
11,321
LME
Copper
Base
Metal
2
5/2022
USD
518,625
27,120
LME
Copper
Base
Metal
2
5/2022
USD
518,617
24,611
LME
Copper
Base
Metal
2
5/2022
USD
518,575
27,320
LME
Copper
Base
Metal
4
5/2022
USD
1,037,141
15,879
LME
Nickel
Base
Metal
1
5/2022
USD
192,643
57,550
LME
Nickel
Base
Metal
1
5/2022
USD
192,603
52,704
LME
Zinc
Base
Metal
1
5/2022
USD
105,080
15,328
LME
Zinc
Base
Metal
1
5/2022
USD
105,134
15,131
LME
Zinc
Base
Metal
1
5/2022
USD
105,161
15,045
Low
Sulphur
Gasoil
3
5/2022
USD
302,400
5,704
Soybean
Meal
4
5/2022
USD
187,000
(6,778)
Soybean
Oil
2
5/2022
USD
83,928
(6,168)
3
Month
Euro
Euribor
16
6/2022
EUR
4,440,488
(309)
ASX
90
Day
Bank
Accepted
Bill
35
6/2022
AUD
26,150,522
(11,923)
Australia
10
Year
Bond
161
6/2022
AUD
15,311,546
(548,547)
Canada
10
Year
Bond
24
6/2022
CAD
2,503,188
(87,058)
FTSE
100
Index
12
6/2022
GBP
1,180,078
56,568
FTSE/JSE
Top
40
Index
3
6/2022
ZAR
141,415
7,356
19
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
FTSE/MIB
Index
39
6/2022
EUR
$
5,264,832
$
268,760
Japan
10
Year
Bond
73
6/2022
JPY
89,891,819
(423,082)
KOSPI
200
Index
22
6/2022
KRW
1,659,461
24,363
LME
Aluminum
Base
Metal
1
6/2022
USD
87,274
2,481
LME
Aluminum
Base
Metal
1
6/2022
USD
87,178
(9,867)
LME
Aluminum
Base
Metal
1
6/2022
USD
87,218
2,103
LME
Aluminum
Base
Metal
1
6/2022
USD
87,125
1,747
LME
Aluminum
Base
Metal
2
6/2022
USD
174,381
(6,275)
LME
Aluminum
Base
Metal
7
6/2022
USD
611,013
15,801
LME
Copper
Base
Metal
1
6/2022
USD
259,375
(1,471)
LME
Copper
Base
Metal
1
6/2022
USD
259,433
9,930
LME
Copper
Base
Metal
1
6/2022
USD
259,375
1,929
LME
Copper
Base
Metal
2
6/2022
USD
518,875
860
LME
Copper
Base
Metal
2
6/2022
USD
518,825
11,820
LME
Copper
Base
Metal
2
6/2022
USD
518,775
15,270
LME
Copper
Base
Metal
8
6/2022
USD
2,075,000
(10,121)
LME
Nickel
Base
Metal
1
6/2022
USD
192,588
15,106
LME
Nickel
Base
Metal
1
6/2022
USD
192,597
(786)
LME
Nickel
Base
Metal
2
6/2022
USD
385,056
(151,165)
LME
Nickel
Base
Metal
4
6/2022
USD
770,400
180,900
LME
Zinc
Base
Metal
1
6/2022
USD
104,823
5,421
LME
Zinc
Base
Metal
1
6/2022
USD
104,713
5,148
SET50
Index
132
6/2022
THB
807,245
6,666
SPI
200
Index
46
6/2022
AUD
6,436,016
328,945
TOPIX
Index
59
6/2022
JPY
9,433,506
732,657
U.S.
Treasury
10
Year
Note
69
6/2022
USD
8,469,750
(28,660)
3
Month
Euro
Euribor
44
9/2022
EUR
12,179,702
(17,148)
3
Month
SOFR
15
9/2022
USD
3,699,938
1,388
ASX
90
Day
Bank
Accepted
Bill
163
9/2022
AUD
121,532,385
(215,757)
3
Month
Euro
Euribor
42
12/2022
EUR
11,584,263
(35,841)
3
Month
SARON
1
12/2022
CHF
271,874
(51)
3
Month
SOFR
30
12/2022
USD
7,350,000
(2,842)
ASX
90
Day
Bank
Accepted
Bill
168
12/2022
AUD
125,085,203
(277,916)
3
Month
Euro
Euribor
34
3/2023
EUR
9,337,773
(30,053)
3
Month
SOFR
37
3/2023
USD
9,026,150
(7,221)
ASX
90
Day
Bank
Accepted
Bill
136
3/2023
AUD
101,108,134
(158,623)
3
Month
SOFR
35
6/2023
USD
8,508,938
(9,775)
889,231
Short
Contracts
Amsterdam
Exchange
Index
(4)
4/2022
EUR
(640,749)
(27,941)
FTSE
Bursa
Malaysia
KLCI
Index
(5)
4/2022
MYR
(94,090)
298
Hang
Seng
Index
(39)
4/2022
HKD
(5,474,130)
(75,638)
HSCEI
(9)
4/2022
HKD
(432,059)
(1,041)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,098)
(9,826)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,028)
(12,906)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,139)
(9,495)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,157)
(9,315)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,045)
(12,923)
LME
Aluminum
Base
Metal
(3)
4/2022
USD
(261,271)
(32,528)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,266)
(13,530)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,238)
(20,563)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,275)
(10,403)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,511)
(20,848)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,625)
(22,655)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,531)
(20,798)
LME
Copper
Base
Metal
(3)
4/2022
USD
(777,863)
(33,008)
20
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(3)
4/2022
USD
$
(777,755)
$
(57,926)
LME
Copper
Base
Metal
(3)
4/2022
USD
(777,593)
(62,707)
LME
Copper
Base
Metal
(4)
4/2022
USD
(1,036,984)
(74,091)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,662)
(60,694)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,666)
(56,649)
LME
Nickel
Base
Metal
(2)
4/2022
USD
(385,353)
(114,466)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,179)
(14,044)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,813)
(17,490)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,313)
(14,406)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,213)
(15,065)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,556)
(17,032)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,238)
(15,782)
MSCI
Singapore
Index
(69)
4/2022
SGD
(1,704,700)
(16,373)
SGX
FTSE
China
A50
Index
(8)
4/2022
USD
(109,992)
(2,826)
SGX
NIFTY
50
Index
(16)
4/2022
USD
(561,168)
(5,069)
Sugar
No.
11
(3)
4/2022
USD
(65,486)
(902)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,109)
(5,062)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,111)
(7,303)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,109)
(1,507)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,091)
(7,956)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,106)
(9,317)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,178)
(5,385)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,298)
(11,524)
LME
Copper
Base
Metal
(2)
5/2022
USD
(518,575)
(25,554)
LME
Copper
Base
Metal
(2)
5/2022
USD
(518,625)
(29,041)
LME
Copper
Base
Metal
(2)
5/2022
USD
(518,617)
(25,875)
LME
Copper
Base
Metal
(4)
5/2022
USD
(1,037,141)
(19,702)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,643)
(56,855)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,603)
(53,093)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,161)
(14,995)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,134)
(14,653)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,080)
(15,237)
Silver
(10)
5/2022
USD
(1,256,650)
(41,838)
Soybean
(44)
5/2022
USD
(3,560,150)
(49,580)
Wheat
(1)
5/2022
USD
(50,300)
(1,528)
100
oz
Gold
(47)
6/2022
USD
(9,183,800)
(48,734)
3
Month
Canadian
Bankers
Acceptance
(5)
6/2022
CAD
(981,382)
690
Australia
3
Year
Bond
(35)
6/2022
AUD
(2,876,435)
49,355
DAX
Index
(26)
6/2022
EUR
(10,378,229)
(241,033)
DJIA
CBOT
E-Mini
Index
(1)
6/2022
USD
(173,090)
(8,886)
EURO
STOXX
50
Index
(154)
6/2022
EUR
(6,512,958)
(266,472)
Euro-
Bobl
(10)
6/2022
EUR
(1,426,288)
39,729
Euro-BTP
(6)
6/2022
EUR
(919,427)
39,134
Euro-Bund
(81)
6/2022
EUR
(14,216,928)
115,860
Euro-
Buxl
(1)
6/2022
EUR
(205,453)
11,534
Euro-OAT
(4)
6/2022
EUR
(669,989)
29,680
Euro-Schatz
(27)
6/2022
EUR
(3,308,711)
15,808
Lean
Hogs
(1)
6/2022
USD
(48,250)
(459)
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,178)
13,319
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,218)
128
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,125)
(1,012)
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,274)
(2,276)
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,381)
2,671
LME
Aluminum
Base
Metal
(6)
6/2022
USD
(523,725)
(6,674)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(2,878)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,433)
(11,037)
21
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(1)
6/2022
USD
$
(259,375)
$
1,872
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,825)
(12,396)
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,775)
(14,912)
LME
Copper
Base
Metal
(8)
6/2022
USD
(2,075,000)
13,040
LME
Copper
Base
Metal
(23)
6/2022
USD
(5,967,063)
(147,640)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,597)
(5,568)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,588)
(20,680)
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,056)
148,351
LME
Nickel
Base
Metal
(4)
6/2022
USD
(770,400)
134,816
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,823)
(5,151)
Long
Gilt
(229)
6/2022
GBP
(36,532,291)
228,946
MSCI
EAFE
E-Mini
Index
(2)
6/2022
USD
(214,440)
(11,685)
MSCI
Emerging
Markets
E-Mini
Index
(5)
6/2022
USD
(281,375)
(20,359)
Nikkei
225
Index
(1)
6/2022
JPY
(228,602)
(27,156)
Russell
2000
E-Mini
Index
(2)
6/2022
USD
(206,640)
(5,941)
S&P
500
E-Mini
Index
(40)
6/2022
USD
(9,061,500)
(553,449)
S&P
Midcap
400
E-Mini
Index
(1)
6/2022
USD
(268,920)
(11,191)
U.S.
Treasury
2
Year
Note
(30)
6/2022
USD
(6,353,438)
81,638
U.S.
Treasury
5
Year
Note
(19)
6/2022
USD
(2,176,094)
55,177
U.S.
Treasury
Long
Bond
(4)
6/2022
USD
(600,875)
11,999
U.S.
Treasury
Ultra
Bond
(4)
6/2022
USD
(708,250)
25,866
Cocoa
(1)
7/2022
GBP
(23,593)
(38)
Cocoa
(4)
7/2022
USD
(107,480)
(441)
Platinum
(1)
7/2022
USD
(49,790)
1,107
3
Month
Canadian
Bankers
Acceptance
(42)
9/2022
CAD
(8,186,078)
7,630
3
Month
SONIA
(32)
9/2022
GBP
(10,362,597)
48,656
3
Month
Canadian
Bankers
Acceptance
(41)
12/2022
CAD
(7,959,605)
4,418
3
Month
SONIA
(143)
12/2022
GBP
(46,080,083)
353,867
3
Month
Canadian
Bankers
Acceptance
(32)
3/2023
CAD
(6,197,976)
3,442
3
Month
SONIA
(147)
3/2023
GBP
(47,250,759)
400,704
3
Month
Euro
Euribor
(4)
6/2023
EUR
(1,094,911)
7,186
3
Month
SONIA
(122)
6/2023
GBP
(39,136,786)
188,943
3
Month
Euro
Euribor
(4)
9/2023
EUR
(1,092,698)
12,914
3
Month
SOFR
(8)
9/2023
USD
(1,942,000)
18,318
3
Month
SONIA
(6)
9/2023
GBP
(1,922,691)
19,215
3
Month
Euro
Euribor
(5)
12/2023
EUR
(1,365,043)
15,829
3
Month
SOFR
(9)
12/2023
USD
(2,184,863)
19,329
3
Month
SONIA
(7)
12/2023
GBP
(2,243,140)
21,476
3
Month
Euro
Euribor
(6)
3/2024
EUR
(1,637,803)
14,749
3
Month
SOFR
(10)
3/2024
USD
(2,429,750)
19,665
3
Month
SONIA
(6)
3/2024
GBP
(1,923,972)
18,678
3
Month
SOFR
(10)
6/2024
USD
(2,432,375)
22,075
3
Month
SONIA
(4)
6/2024
GBP
(1,284,356)
8,980
(473,921)
$
415,310
22
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
12,018,502
USD
8,757,666
CITI
6/15/2022
$
247,154
AUD
12,018,498
USD
8,757,675
JPMC
6/15/2022
247,140
BRL
22,523,504
USD
4,296,102
CITI
**
6/15/2022
335,705
BRL
22,523,496
USD
4,296,106
JPMC
**
6/15/2022
335,701
CAD
4,921,003
USD
3,874,230
CITI
6/15/2022
61,372
CAD
4,920,997
USD
3,874,230
JPMC
6/15/2022
61,370
CHF
2,000
USD
2,157
CITI
6/15/2022
14
CHF
2,000
USD
2,157
JPMC
6/15/2022
14
CLP
123,141,500
USD
150,983
CITI
**
6/15/2022
3,574
CLP
123,141,500
USD
150,984
JPMC
**
6/15/2022
3,574
CNY
3,850,828
USD
601,961
CITI
**
6/15/2022
1,424
CNY
3,850,828
USD
601,962
JPMC
**
6/15/2022
1,423
COP
122,707,506
USD
31,317
CITI
**
6/15/2022
870
COP
122,707,494
USD
31,317
JPMC
**
6/15/2022
870
EUR
6,238,000
USD
6,892,194
CITI
6/15/2022
28,140
EUR
6,238,000
USD
6,892,202
JPMC
6/15/2022
28,131
HUF
11,093,500
USD
32,264
CITI
6/15/2022
797
HUF
11,093,500
USD
32,264
JPMC
6/15/2022
797
IDR
332,851,000
USD
23,123
CITI
**
6/15/2022
27
IDR
332,851,000
USD
23,123
JPMC
**
6/15/2022
27
ILS
2,294,000
USD
711,000
CITI
6/15/2022
9,488
ILS
2,294,000
USD
711,000
JPMC
6/15/2022
9,488
INR
74,166,752
USD
964,133
CITI
**
6/15/2022
3,309
INR
74,166,750
USD
964,134
JPMC
**
6/15/2022
3,309
JPY
47,272,500
USD
387,869
CITI
6/15/2022
1,196
JPY
47,272,500
USD
387,869
JPMC
6/15/2022
1,195
KRW
1,741,027,000
USD
1,418,019
CITI
**
6/15/2022
14,143
KRW
1,741,027,000
USD
1,418,021
JPMC
**
6/15/2022
14,143
MXN
20,568,501
USD
990,300
CITI
6/15/2022
30,223
MXN
20,568,499
USD
990,302
JPMC
6/15/2022
30,222
NOK
54,146,000
USD
6,063,640
CITI
6/15/2022
83,678
NOK
54,146,000
USD
6,063,647
JPMC
6/15/2022
83,670
NZD
7,397,000
USD
4,975,008
CITI
6/15/2022
144,987
NZD
7,397,000
USD
4,975,014
JPMC
6/15/2022
144,979
PHP
5,902,000
USD
111,830
CITI
**
6/15/2022
1,513
PHP
5,902,000
USD
111,830
JPMC
**
6/15/2022
1,513
PLN
5,844,321
USD
1,340,926
CITI
6/15/2022
39,865
PLN
5,844,317
USD
1,340,927
JPMC
6/15/2022
39,861
SEK
44,512,505
USD
4,633,610
CITI
6/15/2022
109,440
SEK
44,512,498
USD
4,633,615
JPMC
6/15/2022
109,432
SGD
575,500
USD
423,839
CITI
6/15/2022
768
SGD
575,500
USD
423,839
JPMC
6/15/2022
768
TWD
1,543,500
USD
53,888
CITI
**
6/15/2022
193
TWD
1,543,500
USD
53,888
JPMC
**
6/15/2022
193
USD
78,561
BRL
380,500
CITI
**
6/15/2022
313
USD
78,560
BRL
380,500
JPMC
**
6/15/2022
313
USD
133,811
CAD
167,000
CITI
6/15/2022
252
USD
133,811
CAD
167,000
JPMC
6/15/2022
252
USD
2,592,449
CHF
2,379,000
CITI
6/15/2022
9,756
USD
2,592,446
CHF
2,379,000
JPMC
6/15/2022
9,753
USD
428,031
CNY
2,724,000
CITI
**
6/15/2022
1,208
USD
428,031
CNY
2,724,000
JPMC
**
6/15/2022
1,208
USD
3,834
DKK
25,500
CITI
6/15/2022
31
USD
3,834
DKK
25,500
JPMC
6/15/2022
31
USD
13,924,599
EUR
12,373,008
CITI
6/15/2022
198,189
23
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
13,924,564
EUR
12,372,992
JPMC
6/15/2022
$
198,172
USD
15,693,188
GBP
11,742,503
CITI
6/15/2022
272,087
USD
15,693,160
GBP
11,742,497
JPMC
6/15/2022
272,067
USD
61,435
HUF
20,477,000
CITI
6/15/2022
410
USD
61,435
HUF
20,477,000
JPMC
6/15/2022
409
USD
1,185,629
INR
90,376,252
CITI
**
6/15/2022
6,750
USD
1,185,628
INR
90,376,248
JPMC
**
6/15/2022
6,748
USD
15,188,860
JPY
1,763,745,506
CITI
6/15/2022
672,765
USD
15,188,841
JPY
1,763,745,502
JPMC
6/15/2022
672,746
USD
5,770,278
KRW
6,925,237,005
CITI
**
6/15/2022
73,599
USD
5,770,271
KRW
6,925,236,995
JPMC
**
6/15/2022
73,592
USD
1,757,369
NOK
15,308,500
CITI
6/15/2022
19,361
USD
1,757,366
NOK
15,308,500
JPMC
6/15/2022
19,358
USD
439,332
PHP
22,756,127
CITI
**
6/15/2022
2,320
USD
439,332
PHP
22,756,122
JPMC
**
6/15/2022
2,320
USD
766,528
PLN
3,157,750
CITI
6/15/2022
20,473
USD
766,527
PLN
3,157,750
JPMC
6/15/2022
20,473
USD
576,269
SEK
5,355,501
CITI
6/15/2022
5,610
USD
576,268
SEK
5,355,499
JPMC
6/15/2022
5,610
USD
674,696
SGD
913,001
CITI
6/15/2022
1,078
USD
674,694
SGD
912,999
JPMC
6/15/2022
1,076
USD
830,264
TWD
23,118,503
CITI
**
6/15/2022
20,239
USD
830,263
TWD
23,118,497
JPMC
**
6/15/2022
20,238
USD
123,976
ZAR
1,825,500
CITI
6/15/2022
221
USD
123,976
ZAR
1,825,500
JPMC
6/15/2022
220
ZAR
48,243,509
USD
3,123,985
CITI
6/15/2022
146,578
ZAR
48,243,491
USD
3,123,988
JPMC
6/15/2022
146,575
Total
unrealized
appreciation
5,138,101
AUD
1,157,500
USD
870,210
CITI
6/15/2022
(2,957)
AUD
1,157,500
USD
870,211
JPMC
6/15/2022
(2,958)
CHF
2,019,000
USD
2,194,690
CITI
6/15/2022
(2,821)
CHF
2,019,000
USD
2,194,693
JPMC
6/15/2022
(2,823)
CNY
13,848,298
USD
2,174,857
CITI
**
6/15/2022
(4,972)
CNY
13,848,296
USD
2,174,860
JPMC
**
6/15/2022
(4,974)
COP
80,179,500
USD
21,085
CITI
**
6/15/2022
(54)
COP
80,179,500
USD
21,085
JPMC
**
6/15/2022
(54)
DKK
1,836,500
USD
280,401
CITI
6/15/2022
(6,515)
DKK
1,836,500
USD
280,402
JPMC
6/15/2022
(6,515)
EUR
4,245,503
USD
4,807,268
CITI
6/15/2022
(97,377)
EUR
4,245,497
USD
4,807,267
JPMC
6/15/2022
(97,382)
GBP
6,197,500
USD
8,342,114
CITI
6/15/2022
(203,113)
GBP
6,197,500
USD
8,342,124
JPMC
6/15/2022
(203,124)
HUF
698,433,004
USD
2,143,998
CITI
6/15/2022
(62,558)
HUF
698,432,996
USD
2,144,000
JPMC
6/15/2022
(62,560)
ILS
22,500
USD
7,080
CITI
6/15/2022
(13)
ILS
22,500
USD
7,080
JPMC
6/15/2022
(13)
INR
46,193,750
USD
605,521
CITI
**
6/15/2022
(2,964)
INR
46,193,748
USD
605,521
JPMC
**
6/15/2022
(2,964)
JPY
1,875,861,501
USD
16,259,006
CITI
6/15/2022
(820,163)
JPY
1,875,861,499
USD
16,259,026
JPMC
6/15/2022
(820,188)
KRW
1,501,166,500
USD
1,244,875
CITI
**
6/15/2022
(10,019)
KRW
1,501,166,500
USD
1,244,876
JPMC
**
6/15/2022
(10,021)
NOK
80,000
USD
9,120
CITI
6/15/2022
(37)
NOK
80,000
USD
9,120
JPMC
6/15/2022
(37)
PHP
981,000
USD
18,936
CITI
**
6/15/2022
(97)
PHP
981,000
USD
18,936
JPMC
**
6/15/2022
(97)
PLN
6,221,681
USD
1,522,440
CITI
6/15/2022
(52,497)
PLN
6,221,681
USD
1,522,442
JPMC
6/15/2022
(52,498)
24
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
**
Non-deliverable
forward.
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
SEK
44,886,000
USD
4,807,421
CITI
6/15/2022
$
(24,573)
SEK
44,885,997
USD
4,807,426
JPMC
6/15/2022
(24,578)
SGD
432,000
USD
320,694
CITI
6/15/2022
(1,961)
SGD
432,000
USD
320,694
JPMC
6/15/2022
(1,961)
TWD
15,400,001
USD
547,350
CITI
**
6/15/2022
(7,766)
TWD
15,399,999
USD
547,354
JPMC
**
6/15/2022
(7,771)
USD
5,313,939
AUD
7,359,502
CITI
6/15/2022
(200,142)
USD
5,313,929
AUD
7,359,498
JPMC
6/15/2022
(200,148)
USD
1,737,317
BRL
8,984,003
CITI
**
6/15/2022
(110,183)
USD
1,737,313
BRL
8,983,997
JPMC
**
6/15/2022
(110,185)
USD
6,086,381
CAD
7,733,506
CITI
6/15/2022
(98,541)
USD
6,086,364
CAD
7,733,494
JPMC
6/15/2022
(98,548)
USD
1,109,488
CHF
1,039,500
CITI
6/15/2022
(19,015)
USD
1,109,487
CHF
1,039,500
JPMC
6/15/2022
(19,017)
USD
106,824
CLP
86,884,000
CITI
**
6/15/2022
(2,225)
USD
106,823
CLP
86,884,000
JPMC
**
6/15/2022
(2,225)
USD
1,585,059
CNY
10,162,000
CITI
**
6/15/2022
(7,223)
USD
1,585,057
CNY
10,162,000
JPMC
**
6/15/2022
(7,225)
USD
169,543
DKK
1,140,000
CITI
6/15/2022
(472)
USD
169,543
DKK
1,140,000
JPMC
6/15/2022
(472)
USD
2,233,572
EUR
2,031,000
CITI
6/15/2022
(19,585)
USD
2,233,569
EUR
2,031,000
JPMC
6/15/2022
(19,589)
USD
3,420,696
GBP
2,611,500
CITI
6/15/2022
(8,914)
USD
3,420,691
GBP
2,611,500
JPMC
6/15/2022
(8,918)
USD
798,686
HUF
283,322,500
CITI
6/15/2022
(45,659)
USD
798,685
HUF
283,322,500
JPMC
6/15/2022
(45,660)
USD
26,934
IDR
388,326,500
CITI
**
6/15/2022
(73)
USD
26,934
IDR
388,326,500
JPMC
**
6/15/2022
(73)
USD
3,063,010
ILS
9,886,502
CITI
6/15/2022
(42,087)
USD
3,063,005
ILS
9,886,498
JPMC
6/15/2022
(42,091)
USD
824,163
INR
63,349,251
CITI
**
6/15/2022
(2,173)
USD
824,162
INR
63,349,249
JPMC
**
6/15/2022
(2,174)
USD
543,750
JPY
67,173,000
CITI
6/15/2022
(9,101)
USD
543,750
JPY
67,173,000
JPMC
6/15/2022
(9,102)
USD
140,894
KRW
174,344,000
CITI
**
6/15/2022
(2,521)
USD
140,894
KRW
174,344,000
JPMC
**
6/15/2022
(2,521)
USD
1,645,642
MXN
34,232,000
CITI
6/15/2022
(52,807)
USD
1,645,640
MXN
34,232,000
JPMC
6/15/2022
(52,809)
USD
126,922
NOK
1,131,500
CITI
6/15/2022
(1,540)
USD
126,922
NOK
1,131,500
JPMC
6/15/2022
(1,540)
USD
3,268,063
NZD
4,869,500
CITI
6/15/2022
(102,466)
USD
3,268,059
NZD
4,869,500
JPMC
6/15/2022
(102,470)
USD
62,140
PHP
3,250,876
CITI
**
6/15/2022
(290)
USD
62,140
PHP
3,250,875
JPMC
**
6/15/2022
(290)
USD
2,001,837
PLN
8,837,250
CITI
6/15/2022
(86,066)
USD
2,001,834
PLN
8,837,250
JPMC
6/15/2022
(86,069)
USD
3,788,277
SEK
36,544,500
CITI
6/15/2022
(105,738)
USD
3,788,272
SEK
36,544,500
JPMC
6/15/2022
(105,744)
USD
467,448
SGD
636,500
CITI
6/15/2022
(2,167)
USD
467,447
SGD
636,500
JPMC
6/15/2022
(2,167)
USD
1,344,960
ZAR
20,736,500
CITI
6/15/2022
(60,826)
USD
1,344,959
ZAR
20,736,500
JPMC
6/15/2022
(60,827)
ZAR
443,500
USD
30,359
CITI
6/15/2022
(293)
ZAR
443,500
USD
30,359
JPMC
6/15/2022
(293)
Total
unrealized
depreciation
(4,561,239)
Net
unrealized
appreciation
$
576,862
25
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
101.9%
COMMON
STOCKS
-
20.1%
Airlines
-
0.0%
(a)
Gol
Linhas
Aereas
Inteligentes
SA,
ADR
(Brazil)
*(b)
26,358
189,778
Banks
-
0.1%
Patriot
National
Bancorp,
Inc.
*
120,629
2,042,249
Biotechnology
-
0.1%
Ascendis
Pharma
A/S,
ADR
(Denmark)
*(b)
10,971
1,287,557
Precigen
,
Inc.
*(b)
17,632
37,203
1,324,760
Capital
Markets
-
14.1%
Accretion
Acquisition
Corp.
*
202,180
1,985,408
Aesther
Healthcare
Acquisition
Corp.,
Class
A
(2)*
40,504
407,875
Alpha
Healthcare
Acquisition
Corp.
III,
Class
A
*(b)
208,000
2,025,920
AltC
Acquisition
Corp.,
Class
A
*(b)
131,250
1,281,000
AltEnergy
Acquisition
Corp.,
Class
A
*
122,926
1,218,197
AMCI
Acquisition
Corp.
II,
Class
A
*(b)
139,000
1,356,640
American
Acquisition
Opportunity,
Inc.,
Class
A
*
74,925
769,480
Anzu
Special
Acquisition
Corp.
I,
Class
A
(2)*(b)
206,667
2,019,137
Apeiron
Capital
Investment
Corp.,
Class
A
*
108,048
1,078,319
Arbor
Rapha
Capital
Bioholdings
Corp.
I
*
143,034
1,431,770
Arena
Fortify
Acquisition
Corp.,
Class
A
*
54,024
539,700
Argus
Capital
Corp.,
Class
A
*
61,482
613,590
Armada
Acquisition
Corp.
I
*
128,332
1,260,220
Arogo
Capital
Acquisition
Corp.,
Class
A
*
96,774
961,934
Artemis
Strategic
Investment
Corp.,
Class
A
*(b)
204,800
2,043,904
Astrea
Acquisition
Corp.,
Class
A
*
80,569
787,159
Athena
Consumer
Acquisition
Corp.,
Class
A
*
128,926
1,286,682
Athena
Technology
Acquisition
Corp.
II,
Class
A
(2)*
638,232
6,235,527
Athlon
Acquisition
Corp.,
Class
A
*(b)
82,666
810,127
Ault
Disruptive
Technologies
Corp.
*
73,140
729,206
Aurora
Acquisition
Corp.,
Class
A
(United
Kingdom)
*
37,500
369,750
Avalon
Acquisition,
Inc.,
Class
A
*(b)
106,268
1,058,429
AxonPrime
Infrastructure
Acquisition
Corp.,
Class
A
*
234,165
2,255,009
Banner
Acquisition
Corp.
*
40,392
397,861
Bannix
Acquisition
Corp.
*
26,277
259,880
Beard
Energy
Transition
Acquisition
Corp.,
Class
A
(2)*
149,510
1,477,159
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
14.1%
(continued)
Belong
Acquisition
Corp.,
Class
A
*
128,000
1,252,480
Berenson
Acquisition
Corp.
I,
Class
A
*
30,784
300,144
Better
World
Acquisition
Corp.
*
35,583
365,437
Bite
Acquisition
Corp.
*
83,200
814,528
Blockchain
Moon
Acquisition
Corp.
*
44,844
442,162
BOA
Acquisition
Corp.,
Class
A
*
81,963
811,434
Broad
Capital
Acquisition
Corp.
(2)*
69,739
689,021
BurTech
Acquisition
Corp.,
Class
A
*
447,209
4,427,369
Canna-Global
Acquisition
Corp.,
Class
A
*
188,580
1,882,028
Cascadia
Acquisition
Corp.,
Class
A
(2)*
120,606
1,175,909
CENAQ
Energy
Corp.,
Class
A
*
140,000
1,402,100
CF
Acquisition
Corp.
VII,
Class
A
(2)*
146,292
1,442,439
CIIG
Capital
Partners
II,
Inc.,
Class
A
*
141,768
1,400,668
Clarim
Acquisition
Corp.,
Class
A
*
100,000
979,000
Conyers
Park
III
Acquisition
Corp.,
Class
A
*
484,500
4,723,875
Crixus
BH3
Acquisition
Co.,
Class
A
(2)*
84,579
830,566
D
&
Z
Media
Acquisition
Corp.,
Class
A
*
82,359
806,295
Data
Knights
Acquisition
Corp.,
Class
A
(United
Kingdom)
(2)*
50,667
515,283
Deep
Medicine
Acquisition
Corp.,
Class
A
(2)*
152,927
1,518,565
DHB
Capital
Corp.,
Class
A
*
147,999
1,444,470
Digital
Health
Acquisition
Corp.
*
71,745
718,885
Digital
Transformation
Opportunities
Corp.,
Class
A
*
82,932
809,416
DILA
Capital
Acquisition
Corp.,
Class
A
(2)*
61,667
603,103
Direct
Selling
Acquisition
Corp.,
Class
A
*
102,582
1,025,820
dMY
Technology
Group,
Inc.
VI
*
82,182
811,136
DTRT
Health
Acquisition
Corp.,
Class
A
*
120,816
1,211,785
Dynamics
Special
Purpose
Corp.,
Class
A
*
100,000
987,500
Edify
Acquisition
Corp.,
Class
A
(2)*
83,100
814,380
Empowerment
&
Inclusion
Capital
I
Corp.,
Class
A
*
36,572
358,771
EQ
Health
Acquisition
Corp.,
Class
A
*
87,656
859,029
Everest
Consolidator
Acquisition
Corp.
(2)*
131,016
1,302,299
Evo
Acquisition
Corp.,
Class
A
*
19,320
188,950
ExcelFin
Acquisition
Corp.,
Class
A
*
134,786
1,343,816
Financial
Strategies
Acquisition
Corp.
*
131,193
1,298,811
Fintech
Ecosystem
Development
Corp.,
Class
A
*
10,730
106,656
26
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
14.1%
(continued)
First
Light
Acquisition
Group,
Inc.,
Class
A
*
40,464
400,189
First
Reserve
Sustainable
Growth
Corp.,
Class
A
*
77,513
755,752
Flame
Acquisition
Corp.,
Class
A
*
100,000
975,000
Focus
Impact
Acquisition
Corp.,
Class
A
(2)*
101,950
1,009,305
Fortune
Rise
Acquisition
Corp.
*
98,648
991,412
FoxWayne
Enterprises
Acquisition
Corp.,
Class
A
(2)*
34,500
347,070
Future
Health
ESG
Corp.
*
91,822
905,365
Gaming
&
Hospitality
Acquisition
Corp.,
Class
A
(2)*
24,621
240,301
Gardiner
Healthcare
Acquisitions
Corp.
(2)*
52,651
520,718
GigCapital5,
Inc.
*
123,100
1,226,076
Gladstone
Acquisition
Corp.,
Class
A
*
139,000
1,395,560
Glass
Houses
Acquisition
Corp.
*
137,666
1,343,620
Glenfarne
Merger
Corp.,
Class
A
*
164,664
1,607,121
Globalink
Investment,
Inc.
(2)*
74,843
740,197
Goal
Acquisitions
Corp.
*
84,630
825,989
Goldman
Sachs
Group,
Inc.
(The)
22,551
7,444,174
Gores
Holdings
VII,
Inc.,
Class
A
*
83,328
815,781
Group
Nine
Acquisition
Corp.,
Class
A
*
82,812
811,558
Hamilton
Lane
Alliance
Holdings
I,
Inc.,
Class
A
*
82,749
810,940
Hawks
Acquisition
Corp.,
Class
A
*
74,351
723,435
Home
Plate
Acquisition
Corp.,
Class
A
*
41,016
398,676
Hudson
Executive
Investment
Corp.
II
*
83,100
813,549
HumanCo
Acquisition
Corp.,
Class
A
*
36,572
358,954
Ignyte
Acquisition
Corp.
(2)*
35,000
344,400
Inception
Growth
Acquisition
Ltd.
(2)*
112,518
1,107,177
Industrial
Human
Capital,
Inc.
*
89,858
900,377
Insight
Acquisition
Corp.,
Class
A
*
50,340
493,332
Integral
Acquisition
Corp.
1,
Class
A
*
107,616
1,065,398
Integrated
Rail
and
Resources
Acquisition
Corp.,
Class
A
(2)*
108,438
1,075,705
Intelligent
Medicine
Acquisition
Corp.,
Class
A
*
125,570
1,255,072
InterPrivate
II
Acquisition
Corp.,
Class
A
*
82,500
806,025
InterPrivate
III
Financial
Partners,
Inc.,
Class
A
*
82,500
815,100
InterPrivate
IV
InfraTech
Partners,
Inc.,
Class
A
*
83,000
809,250
Jackson
Acquisition
Co.,
Class
A
*
367,922
3,635,069
Jaws
Hurricane
Acquisition
Corp.,
Class
A
*
137,000
1,338,490
JOFF
Fintech
Acquisition
Corp.,
Class
A
*
83,181
812,678
Juniper
II
Corp.,
Class
A
*
107,616
1,070,779
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
14.1%
(continued)
Jupiter
Acquisition
Corp.,
Class
A
(2)*
210,000
2,020,200
JUPITER
WELLNESS
ACQUISITION
Corp.,
Class
A
*
149,929
1,485,796
Larkspur
Health
Acquisition
Corp.,
Class
A
(2)*
52,524
519,462
LAVA
Medtech
Acquisition
Corp.,
Class
A
(2)*
63,464
631,467
Learn
CW
Investment
Corp.,
Class
A
*
26,704
263,302
Legato
Merger
Corp.
II
*
154,414
1,531,787
LF
Capital
Acquisition
Corp.
II
(2)*
108,792
1,082,480
Lionheart
III
Corp.,
Class
A
*
89,680
891,419
Live
Oak
Crestview
Climate
Acquisition
Corp.,
Class
A
*
164,130
1,592,061
Live
Oak
Mobility
Acquisition
Corp.,
Class
A
*
88,800
871,128
LMF
Acquisition
Opportunities,
Inc.,
Class
A
*
27,333
276,610
Lux
Health
Tech
Acquisition
Corp.,
Class
A
*
36,573
360,610
Mana
Capital
Acquisition
Corp.
(2)*
39,048
386,185
Maxpro
Capital
Acquisition
Corp.,
Class
A
(Taiwan)
(2)*
9,347
93,470
McLaren
Technology
Acquisition
Corp.,
Class
A
(2)*
179,362
1,782,858
MDH
Acquisition
Corp.,
Class
A
*
84,000
820,680
Mercato
Partners
Acquisition
Corp.,
Class
A
(2)*
143,490
1,421,986
Minority
Equality
Opportunities
Acquisition,
Inc.,
Class
A
*
40,202
403,226
Monterey
Bio
Acquisition
Corp.
(2)*
8,700
86,652
Monument
Circle
Acquisition
Corp.,
Class
A
*
82,750
809,295
Mount
Rainier
Acquisition
Corp.
*
84,937
847,671
Music
Acquisition
Corp.
(The),
Class
A
*
46,650
454,838
New
Providence
Acquisition
Corp.
II,
Class
A
*
125,577
1,246,980
Newbury
Street
Acquisition
Corp.
*
100,000
975,000
NewHold
Investment
Corp.
II,
Class
A
*
134,732
1,321,721
Northern
Lights
Acquisition
Corp.,
Class
A
*
91,332
924,280
Northern
Star
Investment
Corp.
III,
Class
A
*
82,662
809,261
Northern
Star
Investment
Corp.
IV,
Class
A
*
82,662
806,781
NorthView
Acquisition
Corp.
(2)*
154,598
1,519,698
OCA
Acquisition
Corp.,
Class
A
*
111,538
1,120,957
OmniLit
Acquisition
Corp.,
Class
A
(2)*
80,992
805,870
OPY
Acquisition
Corp.
I,
Class
A
(2)*
82,572
809,206
Oyster
Enterprises
Acquisition
Corp.,
Class
A
*
83,000
812,570
Pacifico
Acquisition
Corp.
(2)*
20,252
201,710
Panacea
Acquisition
Corp.
II,
Class
A
*
100,000
978,000
27
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
14.1%
(continued)
Parabellum
Acquisition
Corp.,
Class
A
*
32,371
318,045
Parsec
Capital
Acquisitions
Corp.,
Class
A
*
12,741
127,537
Periphas
Capital
Partnering
Corp.,
Class
A
*
76,164
1,868,303
Phoenix
Biotech
Acquisition
Corp.,
Class
A
*
212,345
2,123,450
PHP
Ventures
Acquisition
Corp.,
Class
A
(Malaysia)
*
29,400
293,412
Pono
Capital
Corp.,
Class
A
*
119,700
1,202,985
Power
&
Digital
Infrastructure
Acquisition
II
Corp.,
Class
A
(2)*
319,116
3,117,763
Priveterra
Acquisition
Corp.,
Class
A
(2)*
93,300
911,541
PROOF
Acquisition
Corp.
I,
Class
A
*
150,864
1,493,554
PWP
Forward
Acquisition
Corp.
I,
Class
A
(2)*
161,665
1,577,850
Revolution
Healthcare
Acquisition
Corp.,
Class
A
*
82,530
809,619
ROC
Energy
Acquisition
Corp.
*
149,375
1,480,306
Rosecliff
Acquisition
Corp.
I,
Class
A
*
82,665
806,810
Roth
CH
Acquisition
V
Co.
*
28,286
278,900
Schultze
Special
Purpose
Acquisition
Corp.
II,
Class
A
(2)*
63,730
625,191
Science
Strategic
Acquisition
Corp.
Alpha,
Class
A
*
82,482
809,149
SCP
&
CO
Healthcare
Acquisition
Co.,
Class
A
(2)*
83,124
812,122
Seaport
Calibre
Materials
Acquisition
Corp.
(2)*
45,366
449,577
Seaport
Global
Acquisition
II
Corp.,
Class
A
*
81,696
809,607
ShoulderUp
Technology
Acquisition
Corp.,
Class
A
*
217,740
2,149,094
Sierra
Lake
Acquisition
Corp.,
Class
A
*
81,011
797,958
Silver
Spike
Acquisition
Corp.
II,
Class
A
*
80,000
783,200
Sizzle
Acquisition
Corp.
(2)*
71,744
713,853
Social
Leverage
Acquisition
Corp.
I,
Class
A
*
82,664
809,281
Software
Acquisition
Group,
Inc.
III,
Class
A
*
185,000
1,845,375
Southport
Acquisition
Corp.
*
365,972
3,634,102
Spindletop
Health
Acquisition
Corp.,
Class
A
(2)*
125,552
1,250,498
SportsMap
Tech
Acquisition
Corp.
*
85,818
851,315
SportsTek
Acquisition
Corp.,
Class
A
(2)*
100,000
975,000
Springwater
Special
Situations
Corp.
*
40,212
396,088
TCW
Special
Purpose
Acquisition
Corp.,
Class
A
*
410,439
4,001,780
TG
Venture
Acquisition
Corp.
(2)*
215,235
2,126,522
TLG
Acquisition
One
Corp.,
Class
A
*
83,181
814,342
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
14.1%
(continued)
Trajectory
Alpha
Acquisition
Corp.,
Class
A
*
109,920
1,072,819
Twelve
Seas
Investment
Co.
II,
Class
A
*
98,799
965,266
Velocity
Acquisition
Corp.,
Class
A
*
82,623
805,574
Vision
Sensing
Acquisition
Corp.,
Class
A
(2)*
51,216
511,136
VMG
Consumer
Acquisition
Corp.,
Class
A
*
180,786
1,791,589
Warrior
Technologies
Acquisition
Co.,
Class
A
*
82,832
819,209
Welsbach
Technology
Metals
Acquisition
Corp.
(2)*
9,289
91,590
Z-Work
Acquisition
Corp.,
Class
A
*
82,665
807,637
194,207,773
Chemicals
-
0.4%
Ferro
Corp.
*
251,619
5,470,197
Containers
&
Packaging
-
0.6%
Intertape
Polymer
Group,
Inc.
(Canada)
245,680
7,797,930
Health
Care
Equipment
&
Supplies
-
0.0%
(a)
Intersect
ENT,
Inc.
*
25,900
725,459
Hotels,
Restaurants
&
Leisure
-
0.4%
Booking
Holdings,
Inc.
*(b)
2,399
5,633,931
Golden
Nugget
Online
Gaming,
Inc.
*
64,615
459,413
6,093,344
Leisure
Products
-
0.2%
Accell
Group
NV
(Netherlands)
(2)*
33,774
2,138,886
Life
Sciences
Tools
&
Services
-
0.0%
(a)
Illumina,
Inc.
*(b)
1,694
591,884
Media
-
1.9%
Paramount
Global,
Class
B
107,063
4,048,052
Shaw
Communications,
Inc.,
Class
B
(Canada)
704,629
21,869,060
25,917,112
Metals
&
Mining
-
0.1%
Newcrest
Mining
Ltd.
(Australia)
72,599
1,466,500
Pharmaceuticals
-
0.8%
Vifor
Pharma
AG
(Switzerland)
*
58,885
10,498,678
Professional
Services
-
0.2%
Intertrust
NV
(Netherlands)
(2)*(c)
103,027
2,239,036
Software
-
1.1%
Vonage
Holdings
Corp.
*
746,812
15,152,815
Wireless
Telecommunication
Services
-
0.1%
Cleveland
Unlimited
(acquired
3/18/2010,
Cost
$1,793,400)
(3)*(d)(e)
1
1,257,402
TOTAL
COMMON
STOCKS
(Cost
$277,586,742)
277,113,803
28
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
0.7%
Adams
Diversified
Equity
Fund,
Inc.
(b)
13,838
255,173
AllianceBernstein
National
Municipal
Income
Fund,
Inc.
(b)
2,009
25,293
Allspring
Multi-Sector
Income
14,131
147,104
Bancroft
Fund
Ltd.
2,903
66,130
Barings
Global
Short
Duration
High
Yield
Fund
1,262
19,561
BlackRock
Core
Bond
Trust
16,159
210,067
BlackRock
Credit
Allocation
Income
Trust
56,515
709,828
BlackRock
Energy
and
Resources
Trust
15,300
177,480
BlackRock
Enhanced
Global
Dividend
Trust
1,281
14,488
BlackRock
Enhanced
International
Dividend
Trust
1,644
9,453
BlackRock
Municipal
Income
Quality
Trust
1,369
18,112
BlackRock
Municipal
Income
Trust
II
17,549
216,204
BlackRock
MuniHoldings
Fund,
Inc.
17,403
247,645
BlackRock
MuniHoldings
Investment
Quality
Fund
18,814
230,660
BlackRock
MuniHoldings
Quality
Fund
II,
Inc.
1,114
13,468
BlackRock
MuniVest
Fund
II,
Inc.
51
658
BlackRock
MuniVest
Fund,
Inc.
3,144
25,655
BlackRock
MuniYield
California
Quality
Fund,
Inc.
2,561
33,652
BlackRock
MuniYield
Fund,
Inc.
36,871
465,681
BlackRock
MuniYield
Michigan
Quality
Fund,
Inc.
1,669
21,380
BlackRock
MuniYield
Pennsylvania
Quality
Fund
506
6,603
BlackRock
MuniYield
Quality
Fund
II,
Inc.
1,930
23,449
BlackRock
MuniYield
Quality
Fund
III,
Inc.
6,142
77,082
BlackRock
MuniYield
Quality
Fund,
Inc.
16,391
226,032
BlackRock
New
York
Municipal
Income
Trust
11,794
143,651
BNY
Mellon
Municipal
Bond
Infrastructure
Fund,
Inc.
1,970
24,448
BNY
Mellon
Municipal
Income,
Inc.
16,801
127,520
BNY
Mellon
Strategic
Municipal
Bond
Fund,
Inc.
7,438
52,587
BNY
Mellon
Strategic
Municipals,
Inc.
35,055
252,045
Cohen
&
Steers
Ltd.
Duration
Preferred
and
Income
Fund,
Inc.
1,594
36,534
Cohen
&
Steers
Select
Preferred
and
Income
Fund,
Inc.
4,135
95,436
Delaware
Enhanced
Global
Dividend
&
Income
Fund
2,647
23,902
Delaware
Ivy
High
Income
Opportunities
Fund
401
5,081
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
0.7%
(continued)
DoubleLine
Income
Solutions
Fund
70,732
1,027,029
Eaton
Vance
California
Municipal
Bond
Fund
21,621
217,075
Eaton
Vance
Municipal
Bond
Fund
30,889
355,224
Eaton
Vance
Municipal
Income
Trust
1,165
13,794
Eaton
Vance
New
York
Municipal
Bond
Fund
7,635
80,015
Ellsworth
Growth
and
Income
Fund
Ltd.
9,397
99,514
Federated
Hermes
Premier
Municipal
Income
Fund
4,490
57,068
Franklin
Ltd.
Duration
Income
Trust
25,493
193,237
GAMCO
Natural
Resources
Gold
&
Income
Trust
393
2,197
General
American
Investors
Co.,
Inc.
151
6,413
Insight
Select
Income
Fund
4,771
85,258
Invesco
California
Value
Municipal
Income
Trust
14,065
155,840
Invesco
Municipal
Opportunity
Trust
31,882
365,049
Invesco
Municipal
Trust
19,272
221,821
Invesco
Pennsylvania
Value
Municipal
Income
Trust
541
6,319
Invesco
Quality
Municipal
Income
Trust
10,859
123,032
Invesco
Trust
for
Investment
Grade
Municipals
11,860
137,813
Invesco
Value
Municipal
Income
Trust
873
12,170
John
Hancock
Income
Securities
Trust
175
2,389
KKR
Income
Opportunities
Fund
2,503
36,118
Macquarie
Global
Infrastructure
Total
Return
Fund,
Inc.
274
7,047
MFS
Multimarket
Income
Trust
5,297
28,127
New
America
High
Income
Fund,
Inc.
(The)
827
6,707
Nuveen
AMT-Free
Municipal
Credit
Income
Fund
7,139
105,586
Nuveen
AMT-Free
Quality
Municipal
Income
Fund
7,016
92,190
Nuveen
California
AMT-Free
Quality
Municipal
Income
Fund
19,324
262,033
Nuveen
California
Municipal
Value
Fund
8,662
79,344
Nuveen
California
Quality
Municipal
Income
Fund
21,227
278,498
Nuveen
Enhanced
Municipal
Value
Fund
8,535
111,126
Nuveen
Massachusetts
Quality
Municipal
Income
Fund
1,299
16,523
Nuveen
Municipal
Credit
Income
Fund
5,088
74,336
Nuveen
New
York
AMT-Free
Quality
Municipal
Income
Fund
2,955
35,874
Nuveen
New
York
Quality
Municipal
Income
Fund
9,396
118,108
29
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
0.7%
(continued)
Nuveen
Ohio
Quality
Municipal
Income
Fund
214
2,968
Nuveen
Preferred
&
Income
Opportunities
Fund
36,483
313,024
Nuveen
Preferred
&
Income
Securities
Fund
51,577
433,247
Nuveen
Quality
Municipal
Income
Fund
6,811
90,995
Pioneer
High
Income
Fund,
Inc.
4,406
35,777
Pioneer
Municipal
High
Income
Advantage
Fund,
Inc.
347
3,411
Pioneer
Municipal
High
Income
Fund
Trust
8,403
88,231
Putnam
Managed
Municipal
Income
Trust
2,562
18,113
Royce
Global
Value
Trust,
Inc.
366
4,158
Templeton
Emerging
Markets
Fund
733
10,079
Tri-Continental
Corp.
3,642
112,319
Voya
Emerging
Markets
High
Income
Dividend
Equity
Fund
2,432
16,294
Western
Asset
Global
Corporate
Defined
Opportunity
Fund,
Inc.
948
14,087
Western
Asset
Global
High
Income
Fund,
Inc.
9,023
76,425
Western
Asset
Investment
Grade
Income
Fund,
Inc.
510
6,951
Western
Asset
Managed
Municipals
Fund,
Inc.
5,434
63,143
Western
Asset
Municipal
High
Income
Fund,
Inc.
1,510
10,630
Western
Asset
Municipal
Partners
Fund,
Inc.
130
1,751
Western
Asset
Premier
Bond
Fund
3,298
39,576
TOTAL
CLOSED
END
FUNDS
(Cost
$9,730,305)
9,756,115
PRINCIPAL
AMOUNT
CORPORATE
BONDS
-
0.0%
(a)
Independent
Power
and
Renewable
Electricity
Producers
-
0.0%
(a)
Aegean
Marine
Petroleum
Network,
Inc.
Escrow
0.00%,
12/15/2022
(3)(d)(f)
$
2,375,000
71,250
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Black
Elk
Energy
Escrow
13.75%,
12/1/2015
(3)(d)(f)
2,833,436
148,529
Forest
Oil
Corp.
7.50%,
9/15/2020
(3)(d)(f)
10,750,000
NSA
Bondco
Ltd.
(Norway)
12.00%,
8/31/2022
(3)(d)(g)
4,455,054
148,529
TOTAL
CORPORATE
BONDS
(Cost
$3,920,727)
219,779
CONVERTIBLE
BONDS
-
15.9%
Aerospace
&
Defense
-
0.3%
Virgin
Galactic
Holdings,
Inc.
2.50%,
2/1/2027
(2)(b)(c)
4,067,000
3,886,019
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Airlines
-
0.1%
GOL
Equity
Finance
SA
(Brazil)
3.75%,
7/15/2024
(2)(b)(c)
$
1,025,000
836,656
Automobiles
-
0.2%
Arrival
SA
(Luxembourg)
3.50%,
12/1/2026
(2)(b)(c)
4,567,000
2,938,823
Biotechnology
-
1.2%
Avid
SPV
LLC
1.25%,
3/15/2026
(2)(b)(c)
2,300,000
2,795,390
Inovio
Pharmaceuticals,
Inc.
6.50%,
3/1/2024
(2)(b)
2,075,000
1,876,165
Ironwood
Pharmaceuticals,
Inc.
0.75%,
6/15/2024
(2)(b)
1,400,000
1,598,100
Precigen
,
Inc.
3.50%,
7/1/2023
(2)(b)
2,550,000
1,982,372
PTC
Therapeutics,
Inc.
1.50%,
9/15/2026
(2)(b)(c)
7,850,000
7,887,680
16,139,707
Chemicals
-
0.2%
Danimer
Scientific,
Inc.
3.25%,
12/15/2026
(2)(b)(c)
3,494,000
2,856,345
Communications
Equipment
-
0.8%
Infinera
Corp.
2.50%,
3/1/2027
(2)(b)
2,925,000
4,018,950
Lumentum
Holdings,
Inc.
0.50%,
6/15/2028
(2)(b)(c)
7,806,000
7,634,268
11,653,218
Consumer
Finance
-
0.7%
EZCORP,
Inc.
2.88%,
7/1/2024
(2)(b)
2,250,000
2,171,250
2.38%,
5/1/2025
(2)(b)
1,025,000
905,075
LendingTree
,
Inc.
0.50%,
7/15/2025
(2)(b)
7,500,000
6,140,625
9,216,950
Diversified
Telecommunication
Services
-
0.1%
Bandwidth,
Inc.
0.25%,
3/1/2026
(2)(b)
1,875,000
1,428,750
Electrical
Equipment
-
0.7%
Array
Technologies,
Inc.
1.00%,
12/1/2028
(2)(b)(c)
12,850,000
9,746,725
Energy
Equipment
&
Services
-
0.1%
Helix
Energy
Solutions
Group,
Inc.
4.13%,
9/15/2023
(2)(b)
1,125,000
1,153,625
Entertainment
-
0.5%
Sea
Ltd.
(Taiwan)
0.25%,
9/15/2026
(2)(b)
8,250,000
6,584,325
Health
Care
Equipment
&
Supplies
-
0.6%
Alphatec
Holdings,
Inc.
0.75%,
8/1/2026
(2)(b)(c)
2,389,000
2,278,509
Novocure
Ltd.
0.00%,
11/1/2025
(2)(b)
1,925,000
1,746,937
Varex
Imaging
Corp.
4.00%,
6/1/2025
(2)(b)
3,100,000
3,909,875
7,935,321
30
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Health
Care
Providers
&
Services
-
0.6%
Anthem,
Inc.
2.75%,
10/15/2042
(2)(b)
$
1,279,000
8,925,246
Hotels,
Restaurants
&
Leisure
-
1.6%
DraftKings
,
Inc.
0.00%,
3/15/2028
(2)(b)
8,800,000
6,322,800
MakeMyTrip
Ltd.
(India)
0.00%,
2/15/2028
(2)(b)
2,875,000
2,844,813
NCL
Corp.
Ltd.
1.13%,
2/15/2027
(2)(b)(c)
12,113,000
11,131,847
2.50%,
2/15/2027
(2)(b)(c)
1,585,000
1,512,882
21,812,342
Household
Durables
-
0.1%
GoPro,
Inc.
1.25%,
11/15/2025
(2)(b)(c)
1,225,000
1,426,817
Independent
Power
and
Renewable
Electricity
Producers
-
0.5%
Sunnova
Energy
International,
Inc.
0.25%,
12/1/2026
(2)(b)(c)
8,175,000
7,320,713
Interactive
Media
&
Services
-
1.3%
Eventbrite,
Inc.
0.75%,
9/15/2026
(2)(b)
7,400,000
6,486,100
Snap,
Inc.
0.00%,
5/1/2027
(2)(b)(c)
1,175,000
1,001,100
0.13%,
3/1/2028
(2)(b)(c)
11,097,000
11,024,869
18,512,069
Internet
&
Direct
Marketing
Retail
-
1.7%
Etsy,
Inc.
0.25%,
6/15/2028
(2)(b)(c)
5,725,000
5,086,662
Farfetch
Ltd.
(United
Kingdom)
3.75%,
5/1/2027
(2)(b)
4,175,000
5,412,888
Groupon,
Inc.
1.13%,
3/15/2026
(2)(b)(c)
4,250,000
3,348,018
Porch
Group,
Inc.
0.75%,
9/15/2026
(2)(b)(c)
3,400,000
2,252,500
Xometry
,
Inc.
1.00%,
2/1/2027
(2)(b)(c)
8,897,000
8,074,027
24,174,095
IT
Services
-
0.7%
Fastly
,
Inc.
0.00%,
3/15/2026
(2)(b)
2,975,000
2,220,838
Limelight
Networks,
Inc.
3.50%,
8/1/2025
(2)(b)
725,000
752,941
Repay
Holdings
Corp.
0.00%,
2/1/2026
(2)(b)(c)
8,300,000
6,905,600
9,879,379
Machinery
-
0.5%
Greenbrier
Cos.,
Inc.
(The)
2.88%,
4/15/2028
(2)(b)(c)
5,710,000
6,593,234
Media
-
1.1%
Cable
One,
Inc.
1.13%,
3/15/2028
(2)(b)
3,100,000
2,771,400
DISH
Network
Corp.
3.38%,
8/15/2026
(2)(b)
3,925,000
3,530,537
TechTarget
,
Inc.
0.00%,
12/15/2026
(2)(b)(c)
9,825,000
8,867,063
15,169,000
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Metals
&
Mining
-
0.1%
Ivanhoe
Mines
Ltd.
(Canada)
2.50%,
4/15/2026
(2)(b)(c)
$
575,000
818,225
Oil,
Gas
&
Consumable
Fuels
-
0.2%
Scorpio
Tankers,
Inc.
(Monaco)
3.00%,
5/15/2025
(2)(b)(c)
2,100,000
2,249,121
Pharmaceuticals
-
0.1%
Innoviva
,
Inc.
2.13%,
3/15/2028
(2)(b)(c)
1,091,000
1,088,818
Tilray
Brands,
Inc.
(Canada)
5.00%,
10/1/2023
(2)(b)
400,000
380,000
1,468,818
Real
Estate
Management
&
Development
-
0.5%
Opendoor
Technologies,
Inc.
0.25%,
8/15/2026
(2)(b)(c)
4,975,000
3,870,550
Realogy
Group
LLC
0.25%,
6/15/2026
(2)(b)(c)
425,000
387,281
Redfin
Corp.
0.50%,
4/1/2027
(2)(b)(c)
4,535,000
3,031,648
7,289,479
Software
-
0.8%
Avalara,
Inc.
0.25%,
8/1/2026
(2)(b)(c)
4,400,000
3,753,200
Five9,
Inc.
0.50%,
6/1/2025
(2)(b)
2,025,000
2,194,088
Marathon
Digital
Holdings,
Inc.
1.00%,
12/1/2026
(2)(b)(c)
6,855,000
4,836,202
Veritone
,
Inc.
1.75%,
11/15/2026
(2)(b)(c)
1,091,000
931,721
11,715,211
Technology
Hardware,
Storage
&
Peripherals
-
0.6%
3D
Systems
Corp.
0.00%,
11/15/2026
(2)(b)(c)
9,900,000
8,306,100
TOTAL
CONVERTIBLE
BONDS
(Cost
$232,881,084)
220,036,313
NO.
OF
RIGHTS
RIGHTS
-
0.0%
(a)
Biotechnology
-
0.0%
(a)
Ambit
Biosciences
Corp.,
CVR
(3)*(d)
146,272
124,403
Tobira
Therapeutics,
Inc.,
CVR
(3)*(d)
11,880
150,236
274,639
Capital
Markets
-
0.0%
(a)
Accretion
Acquisition
Corp.,
expiring
3/1/2028
*
202,180
32,349
Bannix
Acquisition
Corp.,
expiring
8/30/2026
(2)*
26,277
5,253
Benessere
Capital
Acquisition
Corp.,
expiring
12/23/2025
*
55,000
12,210
Blockchain
Moon
Acquisition
Corp.,
expiring
10/21/2026
(2)*
44,844
8,274
Breeze
Holdings
Acquisition
Corp.,
expiring
5/23/2022
*
55,000
7,700
Broad
Capital
Acquisition
Corp.,
expiring
1/13/2027
*
69,739
11,332
31
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
RIGHTS
VALUE
($)
Capital
Markets
-
0.0%
(a)
(continued)
Deep
Medicine
Acquisition
Corp.,
expiring
9/30/2028
*
152,927
27,496
Edoc
Acquisition
Corp.,
expiring
11/30/2027
(2)*
55,000
19,800
Financial
Strategies
Acquisition
Corp.,
expiring
1/7/2023
*
131,193
20,991
Fintech
Ecosystem
Development
Corp.,
expiring
1/4/2026
*
10,730
1,746
Globalink
Investment,
Inc.,
expiring
12/9/2026
*
74,843
12,050
Inception
Growth
Acquisition
Ltd.
(2)*
112,518
16,878
JUPITER
WELLNESS
ACQUISITION
Corp.,
expiring
5/26/2022
*
149,929
30,346
Mana
Capital
Acquisition
Corp.,
expiring
1/6/2024
*
39,048
7,810
NorthView
Acquisition
Corp.,
expiring
8/2/2027
(2)*
154,598
21,798
Pacifico
Acquisition
Corp.,
expiring
7/25/2026
(2)*
20,252
3,252
PHP
Ventures
Acquisition
Corp.,
expiring
8/11/2026
(2)*
29,400
5,421
ROC
Energy
Acquisition
Corp.,
expiring
11/30/2028
*
149,375
28,844
Welsbach
Technology
Metals
Acquisition
Corp.,
expiring
3/31/2023
*
9,289
1,486
275,036
TOTAL
RIGHTS
(Cost
$–)
549,675
NO.
OF
WARRANTS
WARRANTS
-
0.9%
Aerospace
&
Defense
-
0.0%
(a)
Archer
Aviation,
Inc.,
expiring
9/16/2026
*(b)
86,853
79,036
Auto
Components
-
0.0%
(a)
REE
Automotive
Ltd.,
expiring
7/22/2026
(Israel)
*
62,898
19,341
Solid
Power,
Inc.,
expiring
12/8/2026
*
26,575
63,249
82,590
Biotechnology
-
0.1%
180
Life
Sciences
Corp.,
expiring
11/7/2025
*
512,134
269,382
Celularity
,
Inc.,
expiring
7/16/2026
*
26,615
36,463
DermTech
,
Inc.,
expiring
8/29/2024
*
232,877
173,493
Ensysce
Biosciences,
Inc.,
expiring
2/1/2026
*
219,259
39,467
EQRx
,
Inc.,
expiring
12/20/2026
*
6,712
5,437
Gelesis
Holdings,
Inc.,
expiring
1/13/2027
*
91,023
20,480
544,722
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
26
Capital
Acquisition
Corp.,
expiring
12/31/2027
*
74,200
37,486
7GC
&
Co.
Holdings,
Inc.,
expiring
12/31/2026
(2)*
67,750
16,260
Accelerate
Acquisition
Corp.,
expiring
12/31/2027
*
156,666
60,363
Accretion
Acquisition
Corp.,
expiring
2/19/2023
*
101,090
17,286
Acropolis
Infrastructure
Acquisition
Corp.,
expiring
3/31/2026
*(b)
140,333
66,700
Adit
EdTech
Acquisition
Corp.,
expiring
12/31/2027
*(b)
41,250
18,563
Advanced
Merger
Partners,
Inc.,
expiring
6/30/2026
*(b)
13,733
8,366
Aequi
Acquisition
Corp.,
expiring
11/30/2027
(2)*
107,000
20,812
Aesther
Healthcare
Acquisition
Corp.,
expiring
1/19/2023
*
20,252
4,962
AF
Acquisition
Corp.,
expiring
3/31/2028
*
126,194
31,422
Alpha
Healthcare
Acquisition
Corp.
III,
expiring
4/12/2027
(2)*(b)
52,000
36,920
AltEnergy
Acquisition
Corp.,
expiring
2/6/2023
*
61,463
12,391
Altitude
Acquisition
Corp.,
expiring
11/30/2027
*(b)
96,300
16,159
AMCI
Acquisition
Corp.
II,
expiring
12/31/2028
*(b)
69,500
40,004
American
Acquisition
Opportunity,
Inc.,
expiring
5/28/2026
*(b)
58,500
8,775
Anzu
Special
Acquisition
Corp.
I,
expiring
12/31/2027
*(b)
68,889
16,533
Apeiron
Capital
Investment
Corp.,
expiring
6/24/2023
(2)*
54,024
9,184
Arbor
Rapha
Capital
Bioholdings
Corp.
I,
expiring
3/14/2023
*
47,678
9,059
Archimedes
Tech
SPAC
Partners
Co.,
expiring
12/31/2027
*
33,000
23,123
Arena
Fortify
Acquisition
Corp.,
expiring
12/31/2028
*
27,012
6,753
Argus
Capital
Corp.,
expiring
7/22/2023
*
30,741
13,286
Armada
Acquisition
Corp.
I,
expiring
1/2/2023
*
64,166
19,474
Arogo
Capital
Acquisition
Corp.,
expiring
3/23/2023
(2)*
96,774
15,426
Arrowroot
Acquisition
Corp.,
expiring
3/2/2026
*(b)
41,500
10,375
Artemis
Strategic
Investment
Corp.,
expiring
2/12/2023
*
102,400
35,451
Astrea
Acquisition
Corp.,
expiring
1/13/2026
(2)*(b)
41,333
7,031
32
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Athena
Consumer
Acquisition
Corp.,
expiring
7/20/2023
*
64,463
19,332
Athena
Technology
Acquisition
Corp.
II,
expiring
6/10/2023
(2)*
319,116
66,248
Athlon
Acquisition
Corp.,
expiring
3/5/2026
*(b)
41,333
10,329
Atlantic
Avenue
Acquisition
Corp.,
expiring
10/6/2027
*(b)
146,000
31,711
Atlantic
Coastal
Acquisition
Corp.,
expiring
12/31/2027
*(b)
228,472
42,884
Atlas
Crest
Investment
Corp.
II,
expiring
2/28/2026
*(b)
20,616
6,803
Ault
Disruptive
Technologies
Corp.,
expiring
6/20/2023
*
54,855
9,161
Aurora
Acquisition
Corp.,
expiring
12/31/2028
(United
Kingdom)
*
9,375
4,296
Authentic
Equity
Acquisition
Corp.,
expiring
12/31/2027
*(b)
41,266
12,632
Avalon
Acquisition,
Inc.,
expiring
2/26/2023
*
79,701
18,331
AxonPrime
Infrastructure
Acquisition
Corp.,
expiring
7/8/2023
*
78,055
35,125
B
Riley
Principal
150
Merger
Corp.,
expiring
3/1/2028
*
27,777
25,002
B
Riley
Principal
250
Merger
Corp.,
expiring
12/31/2027
*
117,289
58,656
Banner
Acquisition
Corp.,
expiring
1/15/2023
*
20,196
8,478
Bannix
Acquisition
Corp.,
expiring
2/19/2023
*
26,277
6,175
Beard
Energy
Transition
Acquisition
Corp.,
expiring
12/31/2027
(2)*
74,755
23,922
Belong
Acquisition
Corp.,
expiring
12/31/2027
*
64,000
19,194
Benessere
Capital
Acquisition
Corp.,
expiring
12/31/2027
*
41,250
21,302
Berenson
Acquisition
Corp.
I,
expiring
8/1/2026
*
15,392
4,156
Better
World
Acquisition
Corp.,
expiring
11/15/2027
*
49,500
7,925
Big
Sky
Growth
Partners,
Inc.,
expiring
2/26/2023
*
83,121
36,482
Bilander
Acquisition
Corp.,
expiring
12/31/2027
*
60,416
30,208
Bite
Acquisition
Corp.,
expiring
12/31/2027
*
41,600
14,560
Black
Mountain
Acquisition
Corp.,
expiring
10/15/2027
*
183,774
49,619
Blockchain
Moon
Acquisition
Corp.,
expiring
3/23/2024
(2)*
44,844
9,861
BOA
Acquisition
Corp.,
expiring
2/22/2028
*
27,321
7,377
Breeze
Holdings
Acquisition
Corp.,
expiring
5/25/2027
*
55,000
11,550
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Bright
Lights
Acquisition
Corp.,
expiring
12/31/2027
*
32,000
17,920
Broadscale
Acquisition
Corp.,
expiring
2/2/2026
*
20,666
12,300
Build
Acquisition
Corp.,
expiring
4/29/2023
*
135,000
36,917
BurTech
Acquisition
Corp.,
expiring
8/19/2023
*
447,209
63,056
Canna-Global
Acquisition
Corp.,
expiring
2/9/2023
*
188,580
26,665
Carney
Technology
Acquisition
Corp.
II,
expiring
11/30/2027
*
163,143
57,100
Cascade
Acquisition
Corp.,
expiring
11/30/2027
*
103,250
18,172
Cascadia
Acquisition
Corp.,
expiring
2/5/2023
*
60,303
22,312
CC
Neuberger
Principal
Holdings
II,
expiring
7/29/2025
*
127,050
127,050
CENAQ
Energy
Corp.,
expiring
12/31/2027
*
105,000
19,845
CF
Acquisition
Corp.
IV,
expiring
12/14/2025
*
78,500
31,400
CF
Acquisition
Corp.
VI,
expiring
2/18/2028
*
27,750
94,350
CF
Acquisition
Corp.
VII,
expiring
3/15/2026
*
48,764
29,254
CF
Acquisition
Corp.
VIII,
expiring
12/31/2027
*
48,500
16,005
CHP
Merger
Corp.,
expiring
11/22/2024
*
125,000
21,575
Churchill
Capital
Corp.
V,
expiring
10/29/2027
*
10,350
6,313
Churchill
Capital
Corp.
VI,
expiring
12/31/2027
*
16,600
10,455
Churchill
Capital
Corp.
VII,
expiring
2/29/2028
*
16,600
9,960
CIIG
Capital
Partners
II,
Inc.,
expiring
2/28/2028
*
70,884
26,936
Clarim
Acquisition
Corp.,
expiring
12/31/2027
*
59,111
13,596
Class
Acceleration
Corp.,
expiring
3/31/2028
*
41,666
7,712
Climate
Real
Impact
Solutions
II
Acquisition
Corp.,
expiring
12/31/2027
*
16,647
7,658
Colicity
,
Inc.,
expiring
12/31/2027
*
22,909
8,935
Colombier
Acquisition
Corp.,
expiring
12/31/2028
*
78,300
21,928
Compute
Health
Acquisition
Corp.,
expiring
12/31/2027
*
23,100
11,203
Concord
Acquisition
Corp.,
expiring
11/28/2025
*
190,333
226,496
Concord
Acquisition
Corp.
II,
expiring
12/31/2028
(2)*
95,464
56,887
Concord
Acquisition
Corp.
III,
expiring
12/31/2028
*
215,234
83,705
33
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Conx
Corp.,
expiring
10/30/2027
*
92,500
38,850
Conyers
Park
III
Acquisition
Corp.,
expiring
8/12/2028
*
161,500
82,526
Corner
Growth
Acquisition
Corp.,
expiring
12/31/2027
*
110,400
26,054
Crixus
BH3
Acquisition
Co.,
expiring
11/23/2026
*
42,289
16,408
Crucible
Acquisition
Corp.,
expiring
12/26/2025
*
26,565
9,284
D
&
Z
Media
Acquisition
Corp.,
expiring
12/31/2027
*
27,453
8,236
Data
Knights
Acquisition
Corp.,
expiring
12/31/2028
*
50,667
9,120
Delwinds
Insurance
Acquisition
Corp.,
expiring
8/1/2027
*
47,500
14,250
DHB
Capital
Corp.,
expiring
3/15/2028
*
49,333
16,280
DiamondHead
Holdings
Corp.,
expiring
1/28/2028
*
20,700
7,038
Digital
Health
Acquisition
Corp.,
expiring
10/14/2023
*
71,745
12,111
Digital
Transformation
Opportunities
Corp.,
expiring
3/31/2028
*
20,733
8,225
DILA
Capital
Acquisition
Corp.,
expiring
12/31/2028
*
61,667
20,350
Direct
Selling
Acquisition
Corp.,
expiring
11/23/2023
*
51,291
12,823
dMY
Technology
Group,
Inc.
VI,
expiring
6/25/2023
*
41,091
28,357
DPCM
Capital,
Inc.,
expiring
10/14/2027
*
127,866
85,734
DTRT
Health
Acquisition
Corp.,
expiring
11/12/2022
*
60,408
12,686
Dune
Acquisition
Corp.,
expiring
10/29/2027
*
22,884
5,037
E.Merge
Technology
Acquisition
Corp.,
expiring
7/30/2025
*
121,666
20,683
East
Resources
Acquisition
Co.,
expiring
7/1/2027
*
219,000
50,370
Edify
Acquisition
Corp.,
expiring
12/31/2027
*
41,550
7,882
Edoc
Acquisition
Corp.,
expiring
11/30/2027
*
55,000
6,485
EdtechX
Holdings
Acquisition
Corp.
II,
expiring
6/15/2027
*
40,875
5,465
EG
Acquisition
Corp.,
expiring
5/28/2028
*
155,666
35,803
Empowerment
&
Inclusion
Capital
I
Corp.,
expiring
12/31/2027
*
58,119
11,043
Epiphany
Technology
Acquisition
Corp.,
expiring
12/31/2027
*
65,416
22,196
EQ
Health
Acquisition
Corp.,
expiring
2/2/2028
*
43,828
15,064
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Equity
Distribution
Acquisition
Corp.,
expiring
9/9/2025
*
94,933
38,429
Everest
Consolidator
Acquisition
Corp.,
expiring
7/19/2023
*
65,508
13,102
Evo
Acquisition
Corp.,
expiring
12/31/2027
*
9,660
1,642
ExcelFin
Acquisition
Corp.,
expiring
7/5/2023
*
67,393
22,907
Executive
Network
Partnering
Corp.,
expiring
9/25/2028
*
95,000
29,792
Fast
Acquisition
Corp.,
expiring
8/25/2027
*
44,033
66,049
FAST
Acquisition
Corp.
II,
expiring
3/16/2026
*
24,250
8,015
Figure
Acquisition
Corp.
I,
expiring
12/31/2027
*
29,700
20,965
Financial
Strategies
Acquisition
Corp.,
expiring
3/31/2028
*
131,193
22,277
FinServ
Acquisition
Corp.
II,
expiring
2/17/2026
*
20,791
6,653
Fintech
Acquisition
Corp.
V,
expiring
10/31/2025
*
33,727
31,646
FinTech
Acquisition
Corp.
VI,
expiring
12/31/2027
(2)*
37,676
18,838
Fintech
Ecosystem
Development
Corp.,
expiring
12/31/2028
*
5,365
1,019
First
Light
Acquisition
Group,
Inc.,
expiring
10/7/2023
*
20,232
7,281
First
Reserve
Sustainable
Growth
Corp.,
expiring
12/31/2027
*
20,625
6,371
Flame
Acquisition
Corp.,
expiring
12/31/2028
*
65,866
19,101
Focus
Impact
Acquisition
Corp.,
expiring
4/23/2023
*
50,975
14,018
Forest
Road
Acquisition
Corp.
II,
expiring
1/15/2026
*
16,622
7,267
Fortistar
Sustainable
Solutions
Corp.,
expiring
12/31/2027
(2)*
22,283
6,921
Fortress
Value
Acquisition
Corp.
III,
expiring
12/31/2027
*
15,939
7,013
Fortress
Value
Acquisition
Corp.
IV,
expiring
3/18/2028
*
36,166
19,168
Fortune
Rise
Acquisition
Corp.,
expiring
11/26/2023
*
49,324
11,966
Forum
Merger
IV
Corp.,
expiring
12/31/2027
*
117,500
53,756
FoxWayne
Enterprises
Acquisition
Corp.,
expiring
12/31/2026
*
34,500
2,412
FTAC
Parnassus
Acquisition
Corp.,
expiring
3/10/2026
*
44,034
16,530
FTAC
Zeus
Acquisition
Corp.,
expiring
12/31/2027
*
127,515
46,849
34
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Fusion
Acquisition
Corp.
II,
expiring
12/31/2027
*
27,666
5,569
Future
Health
ESG
Corp.,
expiring
2/19/2023
*
45,911
18,061
G&P
Acquisition
Corp.,
expiring
3/5/2027
*
161,666
26,303
Gaming
&
Hospitality
Acquisition
Corp.,
expiring
2/4/2028
(2)*
8,207
2,216
Gardiner
Healthcare
Acquisitions
Corp.,
expiring
7/11/2024
*
52,651
10,393
GigCapital5,
Inc.,
expiring
12/31/2028
*
123,100
27,759
GigInternational1,
Inc.,
expiring
12/31/2028
*
149,500
53,730
Gladstone
Acquisition
Corp.,
expiring
12/31/2027
*
69,500
22,935
Glass
Houses
Acquisition
Corp.,
expiring
12/31/2027
*
68,833
23,389
Glenfarne
Merger
Corp.,
expiring
12/31/2027
*
54,888
17,399
Global
Consumer
Acquisition
Corp.,
expiring
12/31/2027
*
106,500
26,412
Globalink
Investment,
Inc.,
expiring
8/19/2023
*
74,843
8,233
GO
Acquisition
Corp.,
expiring
8/31/2027
*
189,866
34,176
Goal
Acquisitions
Corp.,
expiring
2/11/2026
*
84,630
25,389
Golden
Arrow
Merger
Corp.,
expiring
7/31/2026
(2)*
131,733
32,248
Golden
Falcon
Acquisition
Corp.,
expiring
11/4/2026
*
64,925
17,536
Good
Works
II
Acquisition
Corp.,
expiring
2/1/2028
*
126,000
28,993
Gores
Holdings
VII,
Inc.,
expiring
12/31/2027
(2)*
10,416
8,482
Gores
Holdings
VIII,
Inc.,
expiring
12/31/2027
*
10,416
13,645
Gores
Technology
Partners
II,
Inc.,
expiring
12/31/2027
*
16,613
12,407
Gores
Technology
Partners,
Inc.,
expiring
12/31/2027
(2)*
16,560
12,917
Graf
Acquisition
Corp.
IV,
expiring
5/31/2028
(2)*
73,000
44,289
Group
Nine
Acquisition
Corp.,
expiring
1/14/2026
(2)*
27,604
7,729
GX
Acquisition
Corp.
II,
expiring
12/31/2028
*
137,666
38,546
Hamilton
Lane
Alliance
Holdings
I,
Inc.,
expiring
1/8/2026
*
27,583
7,447
Hawks
Acquisition
Corp.,
expiring
1/29/2023
*
37,175
8,848
Haymaker
Acquisition
Corp.
III,
expiring
2/12/2027
*
20,786
11,432
Health
Assurance
Acquisition
Corp.,
expiring
11/12/2025
*
95,166
48,535
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Healthcare
Services
Acquisition
Corp.,
expiring
12/31/2027
*
55,650
19,472
Healthwell
Acquisition
Corp.
I,
expiring
8/5/2028
(2)*
139,600
46,068
Hennessy
Capital
Investment
Corp.
V,
expiring
1/11/2026
*
20,630
8,262
Hennessy
Capital
Investment
Corp.
VI,
expiring
12/31/2027
(3)*(d)
232,490
111,618
Home
Plate
Acquisition
Corp.,
expiring
3/3/2023
(2)*
20,508
6,561
Hudson
Executive
Investment
Corp.
II,
expiring
1/31/2027
*
20,775
7,768
Hudson
Executive
Investment
Corp.
III,
expiring
12/31/2028
*
41,333
16,331
HumanCo
Acquisition
Corp.,
expiring
12/31/2027
*
33,563
10,740
IG
Acquisition
Corp.,
expiring
10/5/2027
*
182,500
58,400
Ignyte
Acquisition
Corp.,
expiring
12/31/2027
(2)*
17,500
6,389
Inception
Growth
Acquisition
Ltd.,
expiring
5/8/2023
*
56,259
12,771
Industrial
Human
Capital,
Inc.,
expiring
12/31/2028
*
89,858
16,174
Insight
Acquisition
Corp.,
expiring
2/11/2023
*
25,170
8,306
INSU
Acquisition
Corp.
III,
expiring
12/31/2026
*
24,733
4,947
Integral
Acquisition
Corp.
1,
expiring
12/14/2028
*
53,808
21,518
Integrated
Rail
and
Resources
Acquisition
Corp.,
expiring
5/21/2023
*
54,219
17,778
Intelligent
Medicine
Acquisition
Corp.,
expiring
1/13/2023
*
62,785
17,454
InterPrivate
II
Acquisition
Corp.,
expiring
12/31/2028
*
16,500
9,075
InterPrivate
III
Financial
Partners,
Inc.,
expiring
12/31/2027
*
16,500
11,057
InterPrivate
IV
InfraTech
Partners,
Inc.,
expiring
12/31/2027
*
16,600
8,300
Isleworth
Healthcare
Acquisition
Corp.,
expiring
8/2/2027
*
64,666
10,741
Jackson
Acquisition
Co.,
expiring
12/31/2028
(2)*
183,961
36,792
Jaws
Hurricane
Acquisition
Corp.,
expiring
2/23/2023
*
34,250
25,687
JOFF
Fintech
Acquisition
Corp.,
expiring
12/31/2027
*
27,727
7,234
Juniper
II
Corp.,
expiring
12/31/2028
*
53,808
21,900
Jupiter
Acquisition
Corp.,
expiring
8/25/2022
*
105,000
34,629
35
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Kadem
Sustainable
Impact
Corp.,
expiring
3/16/2026
*
151,547
26,127
Kingswood
Acquisition
Corp.,
expiring
5/1/2027
*
112,062
15,677
KINS
Technology
Group,
Inc.,
expiring
12/31/2025
*
78,500
10,990
KKR
Acquisition
Holdings
I
Corp.,
expiring
12/31/2027
*
31,000
20,460
KL
Acquisition
Corp.,
expiring
1/12/2028
(2)*
26,355
6,120
KludeIn
I
Acquisition
Corp.,
expiring
7/8/2027
*
28,833
4,322
Landcadia
Holdings
IV,
Inc.,
expiring
12/31/2028
*
84,500
40,568
Larkspur
Health
Acquisition
Corp.,
expiring
5/17/2023
*
39,393
6,780
LAVA
Medtech
Acquisition
Corp.,
expiring
4/1/2023
*
31,732
11,103
Learn
CW
Investment
Corp.,
expiring
12/31/2028
*
13,352
4,139
Lefteris
Acquisition
Corp.,
expiring
10/23/2025
*
185,333
47,445
Legato
Merger
Corp.
II,
expiring
2/5/2023
*
77,207
28,320
LF
Capital
Acquisition
Corp.
II,
expiring
1/7/2026
*
54,396
10,335
Liberty
Media
Acquisition
Corp.,
expiring
12/31/2027
*
5,355
3,588
LightJump
Acquisition
Corp.,
expiring
12/31/2027
*
27,000
7,290
Lionheart
Acquisition
Corp.
II,
expiring
2/14/2026
*
299,040
121,620
Lionheart
III
Corp.,
expiring
3/19/2023
*
44,840
13,004
Live
Oak
Crestview
Climate
Acquisition
Corp.,
expiring
3/12/2026
*
54,710
28,449
Live
Oak
Mobility
Acquisition
Corp.,
expiring
3/4/2028
*
17,760
7,980
LMF
Acquisition
Opportunities,
Inc.,
expiring
1/31/2027
*
27,333
5,655
Logistics
Innovation
Technologies
Corp.,
expiring
6/15/2028
*
81,857
29,477
Longview
Acquisition
Corp.
II,
expiring
5/10/2026
*
37,000
15,529
Lux
Health
Tech
Acquisition
Corp.,
expiring
11/30/2027
*
166,856
70,063
M3-Brigade
Acquisition
II
Corp.,
expiring
12/31/2027
(2)*
413,333
139,087
M3-Brigade
Acquisition
III
Corp.,
expiring
5/11/2023
*
149,671
37,238
Mana
Capital
Acquisition
Corp.,
expiring
12/1/2026
*
19,524
3,905
Maquia
Capital
Acquisition
Corp.,
expiring
12/31/2027
*
113,500
22,416
Marblegate
Acquisition
Corp.,
expiring
12/9/2022
*
573,387
177,750
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Mason
Industrial
Technology,
Inc.,
expiring
12/31/2027
*
50,518
16,666
Maxpro
Capital
Acquisition
Corp.,
expiring
1/22/2023
*
9,347
2,056
McLaren
Technology
Acquisition
Corp.,
expiring
3/3/2023
(2)*
89,681
18,833
MDH
Acquisition
Corp.,
expiring
2/2/2028
*
42,000
6,640
MedTech
Acquisition
Corp.,
expiring
12/18/2025
*
45,166
11,436
Mercato
Partners
Acquisition
Corp.,
expiring
12/28/2026
*
71,745
22,958
Minority
Equality
Opportunities
Acquisition,
Inc.,
expiring
4/29/2023
*
40,202
7,634
Mission
Advancement
Corp.,
expiring
12/31/2028
*
37,000
8,458
Monterey
Bio
Acquisition
Corp.,
expiring
6/7/2023
*
8,700
1,887
Monument
Circle
Acquisition
Corp.,
expiring
12/31/2027
*
41,375
9,185
Mount
Rainier
Acquisition
Corp.,
expiring
12/4/2022
*
84,937
20,385
Mudrick
Capital
Acquisition
Corp.
II,
expiring
9/10/2027
*
119,007
49,983
Music
Acquisition
Corp.
(The),
expiring
2/5/2028
*
23,325
5,183
Nabors
Energy
Transition
Corp.,
expiring
6/8/2023
*
127,094
48,283
New
Providence
Acquisition
Corp.
II,
expiring
12/31/2027
*
41,859
13,784
Newbury
Street
Acquisition
Corp.,
expiring
12/31/2027
*
88,000
23,461
NewHold
Investment
Corp.
II,
expiring
10/21/2023
*
67,366
18,068
NightDragon
Acquisition
Corp.,
expiring
12/31/2027
*
16,666
8,000
North
Mountain
Merger
Corp.,
expiring
9/16/2025
*
77,010
20,793
Northern
Genesis
Acquisition
Corp.
III,
expiring
12/31/2027
(2)*
57,500
27,600
Northern
Lights
Acquisition
Corp.,
expiring
12/2/2022
*
45,666
10,047
Northern
Star
Investment
Corp.
II,
expiring
1/31/2028
*
16,500
6,991
Northern
Star
Investment
Corp.
III,
expiring
2/25/2028
*
13,777
6,060
Northern
Star
Investment
Corp.
IV,
expiring
12/31/2027
*
13,777
6,405
NorthView
Acquisition
Corp.,
expiring
10/21/2023
*
77,299
14,679
OCA
Acquisition
Corp.,
expiring
12/31/2027
*
55,769
8,923
OceanTech
Acquisitions
I
Corp.,
expiring
5/10/2026
*
104,000
14,550
36
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Omnichannel
Acquisition
Corp.,
expiring
12/30/2027
*
285,500
51,990
OmniLit
Acquisition
Corp.,
expiring
11/8/2026
*
40,496
9,557
One
Equity
Partners
Open
Water
I
Corp.,
expiring
12/31/2027
*
27,441
9,056
OPY
Acquisition
Corp.
I,
expiring
4/8/2023
*
41,286
16,514
Orion
Acquisition
Corp.,
expiring
2/19/2026
*
20,833
6,458
Osiris
Acquisition
Corp.,
expiring
5/1/2028
*
254,000
60,935
OTR
Acquisition
Corp.,
expiring
12/31/2025
*
54,347
11,413
Oyster
Enterprises
Acquisition
Corp.,
expiring
12/31/2027
*
41,500
9,840
Parabellum
Acquisition
Corp.,
expiring
3/26/2023
*
24,278
5,586
Parsec
Capital
Acquisitions
Corp.,
expiring
1/8/2023
*
12,741
2,918
Periphas
Capital
Partnering
Corp.,
expiring
12/10/2028
*
19,041
14,113
Pershing
Square
Tontine
Holdings
Ltd.,
expiring
7/24/2025
*
22,500
21,150
Phoenix
Biotech
Acquisition
Corp.,
expiring
9/1/2026
*
106,172
23,092
PHP
Ventures
Acquisition
Corp.,
expiring
12/4/2023
*
14,700
3,043
Pine
Island
Acquisition
Corp.,
expiring
10/29/2027
*
190,333
91,607
Pine
Technology
Acquisition
Corp.,
expiring
3/31/2028
*
213,333
47,829
Pivotal
Investment
Corp.
III,
expiring
12/31/2027
*
16,566
7,649
PMV
Consumer
Acquisition
Corp.,
expiring
8/31/2027
(2)*
146,000
37,960
Pono
Capital
Corp.,
expiring
12/16/2022
*
89,775
21,348
Population
Health
Investment
Co.,
Inc.,
expiring
10/1/2025
*
38,400
9,819
Post
Holdings
Partnering
Corp.,
expiring
2/9/2023
*
64,630
36,361
Power
&
Digital
Infrastructure
Acquisition
II
Corp.,
expiring
12/14/2024
*
159,558
63,823
Priveterra
Acquisition
Corp.,
expiring
12/31/2027
(2)*
31,100
9,330
Progress
Acquisition
Corp.,
expiring
12/31/2027
*
41,500
10,130
PROOF
Acquisition
Corp.
I,
expiring
12/3/2023
(2)*
75,432
21,121
Property
Solutions
Acquisition
Corp.
II,
expiring
3/1/2026
*
74,100
20,377
PropTech
Investment
Corp.
II,
expiring
12/31/2027
(2)*
57,659
14,997
PWP
Forward
Acquisition
Corp.
I,
expiring
3/9/2026
*
32,333
10,993
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Recharge
Acquisition
Corp.,
expiring
10/5/2027
*
139,000
33,332
Revolution
Healthcare
Acquisition
Corp.,
expiring
12/31/2028
*
16,506
7,426
Rosecliff
Acquisition
Corp.
I,
expiring
12/31/2027
*
27,555
5,098
Roth
Ch
Acquisition
IV
Co.,
expiring
1/9/2023
*
49,182
13,284
Roth
CH
Acquisition
V
Co.,
expiring
5/24/2023
*
14,143
5,656
RXR
Acquisition
Corp.,
expiring
3/8/2026
*
18,500
8,325
Sandbridge
X2
Corp.,
expiring
12/31/2027
(2)*
27,500
12,658
Schultze
Special
Purpose
Acquisition
Corp.
II,
expiring
3/25/2028
*
31,865
11,150
Science
Strategic
Acquisition
Corp.
Alpha,
expiring
12/31/2027
*
27,494
6,060
SCP
&
CO
Healthcare
Acquisition
Co.,
expiring
1/27/2028
(2)*
41,562
8,317
Seaport
Calibre
Materials
Acquisition
Corp.,
expiring
1/19/2023
*
22,683
5,970
Seaport
Global
Acquisition
II
Corp.,
expiring
11/1/2023
*
40,848
13,443
Senior
Connect
Acquisition
Corp.
I,
expiring
12/31/2027
*
78,500
14,130
Shelter
Acquisition
Corp.
I,
expiring
12/31/2027
*
98,333
34,417
ShoulderUp
Technology
Acquisition
Corp.,
expiring
7/26/2023
*
108,870
37,016
Sierra
Lake
Acquisition
Corp.,
expiring
3/31/2028
*
40,505
9,891
Silver
Spike
Acquisition
Corp.
II,
expiring
2/26/2026
*
20,000
6,200
Simon
Property
Group
Acquisition
Holdings,
Inc.,
expiring
2/4/2026
*
16,600
7,799
Sizzle
Acquisition
Corp.,
expiring
3/12/2026
(3)*(d)
35,872
5,740
Social
Leverage
Acquisition
Corp.
I,
expiring
12/31/2027
*
20,666
8,266
Software
Acquisition
Group,
Inc.
III,
expiring
12/31/2027
*
92,500
22,422
Southport
Acquisition
Corp.,
expiring
5/24/2023
(2)*
182,986
49,772
Spindletop
Health
Acquisition
Corp.,
expiring
12/31/2028
(2)*
62,776
14,062
SportsMap
Tech
Acquisition
Corp.,
expiring
9/1/2027
*
64,363
15,962
SportsTek
Acquisition
Corp.,
expiring
12/31/2027
*
68,700
12,435
37
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Springwater
Special
Situations
Corp.,
expiring
4/12/2026
*
20,106
8,038
Stratim
Cloud
Acquisition
Corp.,
expiring
3/5/2026
*
148,000
29,837
Sustainable
Development
Acquisition
I
Corp.,
expiring
12/31/2028
*
41,836
12,530
Tailwind
Acquisition
Corp.,
expiring
9/7/2027
*
313,280
53,258
Tastemaker
Acquisition
Corp.,
expiring
12/31/2025
*
72,083
16,168
TCW
Special
Purpose
Acquisition
Corp.,
expiring
12/31/2028
*
136,813
44,122
Tech
and
Energy
Transition
Corp.,
expiring
12/31/2027
*
123,333
34,533
TG
Venture
Acquisition
Corp.,
expiring
8/13/2023
*
215,235
44,661
Thunder
Bridge
Capital
Partners
III,
Inc.,
expiring
2/15/2028
*
16,818
8,967
Thunder
Bridge
Capital
Partners
IV,
Inc.,
expiring
3/12/2023
*
64,400
42,375
Tishman
Speyer
Innovation
Corp.
II,
expiring
12/31/2027
*
16,633
6,321
TLG
Acquisition
One
Corp.,
expiring
1/25/2028
*
27,727
5,493
Trajectory
Alpha
Acquisition
Corp.,
expiring
12/31/2027
(3)*(d)
54,960
16,983
Tribe
Capital
Growth
Corp.
I,
expiring
3/5/2026
*
63,888
32,583
Tuscan
Holdings
Corp.
II,
expiring
7/16/2025
*
95,000
47,500
Twelve
Seas
Investment
Co.
II,
expiring
3/2/2028
*
32,933
8,233
USHG
Acquisition
Corp.,
expiring
12/31/2028
*
27,533
31,043
VectoIQ
Acquisition
Corp.
II,
expiring
12/31/2027
*
31,400
14,309
Velocity
Acquisition
Corp.,
expiring
2/26/2027
*
27,541
9,119
Vision
Sensing
Acquisition
Corp.,
expiring
3/24/2023
*
38,412
8,063
VMG
Consumer
Acquisition
Corp.,
expiring
7/3/2023
*
90,393
33,445
VPC
Impact
Acquisition
Holdings
II,
expiring
12/31/2027
*
26,666
8,426
Warburg
Pincus
Capital
Corp.
I-B,
expiring
3/9/2026
*
12,000
5,400
Warrior
Technologies
Acquisition
Co.,
expiring
3/31/2028
*
41,416
10,354
Williams
Rowland
Acquisition
Corp.,
expiring
12/25/2022
*
115,833
30,117
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.6%
(continued)
Zanite
Acquisition
Corp.,
expiring
10/8/2025
*
128,400
82,189
Z-Work
Acquisition
Corp.,
expiring
1/4/2026
*
27,555
7,263
7,472,080
Consumer
Finance
-
0.0%
(a)
Katapult
Holdings,
Inc.,
expiring
12/31/2026
*
37,503
12,376
Moneylion
,
Inc.,
expiring
9/22/2026
*
171,982
66,024
78,400
Diversified
Consumer
Services
-
0.1%
OneSpaWorld
Holdings
Ltd.,
expiring
3/19/2024
(Bahamas)
*
181,241
543,723
Electrical
Equipment
-
0.0%
(a)
Eos
Energy
Enterprises,
Inc.,
expiring
5/6/2026
*
118,304
128,951
Fusion
Fuel
Green
plc,
expiring
12/10/2025
(Ireland)
*
21,154
51,616
Heliogen
,
Inc.,
expiring
3/31/2028
*
3,638
4,475
185,042
Electronic
Equipment,
Instruments
&
Components
-
0.0%
(a)
Arbe
Robotics
Ltd.,
expiring
10/7/2026
(Israel)
*
29,931
27,731
Cepton
,
Inc.,
expiring
2/10/2027
*
11,281
5,528
Evolv
Technologies
Holdings,
Inc.,
expiring
7/16/2026
*
2,557
965
Innoviz
Technologies
Ltd.,
expiring
4/5/2026
(Israel)
*
136,681
139,414
Velodyne
Lidar,
Inc.,
expiring
9/29/2025
*
130,162
134,718
308,356
Energy
Equipment
&
Services
-
0.0%
(a)
National
Energy
Services
Reunited
Corp.,
expiring
6/6/2023
(3)*(d)
320,120
352,132
Entertainment
-
0.0%
(a)
Anghami
,
Inc.,
expiring
2/3/2027
*
5,476
3,257
Health
Care
Equipment
&
Supplies
-
0.0%
(a)
Alpha
Tau
Medical
Ltd.,
expiring
3/7/2027
(Israel)
*
4,004
2,442
Health
Care
Providers
&
Services
-
0.0%
(a)
DocGo
,
Inc.,
expiring
10/2/2027
*
75,364
159,772
P3
Health
Partners,
Inc.,
expiring
11/19/2026
*
2,247
3,595
163,367
38
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
0.0%
(a)
Codere
Online
Luxembourg
SA,
expiring
12/30/2026
(Luxembourg)
*
16,207
9,076
Hall
of
Fame
Resort
&
Entertainment
Co.,
expiring
7/1/2025
*
135,100
33,842
Super
Group
SGHC
Ltd.,
expiring
10/30/2025
(Guernsey)
*
44,891
129,062
171,980
Household
Durables
-
0.0%
(a)
Landsea
Homes
Corp.,
expiring
1/7/2026
*
188,018
43,244
Household
Products
-
0.0%
(a)
Greenrose
Holding
Co.,
Inc.
(The),
expiring
8/11/2026
*
53,175
12,762
Insurance
-
0.0%
(a)
International
General
Insurance
Holdings
Ltd.,
expiring
3/17/2025
(Jordan)
*
194,273
141,800
Sagicor
Financial
Co.
Ltd.,
expiring
12/5/2024
(Canada)
*
144,500
11,558
153,358
Interactive
Media
&
Services
-
0.0%
(a)
Leafly
Holdings,
Inc.,
expiring
11/7/2026
*
53,513
69,567
Internet
&
Direct
Marketing
Retail
-
0.0%
(a)
BARK,
Inc.,
expiring
8/29/2025
*
201,430
130,285
IT
Services
-
0.1%
American
Virtual
Cloud
Technologies,
Inc.,
expiring
4/7/2025
*(b)
178,863
23,252
Exela
Technologies,
Inc.,
expiring
7/12/2022
*
23,653
592
Verra
Mobility
Corp.,
expiring
10/17/2023
*
106,433
638,598
662,442
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.0%
(a)
Broadmark
Realty
Capital,
Inc.,
expiring
11/15/2024
*
272,289
24,234
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Brooge
Energy
Ltd.,
expiring
12/20/2024
(United
Arab
Emirates)
*
86,647
32,839
Falcon
Minerals
Corp.,
expiring
8/23/2023
*
403,883
138,774
NextDecade
Corp.,
expiring
7/24/2022
*
531,200
100,716
NextDecade
Corp.,
expiring
7/24/2022
*
546,520
103,620
375,949
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Pharmaceuticals
-
0.0%
(a)
4d
pharma
plc,
expiring
3/9/2026
(United
Kingdom)
*
63,026
22,633
Reviva
Pharmaceuticals
Holdings,
Inc.,
expiring
12/25/2025
*
102,990
25,747
48,380
Professional
Services
-
0.0%
(a)
Otonomo
Technologies
Ltd.,
expiring
8/13/2026
(Israel)
*
259,191
41,471
Real
Estate
Management
&
Development
-
0.0%
(a)
Doma
Holdings,
Inc.,
expiring
7/28/2026
*
59,900
20,863
Offerpad
Solutions,
Inc.,
expiring
9/1/2026
*
85,054
68,894
89,757
Software
-
0.0%
(a)
GTY
Technology
Holdings,
Inc.,
expiring
2/19/2024
(2)*
153,681
31,197
NextNav
,
Inc.,
expiring
10/31/2027
*
88,505
168,160
Rimini
Street,
Inc.,
expiring
10/10/2022
*
360,440
39,612
238,969
Specialty
Retail
-
0.0%
(a)
Kaixin
Auto
Holdings,
expiring
4/30/2024
(Hong
Kong)
*
57,999
1,757
LXRandCo
,
Inc.,
expiring
6/9/2022
(Canada)
(3)*(d)
776,000
3,104
4,861
Technology
Hardware,
Storage
&
Peripherals
-
0.0%
(a)
CompoSecure
,
Inc.,
expiring
10/31/2025
*
162,826
257,265
Trading
Companies
&
Distributors
-
0.0%
(a)
Custom
Truck
One
Source,
Inc.,
expiring
1/1/2025
*
6,160
13,552
Transportation
Infrastructure
-
0.0%
(a)
Sky
Harbour
Group
Corp.,
expiring
10/21/2025
*
64,264
97,039
Wireless
Telecommunication
Services
-
0.0%
(a)
Starry
Group
Holdings,
Inc.,
expiring
9/26/2025
*
89,630
78,874
TOTAL
WARRANTS
(Cost
$2,419,839)
12,329,136
39
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
NO.
OF
UNITS
VALUE
($)
SECURITIES
IN
LITIGATION
-
0.0%
(a)
Health
Care
Equipment
&
Supplies
-
0.0%
(a)
DEMC
Ltd.,
Class
A
(acquired
1/24/2014
-
10/29/2015,
Cost
$129,686)
(3)*(d)(e)
12,969
DEMC
Ltd.,
Class
A-2
(acquired
3/10/2016
-
12/18/2018,
Cost
$369,930)
(3)*(d)(e)
368,190,309
DEMC
Ltd.,
Class
A-3
(acquired
8/6/2019
-
7/16/2021,
Cost
$293,744)
(3)*(d)(e)
292,030,544,028
DEMC
Ltd.,
Class
A-4
(acquired
1/31/2022,
Cost
$4,032)
(3)*(d)(e)
40,321,771,424,070
DEMC
Ltd.,
Class
B
(acquired
1/27/2014,
Cost
$11)
(3)*(d)(e)
10,488
DEMC
Ltd.,
Class
B-2
(acquired
4/12/2017,
Cost
$–)
(3)*(d)(e)
513,897,326
514
DEMC
Ltd.,
Class
B-3
(acquired
9/5/2019,
Cost
$–)
(3)*(d)(e)
489,352,292,604
DEMC
Ltd.,
Class
B-4
(acquired
1/31/2022,
Cost
$–)
(3)*(d)(e)
40,321,771,424,070
TOTAL
SECURITIES
IN
LITIGATION
(Cost
$797,403)
514
UNITS
-
6.1%
Capital
Markets
-
6.1%
Achari
Ventures
Holdings
Corp.
I
(2)*
42,909
431,235
Ackrell
Spac
Partners
I
Co.
(2)*
73,575
759,294
Aetherium
Acquisition
Corp.
(2)*
175,712
1,748,334
Alpine
Acquisition
Corp.
(2)*
30,206
305,383
Alset
Capital
Acquisition
Corp.
*
122,497
1,243,345
Archimedes
Tech
SPAC
Partners
Co.
*
132,000
1,310,760
Atlantic
Coastal
Acquisition
Corp.
II
*
413,263
4,128,497
Banyan
Acquisition
Corp.
*
334,459
3,347,935
byNordic
Acquisition
Corp.
(Sweden)
*
138,415
1,379,998
C5
Acquisition
Corp.
*
263,385
2,660,189
CF
Acquisition
Corp.
VII
*
1
10
Clean
Earth
Acquisitions
Corp.
*
195,349
1,961,304
DUET
Acquisition
Corp.
*
73,788
739,356
Empowerment
&
Inclusion
Capital
I
Corp.
*
1
10
FG
Merger
Corp.
*
98,185
986,759
FTAC
Emerald
Acquisition
Corp.
*
237,726
2,372,506
FutureTech
II
Acquisition
Corp.
*
38,964
390,419
Genesis
Unicorn
Capital
Corp.
*
67,549
676,841
Goldenstone
Acquisition
Ltd.
*
32,200
321,356
Gores
Holdings
IX,
Inc.
*
1,656,295
16,645,765
Gores
Technology
Partners
II,
Inc.
(2)*
43,958
432,986
GSR
II
Meteora
Acquisition
Corp.
(2)*
244,186
2,461,395
Heartland
Media
Acquisition
Corp.
*
400,846
3,992,426
HNR
Acquisition
Corp.
(2)*
49,014
491,120
INVESTMENTS
NO.
OF
UNITS
VALUE
($)
Capital
Markets
-
6.1%
(continued)
HumanCo
Acquisition
Corp.
*
1
10
Industrial
Tech
Acquisitions
II,
Inc.
(2)*
126,008
1,262,600
Kimbell
Tiger
Acquisition
Corp.
*
371,545
3,763,751
KnightSwan
Acquisition
Corp.
*
334,038
3,343,720
Larkspur
Health
Acquisition
Corp.
(2)*
2
20
Metal
Sky
Star
Acquisition
Corp.
103,342
1,033,420
Murphy
Canyon
Acquisition
Corp.
*
97,859
988,376
Nubia
Brand
International
Corp.
*
284,300
2,843,000
Papaya
Growth
Opportunity
Corp.
I
*
413,288
4,137,013
PowerUp
Acquisition
Corp.
*
452,925
4,551,896
Redwoods
Acquisition
Corp.
*
74,885
751,097
Relativity
Acquisition
Corp.
*
89,748
903,762
RF
Acquisition
Corp.
(Singapore)
*
114,573
1,149,167
Riverview
Acquisition
Corp.
*
210,000
2,100,000
Sagaliam
Acquisition
Corp.
*
70,003
704,230
Sanaby
Health
Acquisition
Corp.
I
*
64,385
648,357
Signal
Hill
Acquisition
Corp.
*
89,861
900,407
Viscogliosi
Brothers
Acquisition
Corp.
(2)*
52,960
526,422
Western
Acquisition
Ventures
Corp.
(2)*
67,539
675,390
Zimmer
Energy
Transition
Acquisition
Corp.
(2)*
482,000
4,728,420
TOTAL
UNITS
(Cost
$83,678,035)
83,798,281
SHARES
SHORT-TERM
INVESTMENTS
-
58.2%
INVESTMENT
COMPANIES
-
33.9%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(h)(
i
)
29,090,975
29,090,975
Limited
Purpose
Cash
Investment
Fund,
0.18%
(h)(j)
439,284,626
439,064,983
UBS
Select
Treasury
Preferred
Fund,
Class
I,
0.17%
(h)
1,680
1,680
TOTAL
INVESTMENT
COMPANIES
(Cost
$468,149,531)
468,157,638
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
24.3%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(2)(k)
$
34,717,000
34,716,161
0.06%,
5/5/2022
(2)(k)
9,381,000
9,379,693
0.07%,
5/12/2022
(2)(b)(k)(l)
40,000,000
39,991,276
0.07%,
5/19/2022
(2)(k)(l)
26,657,000
26,648,144
0.28%,
7/14/2022
(2)(k)(l)
46,101,000
46,020,093
0.38%,
7/28/2022
(2)(k)(l)
12,272,000
12,241,630
0.53%,
8/4/2022
(2)(k)(l)
34,509,000
34,413,421
0.77%,
8/18/2022
(2)(k)(l)
11,143,000
11,106,716
0.87%,
9/22/2022
(2)(k)(l)
60,809,000
60,530,275
40
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
24.3%
(continued)
1.06%,
9/29/2022
(2)(k)
$
60,715,000
60,407,653
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$335,573,655)
335,455,062
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$803,723,186)
803,612,700
TOTAL
LONG
POSITIONS
(Cost
$1,414,737,321)
1,407,416,316
SHARES
SHORT
POSITIONS
-
(6.7)%
COMMON
STOCKS
-
(5.9)%
Aerospace
&
Defense
-
(0.1)%
Virgin
Galactic
Holdings,
Inc.
*
(188,996)
(1,867,281)
Automobiles
-
0.0%
(a)
Arrival
SA
(Luxembourg)
*
(106,336)
(396,633)
Biotechnology
-
(0.4)%
Avid
Bioservices
,
Inc.
*
(71,235)
(1,451,057)
Inovio
Pharmaceuticals,
Inc.
*
(142,076)
(510,053)
Ironwood
Pharmaceuticals,
Inc.
*
(59,273)
(745,654)
PTC
Therapeutics,
Inc.
*
(79,129)
(2,952,303)
(5,659,067)
Capital
Markets
-
(0.6)%
Goldman
Sachs
Group,
Inc.
(The)
(22,551)
(7,444,085)
Penson
Worldwide,
Inc.
(3)*(d)
(212,307)
(7,444,085)
Chemicals
-
(0.1)%
Danimer
Scientific,
Inc.
*
(139,219)
(815,823)
Communications
Equipment
-
(0.4)%
Infinera
Corp.
*
(272,647)
(2,363,850)
Lumentum
Holdings,
Inc.
*
(24,897)
(2,429,947)
(4,793,797)
Consumer
Finance
-
(0.1)%
EZCORP,
Inc.,
Class
A
*
(70,330)
(424,793)
LendingTree
,
Inc.
*
(1,609)
(192,549)
(617,342)
Diversified
Telecommunication
Services
-
0.0%
(a)
Bandwidth,
Inc.,
Class
A
*
(5,369)
(173,902)
Electrical
Equipment
-
(0.2)%
Array
Technologies,
Inc.
*
(271,396)
(3,058,633)
Energy
Equipment
&
Services
-
0.0%
(a)
Helix
Energy
Solutions
Group,
Inc.
*
(19,297)
(92,240)
Entertainment
-
0.0%
(a)
Sea
Ltd.,
ADR
(Taiwan)
*
(2,648)
(317,204)
Health
Care
Equipment
&
Supplies
-
(0.2)%
Alphatec
Holdings,
Inc.
*
(67,126)
(771,949)
China
Medical
Technologies,
Inc.,
ADR
(China)
(3)*(d)
(35,303)
Novocure
Ltd.
*
(4,434)
(367,357)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
(0.2)%
(continued)
Varex
Imaging
Corp.
*
(92,753)
(1,974,711)
(3,114,017)
Health
Care
Providers
&
Services
-
(0.7)%
Anthem,
Inc.
(18,211)
(8,945,607)
Hotels,
Restaurants
&
Leisure
-
(0.5)%
DraftKings
,
Inc.,
Class
A
*
(46,119)
(897,937)
MakeMyTrip
Ltd.
(India)
*
(35,697)
(957,751)
Norwegian
Cruise
Line
Holdings
Ltd.
*
(237,213)
(5,190,220)
(7,045,908)
Household
Durables
-
(0.1)%
GoPro,
Inc.,
Class
A
*
(79,344)
(676,804)
Independent
Power
and
Renewable
Electricity
Producers
-
(0.2)%
Sunnova
Energy
International,
Inc.
*
(137,849)
(3,178,798)
Interactive
Media
&
Services
-
(0.4)%
Eventbrite,
Inc.,
Class
A
*
(111,523)
(1,647,195)
Snap,
Inc.,
Class
A
*
(114,587)
(4,123,986)
(5,771,181)
Internet
&
Direct
Marketing
Retail
-
(0.5)%
Etsy,
Inc.
*
(10,863)
(1,350,054)
Farfetch
Ltd.,
Class
A
(United
Kingdom)
*
(162,811)
(2,461,702)
Groupon,
Inc.
*
(12,353)
(237,548)
Porch
Group,
Inc.
*
(28,151)
(195,509)
Xometry
,
Inc.,
Class
A
*
(78,482)
(2,884,213)
(7,129,026)
IT
Services
-
0.0%
(a)
Fastly
,
Inc.,
Class
A
*
(2,341)
(40,687)
Limelight
Networks,
Inc.
*
(37,629)
(196,423)
(237,110)
Machinery
-
(0.2)%
Greenbrier
Cos.,
Inc.
(The)
(59,863)
(3,083,543)
Media
-
(0.6)%
Cable
One,
Inc.
(527)
(771,655)
DISH
Network
Corp.,
Class
A
*
(20,022)
(633,696)
Paramount
Global,
Class
A
(104,295)
(4,214,561)
TechTarget
,
Inc.
*
(36,478)
(2,964,932)
(8,584,844)
Metals
&
Mining
-
0.0%
(a)
Ivanhoe
Mines
Ltd.,
Class
A
(Canada)
*
(54,750)
(510,647)
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Scorpio
Tankers,
Inc.
(Monaco)
(13,938)
(297,994)
Pharmaceuticals
-
0.0%
(a)
Innoviva
,
Inc.
*
(27,055)
(523,514)
41
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$238,384,005.
In
addition,
$18,728,582
of
cash
collateral
was
pledged.
(c)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$146,917,649,
which
represents
approximately
10.64%
of
net
assets
of
the
fund.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$2,241,911,
which
represents
approximately
0.16%
of
net
assets
of
the
fund.
(e)
Restricted
securities. 
Securities
acquired
through
a
private
placement
transaction
exempt
from
registration
under
the
Securities
Act
of 1933
and/
or may
be
subject
to
legal
or
contractual
restrictions
on
resale
(excluding
144A
securities). 
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$1,257,916
which
represents
approximately
0.09%
of
net
assets
of
the
fund.
(f)
Defaulted
security.
(g)
Payment
in-kind
security.
(h)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(i)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(j)
For
the
period
ended
March
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
INVESTMENTS
SHARES
VALUE
($)
Real
Estate
Management
&
Development
-
(0.1)%
Opendoor
Technologies,
Inc.
*
(109,354)
(945,912)
Realogy
Holdings
Corp.
*
(8,647)
(135,585)
Redfin
Corp.
*
(8,289)
(149,534)
(1,231,031)
Software
-
(0.3)%
Avalara,
Inc.
*
(5,481)
(545,414)
Five9,
Inc.
*
(8,011)
(884,415)
Marathon
Digital
Holdings,
Inc.
*
(32,401)
(905,608)
NortonLifeLock
,
Inc.
(30,765)
(815,888)
Veritone
,
Inc.
*
(10,415)
(190,386)
(3,341,711)
Technology
Hardware,
Storage
&
Peripherals
-
(0.2)%
3D
Systems
Corp.
*
(116,571)
(1,944,404)
TOTAL
COMMON
STOCKS
(Proceeds
$(86,878,926))
(80,852,146)
PRINCIPAL
AMOUNT
CONVERTIBLE
BONDS
-
(0.8)%
Hotels,
Restaurants
&
Leisure
-
(0.6)%
Booking
Holdings,
Inc.
0.75%,
5/1/2025
(2)
$
(6,200,000)
(8,946,600)
Life
Sciences
Tools
&
Services
-
(0.2)%
Illumina,
Inc.
0.00%,
8/15/2023
(2)
(2,350,000)
(2,568,550)
TOTAL
CONVERTIBLE
BONDS
(Proceeds
$(9,649,974))
(11,515,150)
TOTAL
SHORT
POSITIONS
(Proceeds
$(96,528,900))
(92,367,296)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.2%
(Cost
$1,318,208,421)
1,315,049,020
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.8%
(m)
66,300,007
NET
ASSETS
-
100.0%
1,381,349,027
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
54,173,226
3.9
%
Consumer
Discretionary
35,366,019
2.6
Consumer
Staples
12,762
0.0
(a)
Energy
3,889,123
0.3
Financials
298,963,050
21.6
Health
Care
27,833,181
2.0
Industrials
15,898,130
1.2
Information
Technology
47,856,733
3.5
Materials
17,082,727
1.2
Real
Estate
6,148,205
0.4
Utilities
4,213,164
0.3
Short-Term
Investments
803,612,700
58.2
Total
Investments
In
Securities
At
Value
1,315,049,020
95.2
Other
Assets
in
Excess
of
Liabilities
(m)
66,300,007
4.8
Net
Assets
$
1,381,349,027
100.0%
42
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(k)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(l)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(m)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
3/31/2022
Shares
Held
At
3/31/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
31.8%
INVESTMENT
COMPANIES
-
31.8%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(a)
(Cost
$439,056,876)
$382,197,517
$452,032,162
$(395,123,323)
$(49,445)
$8,072
$439,064,983
439,284,626
$51,153
$84
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
All
bonds
are
denominated
in
US
dollars,
unless
noted
otherwise.
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security.
(3)
Level
3
security.
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
March
31,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
High
Yield
Index
Series
38.V1
5.00
%
Quarterly
6/20/2027
3.73
%
USD
58,350,000
$
(2,714,837)
$
(591,366)
$
(3,306,203)
$
(2,714,837)
$
(591,366)
$
(3,306,203)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
38
6/2022
USD
$
8,608,425
$
537,565
537,565
Short
Contracts
S&P
500
E-Mini
Index
(56)
6/2022
USD
(12,686,100)
(725,314)
S&P
500
E-Mini
Index
(105)
6/2022
USD
(23,786,438)
1,133
U.S.
Treasury
10
Year
Note
(53)
6/2022
USD
(6,505,750)
103,377
U.S.
Treasury
5
Year
Note
(940)
6/2022
USD
(107,659,375)
2,402,195
1,781,391
$
2,318,956
43
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
3,062,964
USD
2,412,417
CITI
6/15/2022
$
37,208
CAD
3,062,957
USD
2,412,415
JPMC
6/15/2022
37,205
USD
67,422
CAD
84,159
CITI
6/15/2022
115
USD
1,769,736
EUR
1,569,761
CITI
6/15/2022
28,269
USD
1,509,724
EUR
1,335,839
JPMC
6/15/2022
27,767
Total
unrealized
appreciation
130,564
USD
21,783,705
CAD
27,689,236
CITI
6/15/2022
(360,941)
USD
13,252,639
CAD
16,850,045
JPMC
6/15/2022
(223,294)
USD
948,513
EUR
861,300
CITI
6/15/2022
(6,998)
USD
33,766
EUR
30,508
JPMC
6/15/2022
(79)
Total
unrealized
depreciation
(591,312)
Net
unrealized
depreciation
$
(460,748)
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-32
months
maturity
ranging
from
01/25/2023
-
07/11/2024
$269,957
$(3,374)
$(13,737)
$(17,111)
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
03/16/2027
$1,388,937
$(9,921)
$4,279
$(5,642)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Floating
Rate
plus
or
minus
a
specified
spread
(-1.00%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
40-61
months
maturity
07/03/2023
$229,944
$4,359
$(43)
$4,316
44
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
fixed
income
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.02%
to
0.07%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
43
months
maturity
06/25/2025
$412,172,808
$(28,515,804)
$12,556,729
$(15,959,075)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Convertible
Bonds
Canada
Canadian
Solar,
Inc.,
2.50%,
10/1/2025
3,450,000
4,114,125
189,988
(1.2)
Hong
Kong
Seaspan
Corp.,
3.75%,
12/15/2025
5,725,000
7,170,696
172,531
(1.1)
United
States
1Life
Healthcare,
Inc.,
3.00%,
6/15/2025
6,925,000
6,037,344
(1,513,266)
9.5
Alteryx
,
Inc.,
1.00%,
8/1/2026
3,610,000
3,162,377
(615,473)
3.9
American
Airlines
Group,
Inc.,
6.50%,
7/1/2025
12,675,000
17,544,231
(810,044)
5.1
Artivion
,
Inc.,
4.25%,
7/1/2025
2,950,000
3,467,921
388,026
(2.4)
Atlas
Air
Worldwide
Holdings,
Inc.,
2.25%,
6/1/2022
4,050,000
4,659,442
133,409
(0.8)
Bandwidth,
Inc.,
0.50%,
4/1/2028
9,255,000
6,089,790
(2,090,029)
13.1
Blackline,
Inc.,
0.00%,
3/15/2026
9,550,000
8,069,750
(978,875)
6.1
Cable
One,
Inc.,
0.00%,
3/15/2026
7,050,000
6,154,650
(1,075,125)
6.7
Ceridian
HCM
Holding,
Inc.,
0.25%,
3/15/2026
7,523,000
6,560,925
(825,616)
5.2
Chegg
,
Inc.,
0.00%,
9/1/2026
12,745,000
10,412,665
(4,014,279)
25.2
CNX
Resources
Corp.,
2.25%,
5/1/2026
14,080,000
24,511,666
6,574,816
(41.2)
Coherus
Biosciences,
Inc.,
1.50%,
4/15/2026
7,600,000
7,594,095
(1,229,755)
7.7
Dropbox,
Inc.,
0.00%,
3/1/2028
5,500,000
5,182,100
(958,650)
6.0
Dropbox,
Inc.,
0.00%,
3/1/2026
5,450,000
5,084,850
(778,260)
4.9
Evolent
Health,
Inc.,
3.50%,
12/1/2024
3,300,000
6,059,244
1,289,526
(8.1)
Evolent
Health,
Inc.,
1.50%,
10/15/2025
4,514,000
5,349,189
594,335
(3.7)
Exact
Sciences
Corp.,
0.38%,
3/1/2028
11,850,000
10,419,893
(856,063)
5.4
GEO
Corrections
Holdings,
Inc.,
6.50%,
2/23/2026
8,500,000
8,440,292
121,323
(0.8)
Green
Plains,
Inc.,
2.25%,
3/15/2027
5,650,000
6,992,098
(710,898)
4.5
Inotiv
,
Inc.,
3.25%,
10/15/2027
4,750,000
4,582,830
(937,468)
5.9
Ionis
Pharmaceuticals,
Inc.,
0.00%,
4/1/2026
9,400,000
8,742,933
(231,247)
1.4
Ironwood
Pharmaceuticals,
Inc.,
1.50%,
6/15/2026
5,400,000
6,387,710
(128,875)
0.8
MACOM
Technology
Solutions
Holdings,
Inc.,
0.25%,
3/15/2026
11,950,000
12,138,099
(348,743)
2.2
Magnite
,
Inc.,
0.25%,
3/15/2026
7,450,000
5,887,204
(593,938)
3.7
MannKind
Corp.,
2.50%,
3/1/2026
3,125,000
3,083,297
(586,994)
3.7
Oak
Street
Health,
Inc.,
0.00%,
3/15/2026
10,250,000
8,097,500
(1,885,283)
11.8
Opendoor
Technologies,
Inc.,
0.25%,
8/15/2026
6,750,000
5,253,598
(399,184)
2.5
PetIQ
,
Inc.,
4.00%,
6/1/2026
2,975,000
3,577,948
(686,780)
4.3
PROS
Holdings,
Inc.,
2.25%,
9/15/2027
5,425,000
5,737,151
(1,069,661)
6.7
Redfin
Corp.,
0.00%,
10/15/2025
8,050,000
5,931,844
(2,234,881)
14.0
RingCentral,
Inc.,
0.00%,
3/15/2026
4,475,000
3,660,550
(671,698)
4.2
Splunk
,
Inc.,
1.13%,
6/15/2027
5,725,000
5,486,308
(815,054)
5.1
45
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Spotify
USA,
Inc.,
0.00%,
3/15/2026
9,000,000
7,669,179
(610,821)
3.8
Stride,
Inc.,
1.13%,
9/1/2027
10,600,000
10,525,246
703,126
(4.4)
Twitter,
Inc.,
0.00%,
3/15/2026
9,475,000
7,954,262
(762,738)
4.8
Vonage
Holdings
Corp.,
1.75%,
6/1/2024
11,600,000
15,304,081
(245,489)
1.5
Wayfair,
Inc.,
0.63%,
10/1/2025
13,000,000
10,713,625
(3,102,545)
19.4
WisdomTree
Investments,
Inc.,
4.25%,
6/15/2023
4,400,000
5,070,970
724,395
(4.5)
SHARES
Short
Positions
Common
Stocks
Canada
Atlas
Corp.
(268,580)
(3,942,754)
(10,540)
0.1
United
States
American
Airlines
Group,
Inc.
(528,009)
(9,636,164)
(565,495)
3.5
CNX
Resources
Corp.
(855,315)
(17,722,127)
(5,074,170)
31.8
Evolent
Health,
Inc.
(230,542)
(7,446,507)
(1,218,379)
7.6
Exact
Sciences
Corp.
(64,235)
(4,491,311)
314,637
(2.0)
GEO
Group,
Inc.
(The)
(539,023)
(3,562,942)
425,419
(2.7)
Green
Plains,
Inc.
(122,200)
(3,789,422)
411,079
(2.6)
Ironwood
Pharmaceuticals,
Inc.
(250,395)
(3,149,969)
(26,100)
0.2
MACOM
Technology
Solutions
Holdings,
Inc.
(74,648)
(4,469,176)
474,374
(3.0)
Stride,
Inc.
(109,874)
(3,991,722)
(312,201)
2.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.04%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
57-60
months
maturity
ranging
from
11/12/2026
-
02/17/2027
$17,231,468
$454,657
$18,586
$473,243
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Crown
Resorts
Ltd.
1,254,642
11,947,595
324,987
68.7
Link
Administration
Holdings
Ltd.
991,146
3,816,837
68,396
14.5
46
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Australia
Newcrest
Mining
Ltd.
(72,599)
(1,467,036)
61,274
12.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
54-56
months
maturity
ranging
from
08/05/2026
-
09/30/2026
$22,845,728
$(296,126)
$(6,673)
$(302,799)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
Kingdom
Brewin
Dolphin
Holdings
plc
21,429
143,781
(342)
0.1
Meggitt
plc
1,380,487
13,737,879
63,867
(21.1)
Ultra
Electronics
Holdings
plc
105,880
4,600,359
179,451
(59.3)
United
States
Avast
plc
586,894
4,363,709
(539,102)
178.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
fixed
income
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.03%
to
0.07%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
57-61
months
maturity
ranging
from
09/06/2024
-
03/31/2027
$34,133,442
$(2,379,947)
$1,823,480
$(556,467)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
47
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Splunk
,
Inc.
416
61,822
2,292
(0.4)
PRINCIPAL
Convertible
Bonds
United
States
Akamai
Technologies,
Inc.,
0.38%,
9/1/2027
8,025,000
9,228,536
240,980
(43.3)
DISH
Network
Corp.,
3.38%,
8/15/2026
3,975,000
3,592,189
(123,936)
22.3
LivePerson
,
Inc.,
0.00%,
12/15/2026
3,655,000
2,896,869
(865,870)
155.6
Tabula
Rasa
HealthCare,
Inc.,
1.75%,
2/15/2026
9,050,000
6,712,679
(2,486,476)
446.8
Wayfair,
Inc.,
1.00%,
8/15/2026
3,575,000
3,818,969
675,253
(121.3)
SHARES
Short
Positions
Common
Stocks
United
States
Akamai
Technologies,
Inc.
(45,375)
(5,417,321)
(283,407)
50.9
DISH
Network
Corp.
(19,982)
(632,430)
(6,236)
1.1
LivePerson
,
Inc.
(12,246)
(299,047)
(2,828)
0.5
Tabula
Rasa
HealthCare,
Inc.
(1,786)
(10,287)
323
(0.1)
Wayfair,
Inc.
(13,209)
(1,463,293)
469,958
(84.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(0.10%
to
0.11%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
ranging
from
10/16/2025
-
03/12/2027
$204,200,709
$685,086
$(1,341,375)
$(656,289)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Accelerate
Acquisition
Corp.
232,414
2,268,361
30,214
(4.6)
Acropolis
Infrastructure
Acquisition
Corp.
420,999
4,087,900
16,840
(2.6)
Aequi
Acquisition
Corp.
321,000
3,155,430
(4,050)
0.6
AF
Acquisition
Corp.
278,582
2,716,174
36,216
(5.5)
Altitude
Acquisition
Corp.
192,600
1,916,370
(71,262)
10.9
Atlantic
Coastal
Acquisition
Corp.
404,654
3,953,470
56,652
(8.6)
Big
Sky
Growth
Partners,
Inc.
332,484
3,231,744
4,987
(0.8)
Bilander
Acquisition
Corp.
241,664
2,336,891
12,083
(1.8)
Black
Mountain
Acquisition
Corp.
245,032
2,433,168
2,450
(0.4)
48
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Build
Acquisition
Corp.
305,000
2,970,700
24,400
(3.7)
Cascade
Acquisition
Corp.
206,500
2,081,520
33,040
(5.0)
Concord
Acquisition
Corp.
II
286,392
2,772,275
11,456
(1.7)
Concord
Acquisition
Corp.
III
430,468
4,270,243
0.0
Conyers
Park
III
Acquisition
Corp.
196,419
1,915,085
(29,463)
4.5
Corner
Growth
Acquisition
Corp.
181,200
1,779,384
(23,556)
3.6
DPCM
Capital,
Inc.
214,298
2,119,407
(64,289)
9.8
East
Resources
Acquisition
Co.
338,000
3,352,960
60,840
(9.3)
EG
Acquisition
Corp.
366,998
3,574,561
3,670
(0.6)
Epiphany
Technology
Acquisition
Corp.
196,248
1,927,155
23,550
(3.6)
Forum
Merger
IV
Corp.
233,634
2,282,604
9,345
(1.4)
FTAC
Zeus
Acquisition
Corp.
255,030
2,512,046
17,852
(2.7)
GigInternational1,
Inc.
299,000
2,987,010
56,810
(8.7)
GO
Acquisition
Corp.
219,598
2,174,020
(65,879)
10.0
Golden
Arrow
Merger
Corp.
382,886
3,740,796
7,658
(1.2)
Graf
Acquisition
Corp.
IV
365,000
3,540,500
(21,900)
3.3
GX
Acquisition
Corp.
II
412,998
4,022,601
33,040
(5.0)
Healthwell
Acquisition
Corp.
I
279,200
2,694,280
13,960
(2.1)
Hennessy
Capital
Investment
Corp.
VI
697,470
6,765,459
69,747
(10.6)
IG
Acquisition
Corp.
265,000
2,612,900
5,300
(0.8)
IRON
SPARK
I,
Inc.
289,000
2,887,110
17,340
(2.6)
Kadem
Sustainable
Impact
Corp.
303,094
2,952,136
36,371
(5.5)
Khosla
Ventures
Acquisition
Co.
III
250,500
2,447,385
(26,605)
4.1
Landcadia
Holdings
IV,
Inc.
329,046
3,231,232
39,485
(6.0)
Lionheart
Acquisition
Corp.
II
241,860
2,454,879
106,418
(16.2)
Logistics
Innovation
Technologies
Corp.
245,571
2,396,773
27,013
(4.1)
M3-Brigade
Acquisition
II
Corp.
1,225,099
11,969,217
49,004
(7.5)
M3-Brigade
Acquisition
III
Corp.
449,013
4,472,169
22,451
(3.4)
Marblegate
Acquisition
Corp.
1,146,775
11,295,734
17,202
(2.6)
Nabors
Energy
Transition
Corp.
254,188
2,531,712
2,542
(0.4)
Omnichannel
Acquisition
Corp.
371,000
3,698,870
14,840
(2.3)
Osiris
Acquisition
Corp.
408,000
3,965,760
36,720
(5.6)
Pine
Island
Acquisition
Corp.
185,620
1,824,645
(102,091)
15.6
Pine
Technology
Acquisition
Corp.
639,999
6,271,990
92,800
(14.1)
PMV
Consumer
Acquisition
Corp.
200,000
1,976,000
(8,000)
1.2
Property
Solutions
Acquisition
Corp.
II
296,400
2,898,792
24,640
(3.8)
Stratim
Cloud
Acquisition
Corp.
444,000
4,333,440
53,280
(8.1)
Tech
and
Energy
Transition
Corp.
367,499
3,588,628
27,562
(4.2)
Thunder
Bridge
Capital
Partners
IV,
Inc.
322,000
3,181,360
51,520
(7.9)
Tribe
Capital
Growth
Corp.
I
255,552
2,489,076
2,555
(0.4)
Williams
Rowland
Acquisition
Corp.
231,666
2,309,710
2,317
(0.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.12%
to
0.03%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
10/23/2025
-
03/31/2027
$857,363,652
$5,606,853
$917,493
$6,524,346
49
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
51job,
Inc.,
ADR
113,347
6,636,467
(1,071,423)
(16.4)
Atotech
Ltd.
458,352
10,060,826
(1,216,332)
(18.6)
Israel
Tower
Semiconductor
Ltd.
324,366
15,699,314
459,650
7.0
Sweden
Veoneer
,
Inc.
421,855
15,587,542
875,922
13.4
United
States
Activision
Blizzard,
Inc.
328,126
26,286,174
(121,898)
(1.9)
Alleghany
Corp.
9,473
8,023,631
26,988
0.4
American
National
Group,
Inc.
34,952
6,609,074
(1,521)
(0.0)
Anaplan,
Inc.
274,222
17,838,141
98,640
1.5
Bottomline
Technologies
DE,
Inc.
334,032
18,932,934
129,376
2.0
Cerner
Corp.
369,199
34,542,258
562,079
8.6
Change
Healthcare,
Inc.
802,252
17,489,094
(480,181)
(7.4)
Citrix
Systems,
Inc.
197,961
19,974,265
(215,250)
(3.3)
CMC
Materials,
Inc.
147,057
27,264,368
(217,817)
(3.3)
Coherent,
Inc.
69,946
19,120,439
2,979,000
45.7
Cornerstone
Building
Brands,
Inc.
518,978
12,621,545
56,893
0.9
First
Horizon
Corp.
1,396,884
32,812,805
(115,599)
(1.8)
Flagstar
Bancorp,
Inc.
336,516
14,268,278
(1,339,951)
(20.5)
GCP
Applied
Technologies,
Inc.
206,427
6,485,936
24,578
0.4
Healthcare
Trust
of
America,
Inc.
604,607
18,948,383
352,129
5.4
Houghton
Mifflin
Harcourt
Co.
746,230
15,678,292
101,424
1.6
Investors
Bancorp,
Inc.
1,616,981
24,141,526
604,411
9.3
LHC
Group,
Inc.
44,231
7,457,347
69,589
1.1
Mandiant
Corp.
1,340,329
29,902,740
483,180
7.4
Meritor,
Inc.
375,670
13,362,582
(3,005)
(0.0)
MGM
Growth
Properties
LLC
312,825
12,106,328
(155,455)
(2.4)
Mimecast
Ltd.
229,328
18,245,336
87,992
1.3
MoneyGram
International,
Inc.
1,240,687
13,101,655
(157,436)
(2.4)
NeoPhotonics
Corp.
448,941
6,828,393
(100,467)
(1.5)
Ortho
Clinical
Diagnostics
Holdings
plc
701,362
13,087,415
79,625
1.2
People's
United
Financial,
Inc.
1,429,217
28,570,048
1,497,114
22.9
PNM
Resources,
Inc.
351,382
16,750,380
(349,068)
(5.4)
Rogers
Corp.
57,781
15,699,098
93,170
1.4
Sanderson
Farms,
Inc.
114,042
21,381,735
(134,243)
(2.1)
South
Jersey
Industries,
Inc.
337,312
11,654,130
241,413
3.7
SPX
FLOW,
Inc.
123,590
10,655,930
90,864
1.4
TEGNA,
Inc.
796,600
17,843,840
(155,279)
(2.4)
Tenneco,
Inc.
509,434
9,332,831
(469,723)
(7.2)
Umpqua
Holdings
Corp.
446,632
8,423,480
(282,612)
(4.3)
US
Ecology,
Inc.
146,318
7,005,706
118,948
1.8
Welbilt
,
Inc.
1,053,024
25,009,320
1,423,695
21.8
Zynga,
Inc.
2,719,978
25,132,597
657,493
10.1
50
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
Citizens
Financial
Group,
Inc.
(480,244)
(21,769,461)
(120,329)
(1.8)
Columbia
Banking
System,
Inc.
(266,103)
(8,587,144)
260,000
4.0
Entegris
,
Inc.
(66,264)
(8,697,813)
65,335
1.0
Healthcare
Realty
Trust,
Inc.
(604,607)
(16,614,600)
(194,987)
(3.0)
M&T
Bank
Corp.
(168,647)
(28,585,666)
(975,870)
(15.0)
New
York
Community
Bancorp,
Inc.
(1,351,145)
(14,484,274)
1,767,553
27.1
Quidel
Corp.
(73,994)
(8,321,365)
10,804
0.2
Take-Two
Interactive
Software,
Inc.
(69,861)
(10,740,430)
126,265
1.9
VICI
Properties,
Inc.
(427,079)
(12,154,668)
307,559
4.7
51
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.

AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(a)
For
the
period
ended
March
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(b)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(c)
Represents
less
than
0.05%
of
net
assets.
INVESTMENTS
SHARES
VALUE
($)
INVESTMENT
COMPANIES
-
98.0%
ALTERNATIVE
FUNDS
-
74.0%
AQR
Diversified
Arbitrage
Fund,
Class
R6
(a)
801,128
9,613,530
AQR
Equity
Market
Neutral
Fund,
Class
R6
(a)
1,522,240
12,497,590
AQR
Macro
Opportunities
Fund,
Class
R6
(a)
641,544
6,409,020
AQR
Managed
Futures
Strategy
HV
Fund,
Class
R6
(a)
821,669
6,409,020
AQR
Style
Premia
Alternative
Fund,
Class
R6
(a)
1,590,024
12,497,590
TOTAL
ALTERNATIVE
FUNDS
(Cost
$44,715,961)
47,426,750
ASSET
ALLOCATION
FUNDS
-
24.0%
AQR
Multi-Asset
Fund,
Class
R6
(a)
(Cost
$14,417,796)
1,477,584
15,381,649
TOTAL
INVESTMENT
COMPANIES
(Cost
$59,133,757)
62,808,399
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
2.0%
INVESTMENT
COMPANIES
-
2.0%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(b)
(Cost
$1,269,531)
1,269,968
1,269,333
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$60,403,288)
64,077,732
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.0%
(c)
9,314
NET
ASSETS
-
100.0%
64,087,046
SECTOR
VALUE
%
OF
NET
ASSETS
Equity
Market
Neutral
$
12,497,590
19.5
%
Global
Flex
Allocation
15,381,649
24.0
Global
Macro
6,409,020
10.0
Multi-Strategy
12,497,590
19.5
Relative
Value
Arbitrage
9,613,530
15.0
Systematic
Trend
6,409,020
10.0
Short-Term
Investments
1,269,333
2.0
Total
Investments
In
Securities
At
Value
64,077,732
100.0
Other
Assets
in
Excess
of
Liabilities
9,314
0.0(
c
)
Net
Assets
$
64,087,046
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
3/31/2022
Shares
Held
At
3/31/2022
Dividend
Income
Capital
Gain
Distributions
INVESTMENT
COMPANIES
-
98.0%
ALTERNATIVE
FUNDS
-
74.0%
AQR
Diversified
Arbitrage
Fund
$
5,060,167
$
4,569,165
$
(3,936)
$
(145)
$
(11,721)
$
9,613,530
801,128
$
$
AQR
Equity
Market
Neutral
Fund
5,060,167
6,962,224
(5,117)
(214)
480,530
12,497,590
1,522,240
AQR
Macro
Opportunities
Fund
3,719,726
2,888,822
(701,534)
(5,983)
507,989
6,409,020
641,544
AQR
Managed
Futures
Strategy
HV
Fund
3,719,726
2,888,822
(1,514,497)
9,375
1,305,594
6,409,020
821,669
AQR
Style
Premia
Alternative
Fund
4,389,946
7,824,958
(5,117)
(203)
288,006
12,497,590
1,590,024
2,830
2,570,398
47,426,750
ASSET
ALLOCATION
FUNDS
-
24.0%
AQR
Multi-Asset
Fund
10,891,089
7,358,379
(2,769,369)
(82,011)
(16,439)
15,381,649
1,477,584
TOTAL
$(79,181)
$2,553,959
$62,808,399
$–
$–
All
securities
are
Level
1
with
respect
to
ASC
820.
52
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
The
Schedule
of
Investments
of
the
affiliated
investment
funds
held
by
the
AQR
Diversifying
Strategies
Fund
can
be
found
within
the
annual/semi-annual
reports
for
the
AQR
Funds
as
well
as
on
Form
N-CSR
and
Form
N-PORT
(Part
F)
which
is
filed
with
the
Securities
and
Exchange
Commission.
53
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
102.1%
COMMON
STOCKS
-
5.2%
Italy
-
4.7%
Atlantia
SpA
*(a)
7,279
151,349
Azimut
Holding
SpA
(a)
9,325
216,187
Banco
BPM
SpA
68,186
200,853
Buzzi
Unicem
SpA
28,306
523,807
Davide
Campari-Milano
NV
12,568
145,777
Enel
SpA
(a)
3,333
22,254
Eni
SpA
(a)
40,377
588,827
Hera
SpA
79,645
293,424
Italgas
SpA
53,981
346,313
Leonardo
SpA
*(a)
50,074
497,594
Mediobanca
Banca
di
Credito
Finanziario
SpA
(a)
20,776
209,952
Pirelli
&
C
SpA
(b)
49,587
269,059
Poste
Italiane
SpA
(b)
30,965
351,162
Prysmian
SpA
(a)
5,246
178,029
Recordati
Industria
Chimica
e
Farmaceutica
SpA
2,551
127,906
Salvatore
Ferragamo
SpA
*
671
12,638
UniCredit
SpA
51,557
556,184
Unipol
Gruppo
SpA
78,729
431,827
5,123,142
Spain
-
0.0%
(c)
Enagas
SA
(a)
988
21,940
United
States
-
0.5%
Stellantis
NV
36,945
598,120
TOTAL
COMMON
STOCKS
(Cost
$5,666,024)
5,743,202
SHORT-TERM
INVESTMENTS
-
96.9%
INVESTMENT
COMPANIES
-
50.8%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(d)(e)
3,341,907
3,341,907
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(d)
53,086,530
53,059,986
TOTAL
INVESTMENT
COMPANIES
(Cost
$56,400,739)
56,401,893
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
46.1%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(f)
$
2,173,000
2,172,947
0.06%,
4/28/2022
(f)
2,063,000
2,062,836
0.07%,
5/12/2022
(f)
443,000
442,903
0.07%,
5/19/2022
(f)(g)
4,141,000
4,139,624
0.13%,
6/16/2022
(f)(g)
117,000
116,898
0.16%,
6/23/2022
(f)(g)
1,767,000
1,765,101
0.37%,
7/21/2022
(f)(g)
2,709,000
2,703,487
0.38%,
7/28/2022
(f)(g)
617,000
615,473
0.49%,
8/4/2022
(f)(g)
2,551,000
2,543,935
0.71%,
8/25/2022
(f)(g)
14,893,000
14,838,851
0.82%,
9/15/2022
(f)(g)
12,625,000
12,570,446
0.87%,
9/22/2022
(f)(g)
2,629,000
2,616,950
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
46.1%
(continued)
1.06%,
9/29/2022
(f)
$
4,674,000
4,650,340
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$51,266,034)
51,239,791
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$107,666,773)
107,641,684
TOTAL
LONG
POSITIONS
(Cost
$113,332,797)
113,384,886
SHARES
SHORT
POSITIONS
-
(5.1)%
COMMON
STOCKS
-
(5.1)%
Italy
-
(4.6)%
A2A
SpA
(46,905)
(80,338)
Amplifon
SpA
(2,639)
(117,448)
Assicurazioni
Generali
SpA
(18,708)
(427,892)
Banca
Generali
SpA
(11,684)
(432,309)
Brembo
SpA
(8,897)
(99,047)
DiaSorin
SpA
(1,231)
(192,274)
Ferrari
NV
(2,253)
(490,838)
FinecoBank
Banca
Fineco
SpA
(46,035)
(698,355)
Infrastrutture
Wireless
Italiane
SpA
(b)
(25,932)
(290,289)
Interpump
Group
SpA
(3,209)
(160,802)
Intesa
Sanpaolo
SpA
(310,190)
(709,953)
Moncler
SpA
(1,062)
(58,922)
Nexi
SpA
*(b)
(46,627)
(538,062)
Reply
SpA
(54)
(8,872)
Snam
SpA
(58,900)
(339,650)
Terna
-
Rete
Elettrica
Nazionale
(57,363)
(492,592)
(5,137,643)
United
Kingdom
-
(0.4)%
CNH
Industrial
NV
(25,133)
(395,864)
United
States
-
(0.1)%
Tenaris
SA
(10,438)
(156,790)
TOTAL
COMMON
STOCKS
(Proceeds
$(6,035,639))
(5,690,297)
TOTAL
SHORT
POSITIONS
(Proceeds
$(6,035,639))
(5,690,297)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
97.0%
(Cost
$107,297,158)
107,694,589
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
3.0%
(h)
3,336,725
NET
ASSETS
-
100.0%
111,031,314
54
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(290,289)
(0.2)
%
Consumer
Discretionary
231,012
0.2
Consumer
Staples
145,777
0.1
Energy
432,037
0.4
Financials
(302,345)
(0.3)
Health
Care
(181,817)
(0.2)
Industrials
270,306
0.3
Information
Technology
(546,934)
(0.5)
Materials
523,807
0.5
Utilities
(228,649)
(0.2)
Short-Term
Investments
107,641,684
96.9
Total
Investments
In
Securities
At
Value
107,694,589
97.0
Other
Assets
in
Excess
of
Liabilities
(h
)
3,336,725
3.0
Net
Assets
$
111,031,314
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$1,810,655.
In
addition,
$4,479,081
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$(208,130),
which
represents
approximately
(0.19)%
of
net
assets
of
the
fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
17
6/2022
USD
$
3,851,138
$
240,917
$
240,917
55
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
150,500
USD
165,882
CITI
6/15/2022
$
1,081
EUR
150,500
USD
165,882
JPMC
6/15/2022
1,080
SEK
252
USD
26
CITI
6/15/2022
SEK
249
USD
26
JPMC
6/15/2022
USD
305
DKK
2,000
CITI
6/15/2022
7
USD
305
DKK
2,000
JPMC
6/15/2022
7
USD
352,796
EUR
310,502
CITI
6/15/2022
8,331
USD
352,791
EUR
310,498
JPMC
6/15/2022
8,330
USD
25,628
HKD
200,000
CITI
6/15/2022
69
USD
25,628
HKD
200,000
JPMC
6/15/2022
69
Total
unrealized
appreciation
18,974
CHF
500
USD
545
CITI
6/15/2022
(3)
CHF
500
USD
545
JPMC
6/15/2022
(3)
EUR
119,502
USD
135,043
CITI
6/15/2022
(2,468)
EUR
119,498
USD
135,038
JPMC
6/15/2022
(2,468)
SEK
251
USD
27
CITI
6/15/2022
SEK
248
USD
27
JPMC
6/15/2022
SGD
193,500
USD
143,336
CITI
6/15/2022
(571)
SGD
193,500
USD
143,336
JPMC
6/15/2022
(571)
USD
118
CAD
150
CITI
6/15/2022
(2)
USD
113
CAD
144
JPMC
6/15/2022
(2)
USD
552
EUR
500
CITI
6/15/2022
(2)
USD
552
EUR
500
JPMC
6/15/2022
(2)
USD
168
NOK
1,501
CITI
6/15/2022
(2)
USD
168
NOK
1,499
JPMC
6/15/2022
(2)
Total
unrealized
depreciation
(6,096)
Net
unrealized
appreciation
$
12,878
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
60
months
maturity
02/25/2027
$145,871
$10,782
$350
$11,132
56
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.95%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
38-61
months
maturity
ranging
from
04/23/2025
-
03/30/2027
$13,672,392
$(109,471)
$(2,974)
$(112,445)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
Adecco
Group
AG
(Registered)
7,881
357,494
(7,689)
6.8
Baloise
Holding
AG
(Registered)
1,263
225,568
7,623
(6.8)
Barry
Callebaut
AG
(Registered)
196
459,513
6,358
(5.7)
Belimo
Holding
AG
(Registered)
272
144,057
5,740
(5.1)
BKW
AG
1,250
156,565
4,199
(3.7)
Bucher
Industries
AG
(Registered)
691
279,309
(3,812)
3.4
Chocoladefabriken
Lindt
&
Spruengli
AG
2
23,804
1,143
(1.0)
Clariant
AG
(Registered)
3,397
58,948
(341)
0.3
DKSH
Holding
AG
3,489
293,851
(5,994)
5.3
dormakaba
Holding
AG
437
224,145
(10,549)
9.4
Galenica
AG
5,271
405,795
16,431
(14.6)
Geberit
AG
(Registered)
420
258,912
(9,157)
8.1
Georg
Fischer
AG
(Registered)
89
106,343
(3,666)
3.3
Helvetia
Holding
AG
(Registered)
126
16,450
207
(0.2)
Julius
Baer
Group
Ltd.
6,823
395,014
7,917
(7.0)
Kuehne
+
Nagel
International
AG
(Registered)
1,153
327,370
(30,413)
27.0
Lonza
Group
AG
(Registered)
415
300,711
2,860
(2.5)
Novartis
AG
(Registered)
7,645
671,166
4,190
(3.7)
OC
Oerlikon
Corp.
AG
(Registered)
20,556
163,810
(3,844)
3.4
Partners
Group
Holding
AG
139
172,110
(7,578)
6.7
Schindler
Holding
AG
928
198,843
(9,937)
8.8
Stadler
Rail
AG
362
14,048
(126)
0.1
Straumann
Holding
AG
(Registered)
67
106,978
4,651
(4.1)
Swatch
Group
AG
(The)
887
251,486
4,550
(4.0)
Swiss
Life
Holding
AG
(Registered)
164
105,092
1,628
(1.4)
Swisscom
AG
(Registered)
36
21,629
(51)
0.0
Tecan
Group
AG
(Registered)
262
103,579
8,490
(7.6)
Temenos
AG
(Registered)
5,651
543,568
(5,514)
4.9
UBS
Group
AG
(Registered)
10,280
200,885
10,806
(9.6)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(15,176)
(232,299)
(11,176)
9.9
57
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
ABB
Ltd.
(Registered)
(2,843)
(92,229)
8,664
(7.7)
Alcon,
Inc.
(2,156)
(170,811)
(3,528)
3.1
Bachem
Holding
AG
(Registered)
(758)
(417,160)
46,047
(41.0)
Cie
Financiere
Richemont
SA
(1,341)
(169,978)
(1,106)
1.0
Dufry
AG
(Registered)
(15,267)
(642,401)
(23,306)
20.7
EMS-Chemie
Holding
AG
(Registered)
(295)
(286,682)
(6,880)
6.1
Flughafen
Zurich
AG
(Registered)
(1,670)
(299,743)
(7,034)
6.3
Givaudan
SA
(Registered)
(241)
(996,038)
(6,062)
5.4
Holcim
Ltd.
(3,299)
(160,453)
4,990
(4.4)
Idorsia
Ltd.
(22,253)
(444,536)
(29,471)
26.2
Logitech
International
SA
(Registered)
(2,757)
(204,934)
(1,458)
1.3
Nestle
SA
(Registered)
(5,693)
(740,196)
(7,529)
6.7
Roche
Holding
AG
(672)
(265,885)
(4,224)
3.8
SGS
SA
(Registered)
(46)
(127,887)
4,852
(4.3)
SIG
Combibloc
Group
AG
(28,002)
(705,927)
(36,323)
32.3
Sika
AG
(Registered)
(1,510)
(499,589)
7,472
(6.6)
Sonova
Holding
AG
(Registered)
(645)
(269,441)
(22,354)
19.9
VAT
Group
AG
(224)
(85,286)
(2,383)
2.1
Zurich
Insurance
Group
AG
(218)
(107,670)
(3,587)
3.2
United
States
Swiss
Re
AG
(1,592)
(151,549)
(3,652)
3.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
38-61
months
maturity
ranging
from
04/24/2025
-
03/17/2027
$5,464,561
$(7,448)
$(4,625)
$(12,073)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
245
736,216
(88,836)
735.8
Carlsberg
A/S
3,116
382,525
4,104
(34.0)
Demant
A/S
4,303
194,732
9,261
(76.7)
Genmab
A/S
1,102
397,991
4,145
(34.3)
H
Lundbeck
A/S
6,965
160,481
(6,193)
51.3
ISS
A/S
19,277
342,582
7,339
(60.8)
Novo
Nordisk
A/S
700
77,641
1,255
(10.4)
Pandora
A/S
3,546
337,807
2,081
(17.2)
Royal
Unibrew
A/S
959
89,595
(3,711)
30.7
58
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(10,766)
(158,488)
5,693
(47.2)
Chr
Hansen
Holding
A/S
(424)
(31,133)
(53)
0.4
Coloplast
A/S
(160)
(24,230)
(644)
5.3
DSV
A/S
(278)
(53,280)
1,670
(13.8)
GN
Store
Nord
A/S
(2,162)
(105,973)
780
(6.5)
Novozymes
A/S
(6,663)
(456,843)
(19,303)
159.9
Orsted
A/S
(2,788)
(348,978)
(9,564)
79.2
ROCKWOOL
International
A/S
(895)
(295,448)
28,557
(236.5)
SimCorp
A/S
(2,549)
(186,920)
20,809
(172.4)
Tryg
A/S
(13,613)
(330,996)
(11,986)
99.3
Vestas
Wind
Systems
A/S
(25,659)
(752,702)
47,148
(390.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-4.55%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
38-61
months
maturity
ranging
from
04/23/2025
-
03/30/2027
$20,823,112
$110,251
$(23,521)
$86,730
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Ageas
SA/NV
7,550
381,677
4,045
4.7
Etablissements
Franz
Colruyt
NV
6,055
250,643
6,647
7.7
Proximus
SADP
17,655
328,761
(7,131)
(8.2)
Umicore
SA
6,027
260,531
8,569
9.9
Finland
Nokia
OYJ
50,035
275,544
8,304
9.6
Nokian
Renkaat
OYJ
30,451
494,214
(110,321)
(127.2)
Wartsila
OYJ
Abp
14,860
135,685
(34,213)
(39.4)
Luxembourg
ArcelorMittal
SA
15,979
511,873
386
0.4
Netherlands
Aegon
NV
57,287
303,686
29,084
33.5
ASML
Holding
NV
458
306,046
7,690
8.9
ASR
Nederland
NV
10,935
510,511
10,862
12.5
Koninklijke
Ahold
Delhaize
NV
17,798
572,482
7,189
8.3
NN
Group
NV
13,698
694,198
25,887
29.8
OCI
NV
10,656
376,205
41,542
47.9
59
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Spain
Acerinox
SA
44,191
484,036
(12,666)
(14.6)
Banco
de
Sabadell
SA
571,022
466,614
(5,036)
(5.8)
Banco
Santander
SA
120,913
411,096
(9,030)
(10.4)
Enagas
SA
9,824
218,155
771
0.9
Endesa
SA
26,434
576,357
33,129
38.2
Industria
de
Diseno
Textil
SA
14,519
316,587
(21,443)
(24.7)
Mapfre
SA
137,576
287,755
5,555
6.4
Red
Electrica
Corp.
SA
14,325
294,107
17,737
20.5
Repsol
SA
65,359
856,151
25,143
29.0
Telefonica
SA
163,347
791,622
34,439
39.7
Short
Positions
Common
Stocks
Belgium
Anheuser-Busch
InBev
SA/NV
(5,490)
(328,237)
(425)
(0.5)
Elia
Group
SA/NV
(2,119)
(323,298)
(15,510)
(17.9)
China
Prosus
NV
(10,837)
(584,416)
28,828
33.2
Finland
Huhtamaki
OYJ
(7,404)
(257,573)
(1,497)
(1.7)
Kone
OYJ
(3,468)
(181,481)
12,626
14.6
Orion
OYJ
(6,334)
(287,670)
4,998
5.8
UPM-Kymmene
OYJ
(10,169)
(332,069)
5,709
6.6
Luxembourg
APERAM
SA
(4,674)
(206,576)
18,158
20.9
Netherlands
Adyen
NV
(146)
(289,181)
1,887
2.2
Argenx
SE
(1,766)
(552,531)
(22,540)
(26.0)
ASM
International
NV
(841)
(306,235)
(12,352)
(14.2)
BE
Semiconductor
Industries
NV
(2,032)
(173,214)
(3,358)
(3.9)
Heineken
NV
(2,986)
(285,551)
(2,030)
(2.3)
IMCD
NV
(1,336)
(227,912)
(2,890)
(3.3)
Koninklijke
Vopak
NV
(4,113)
(133,074)
(3,852)
(4.4)
SBM
Offshore
NV
(9,483)
(150,330)
(1,502)
(1.7)
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(14,074)
(379,427)
4,283
4.9
Aena
SME
SA
(3,058)
(509,770)
(30,624)
(35.3)
Amadeus
IT
Group
SA
(9,216)
(599,207)
(33,703)
(38.9)
Banco
Bilbao
Vizcaya
Argentaria
SA
(68,162)
(389,200)
9,814
11.3
Bankinter
SA
(42,813)
(250,849)
2,638
3.0
CaixaBank
SA
(183,547)
(622,570)
28,806
33.2
Cellnex
Telecom
SA
(18,350)
(883,083)
(8,134)
(9.4)
Ferrovial
SA
(15,991)
(425,278)
30,172
34.8
Naturgy
Energy
Group
SA
(12,349)
(369,970)
(36,371)
(41.9)
Siemens
Gamesa
Renewable
Energy
SA
(19,452)
(341,173)
48,154
55.5
60
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
38-61
months
maturity
ranging
from
04/24/2025
-
03/31/2027
$3,137,660
$67,889
$720
$68,609
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
5,589
279,498
2,183
3.2
Norway
Equinor
ASA
9,926
370,604
35,343
51.5
Leroy
Seafood
Group
ASA
21,252
194,939
10,248
14.9
Mowi
ASA
5,625
151,515
8,104
11.8
Norsk
Hydro
ASA
34,464
334,848
4,697
6.8
Orkla
ASA
29,802
264,776
835
1.2
Telenor
ASA
12,535
179,871
(8,398)
(12.2)
TOMRA
Systems
ASA
170
8,672
16
0.0
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(3,374)
(226,306)
(4,842)
(7.1)
France
Adevinta
ASA
(32,447)
(296,215)
58,943
85.9
Norway
Gjensidige
Forsikring
ASA
(4,003)
(99,263)
1,219
1.8
Salmar
ASA
(6,675)
(527,653)
(33,502)
(48.8)
Schibsted
ASA
(1,347)
(33,200)
5,243
7.6
United
Kingdom
Subsea
7
SA
(18,330)
(170,300)
(12,200)
(17.8)
61
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.23%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
38-61
months
maturity
ranging
from
04/23/2025
-
03/17/2027
$11,326,355
$18,952
$19,302
$38,254
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Sweden
Atlas
Copco
AB
659
34,206
(2,090)
(5.5)
BillerudKorsnas
AB
25,279
374,609
19,117
50.0
Boliden
AB
3,440
173,532
11,069
28.9
Electrolux
AB
5,943
89,932
(8,173)
(21.4)
Elekta
AB
14,009
110,333
(4,678)
(12.2)
Getinge
AB
7,576
301,820
3,600
9.4
H
&
M
Hennes
&
Mauritz
AB
22,594
303,384
(30,425)
(79.5)
Husqvarna
AB
6,826
71,207
(8,018)
(21.0)
Indutrade
AB
2,735
68,783
4,408
11.5
Lifco
AB
476
12,084
(20)
(0.1)
Nibe
Industrier
AB
665
7,371
195
0.5
Saab
AB
9,672
349,349
(10,792)
(28.2)
Securitas
AB
42,233
476,444
(35,066)
(91.7)
Skanska
AB
11,826
264,574
(25,625)
(67.0)
SKF
AB
12,624
205,846
(16,610)
(43.4)
SSAB
AB
65,702
437,481
36,494
95.4
SSAB
AB
41,664
289,495
3,511
9.2
Svenska
Handelsbanken
AB
42,135
387,450
(32,651)
(85.4)
Swedbank
AB
10,102
150,880
(11,411)
(29.8)
Swedish
Match
AB
12,970
97,535
388
1.0
Swedish
Orphan
Biovitrum
AB
5,873
139,036
12,950
33.9
Telefonaktiebolaget
LM
Ericsson
69,632
634,734
9,800
25.6
Telia
Co.
AB
130,411
522,911
5,617
14.7
Trelleborg
AB
12,866
297,879
40,513
105.9
Volvo
AB
3,906
72,868
(3,706)
(9.7)
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(2,213)
(56,181)
(1,473)
(3.9)
Finland
Nordea
Bank
Abp
(32,095)
(330,321)
27,562
72.0
Sweden
AAK
AB
(10,633)
(197,059)
(4,007)
(10.5)
Alfa
Laval
AB
(7,168)
(246,561)
(3,162)
(8.3)
Assa
Abloy
AB
(9,698)
(260,678)
13,001
34.0
62
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Axfood
AB
(577)
(18,791)
(2,167)
(5.7)
Beijer
Ref
AB
(18,558)
(336,113)
(13,316)
(34.8)
Embracer
Group
AB
(33,239)
(277,451)
(13,216)
(34.5)
Epiroc
AB
(17,283)
(369,664)
19,260
50.3
EQT
AB
(12,157)
(474,102)
(33,467)
(87.5)
Essity
AB
(11,094)
(261,808)
10,223
26.7
Evolution
AB
(553)
(56,259)
4,601
12.0
Hexagon
AB
(52,246)
(732,008)
765
2.0
Hexpol
AB
(5,625)
(54,904)
4,546
11.9
Holmen
AB
(10,260)
(572,698)
5,802
15.2
Sandvik
AB
(12,029)
(255,530)
21,041
55.0
Sinch
AB
(18,561)
(125,889)
28,973
75.7
Skandinaviska
Enskilda
Banken
AB
(15,222)
(164,563)
9,154
23.9
Svenska
Cellulosa
AB
SCA
(13,078)
(253,944)
(5,152)
(13.5)
Sweco
AB
(15,179)
(220,682)
5,253
13.7
Tele2
AB
(12,398)
(187,406)
(13,666)
(35.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-2.24%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
04/25/2022
-
04/25/2023
$20,256,902
$(94,212)
$(275,738)
$(369,950)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
15,430
206,614
(9,125)
2.5
Atco
Ltd.
11,915
409,160
6,299
(1.7)
Canadian
Tire
Corp.
Ltd.
2,214
334,292
4,172
(1.1)
Capital
Power
Corp.
8,891
289,527
1,412
(0.4)
CGI,
Inc.
2,711
215,965
(1,478)
0.4
Empire
Co.
Ltd.
6,631
235,187
6,417
(1.7)
Fairfax
Financial
Holdings
Ltd.
1,184
645,941
29,406
(7.9)
Finning
International,
Inc.
11,276
339,502
(4,057)
1.1
iA
Financial
Corp.,
Inc.
3,197
194,380
1,049
(0.3)
Imperial
Oil
Ltd.
8,277
400,559
10,539
(2.8)
Kinross
Gold
Corp.
50,736
297,886
7,744
(2.1)
Loblaw
Cos.
Ltd.
3,661
328,513
7,930
(2.1)
Magna
International,
Inc.
4,208
270,155
3,519
(1.0)
Manulife
Financial
Corp.
22,245
474,384
5,693
(1.5)
Onex
Corp.
4,391
294,267
(1,115)
0.3
Quebecor,
Inc.
9,917
236,393
4,367
(1.2)
63
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
SNC-Lavalin
Group,
Inc.
11,208
269,856
2,057
(0.6)
Suncor
Energy,
Inc.
15,817
514,940
(21,590)
5.8
Toromont
Industries
Ltd.
2,639
250,168
8,297
(2.2)
West
Fraser
Timber
Co.
Ltd.
3,279
269,790
(13,057)
3.5
Whitecap
Resources,
Inc.
26,475
218,975
(10,579)
2.9
Chile
Lundin
Mining
Corp.
24,891
252,265
(5,973)
1.6
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(6,991)
(332,452)
3,945
(1.1)
Canada
Agnico
Eagle
Mines
Ltd.
(3,641)
(222,802)
2,313
(0.6)
Air
Canada
(16,961)
(329,004)
(6,098)
1.6
Algonquin
Power
&
Utilities
Corp.
(19,886)
(308,435)
(2,379)
0.6
Ballard
Power
Systems,
Inc.
(50,013)
(582,081)
4,822
(1.3)
BCE,
Inc.
(7,839)
(434,542)
(8,651)
2.3
Boralex,
Inc.
(9,105)
(295,112)
(22,219)
6.0
Brookfield
Asset
Management,
Inc.
(7,978)
(451,054)
1,167
(0.3)
CAE,
Inc.
(14,373)
(374,113)
(9,427)
2.5
Cameco
Corp.
(9,606)
(279,770)
(4,397)
1.2
Canadian
Pacific
Railway
Ltd.
(4,090)
(337,564)
453
(0.1)
Dollarama,
Inc.
(5,281)
(299,502)
(14,258)
3.9
Element
Fleet
Management
Corp.
(23,248)
(225,014)
(184)
0.0
Emera,
Inc.
(5,139)
(254,740)
(6,004)
1.6
Fortis,
Inc.
(3,930)
(194,370)
(4,717)
1.3
Franco-Nevada
Corp.
(1,930)
(307,126)
(3,049)
0.8
GFL
Environmental,
Inc.
(6,818)
(221,749)
(11,046)
3.0
Innergex
Renewable
Energy,
Inc.
(18,137)
(288,416)
(5,522)
1.5
Lightspeed
Commerce,
Inc.
(6,428)
(196,056)
(10,023)
2.7
Metro,
Inc.
(5,199)
(299,260)
(6,818)
1.8
Restaurant
Brands
International,
Inc.
(3,507)
(204,896)
(4,716)
1.3
Rogers
Communications,
Inc.
(6,719)
(380,304)
(14,357)
3.9
Royal
Bank
of
Canada
(2,803)
(308,607)
8,162
(2.2)
Saputo,
Inc.
(9,716)
(230,125)
(2,330)
0.6
Shopify,
Inc.
(327)
(221,148)
346
(0.1)
TC
Energy
Corp.
(4,041)
(227,917)
6,018
(1.6)
United
States
Brookfield
Renewable
Corp.
(6,440)
(281,265)
(15,661)
4.2
Zambia
First
Quantum
Minerals
Ltd.
(5,954)
(206,127)
(3,723)
1.0
64
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.50%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
08/25/2023
-
03/25/2024
$2,803,474
$26,113
$23,263
$49,376
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Yangzijiang
Shipbuilding
Holdings
Ltd.
560,316
629,249
25,609
51.9
Singapore
Genting
Singapore
Ltd.
427,319
255,404
(3,152)
(6.4)
Oversea-Chinese
Banking
Corp.
Ltd.
37,100
336,566
(1,508)
(3.1)
Singapore
Technologies
Engineering
Ltd.
100,294
303,796
(3,306)
(6.7)
Short
Positions
Common
Stocks
China
Wilmar
International
Ltd.
(45,900)
(158,962)
4,278
8.7
Singapore
City
Developments
Ltd.
(38,638)
(223,355)
(2,125)
(4.3)
DBS
Group
Holdings
Ltd.
(15,735)
(412,292)
1,055
2.1
Keppel
Corp.
Ltd.
(29,300)
(138,157)
2,361
4.8
Singapore
Telecommunications
Ltd.
(87,100)
(169,126)
1,175
2.4
United
Overseas
Bank
Ltd.
(2,700)
(63,175)
877
1.8
UOL
Group
Ltd.
(21,900)
(113,392)
849
1.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
RBACR
plus
or
minus
a
specified
spread
(-0.68%
to
0.45%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
16-24
months
maturity
07/20/2023
$11,537,984
$15,762
$41,944
$57,706
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
65
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
16,756
166,386
4,269
7.4
Ampol
Ltd.
6,304
143,213
3,249
5.6
Aristocrat
Leisure
Ltd.
7,566
205,356
(9,158)
(15.9)
Aurizon
Holdings
Ltd.
168,520
463,202
11,541
20.0
Australia
&
New
Zealand
Banking
Group
Ltd.
5,722
117,250
(638)
(1.1)
BlueScope
Steel
Ltd.
44,399
690,409
29,922
51.9
Brambles
Ltd.
31,014
228,872
1,016
1.8
Coles
Group
Ltd.
12,880
172,147
797
1.4
Harvey
Norman
Holdings
Ltd.
40,799
162,585
(4,684)
(8.1)
Incitec
Pivot
Ltd.
150,372
425,661
10,311
17.9
JB
Hi-Fi
Ltd.
11,580
468,066
37,597
65.2
Magellan
Financial
Group
Ltd.
12,883
152,407
4,946
8.6
Origin
Energy
Ltd.
28,186
131,198
9,057
15.7
QBE
Insurance
Group
Ltd.
18,082
155,059
7,054
12.2
Qube
Holdings
Ltd.
25,035
58,340
1,945
3.4
Ramsay
Health
Care
Ltd.
1,405
68,045
944
1.6
Sonic
Healthcare
Ltd.
15,889
419,505
6,675
11.6
South32
Ltd.
105,657
401,632
25,885
44.9
Suncorp
Group
Ltd.
34,244
283,872
(326)
(0.6)
Telstra
Corp.
Ltd.
173,063
511,308
(184)
(0.3)
Treasury
Wine
Estates
Ltd.
8,969
77,475
(2,787)
(4.8)
Short
Positions
Common
Stocks
Australia
APA
Group
(41,337)
(328,540)
(15,890)
(27.5)
Cochlear
Ltd.
(2,003)
(334,423)
1,996
3.5
Commonwealth
Bank
of
Australia
(2,456)
(193,416)
1,676
2.9
CSL
Ltd.
(1,219)
(243,364)
3,420
5.9
Domino's
Pizza
Enterprises
Ltd.
(3,001)
(195,347)
(6,707)
(11.6)
Evolution
Mining
Ltd.
(77,485)
(255,740)
2,241
3.9
IDP
Education
Ltd.
(13,471)
(315,276)
(11,080)
(19.2)
IGO
Ltd.
(8,866)
(92,678)
(13,716)
(23.8)
Insurance
Australia
Group
Ltd.
(73,286)
(239,849)
11,373
19.7
Lendlease
Corp.
Ltd.
(14,588)
(121,605)
(4,431)
(7.7)
Lynas
Rare
Earths
Ltd.
(30,108)
(240,034)
(21,343)
(37.0)
Macquarie
Group
Ltd.
(1,831)
(276,910)
(14,355)
(24.9)
National
Australia
Bank
Ltd.
(6,296)
(151,575)
(4,879)
(8.5)
Newcrest
Mining
Ltd.
(3,034)
(61,309)
(1,920)
(3.3)
NEXTDC
Ltd.
(14,213)
(122,446)
(7,181)
(12.4)
Northern
Star
Resources
Ltd.
(16,198)
(130,681)
(3,438)
(6.0)
Orica
Ltd.
(10,229)
(121,704)
(4,446)
(7.7)
OZ
Minerals
Ltd.
(11,807)
(235,466)
(13,086)
(22.7)
Pilbara
Minerals
Ltd.
(77,185)
(182,352)
(26,309)
(45.6)
Pro
Medicus
Ltd.
(7,300)
(264,456)
(12,839)
(22.2)
Qantas
Airways
Ltd.
(71,164)
(275,164)
(1,523)
(2.6)
REA
Group
Ltd.
(1,278)
(128,119)
7,432
12.9
Reece
Ltd.
(9,437)
(132,869)
5,604
9.7
SEEK
Ltd.
(11,182)
(246,256)
10,551
18.3
Transurban
Group
(7,431)
(75,082)
(1,633)
(2.8)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(12,338)
(263,161)
(24,540)
(42.5)
Westpac
Banking
Corp.
(4,112)
(74,290)
(1,293)
(2.2)
WiseTech
Global
Ltd.
(2,665)
(100,307)
544
0.9
66
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
New
Zealand
Xero
Ltd.
(791)
(59,948)
(877)
(1.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.00%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
17-24
months
maturity
08/21/2023
$29,669,177
$(351,871)
$13,624
$(338,247)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Amundi
SA
5,121
350,178
(6,942)
2.1
Atos
SE
20,714
565,627
(76,072)
22.5
Bouygues
SA
15,536
542,270
(24,103)
7.1
Capgemini
SE
1,208
268,059
13,076
(3.9)
Cie
de
Saint-Gobain
8,571
509,978
(39,896)
11.8
Eiffage
SA
2,747
281,931
(1,769)
0.5
Eutelsat
Communications
SA
28,759
312,406
7,153
(2.1)
Ipsen
SA
2,883
360,879
20,630
(6.1)
La
Francaise
des
Jeux
SAEM
9,310
369,352
(7,699)
2.3
Orange
SA
54,972
650,940
1,231
(0.4)
Publicis
Groupe
SA
4,646
281,983
(15,076)
4.5
Renault
SA
9,740
254,604
2,410
(0.7)
Rubis
SCA
10,635
312,593
(3,285)
1.0
Sodexo
SA
4,984
405,578
(3,012)
0.9
Vinci
SA
2,521
257,577
(2,760)
0.8
Germany
Bayerische
Motoren
Werke
AG
4,004
346,016
6,331
(1.9)
Covestro
AG
7,784
391,966
(16,351)
4.8
Deutsche
Bank
AG
(Registered)
51,887
653,475
27,672
(8.2)
Deutsche
Post
AG
(Registered)
10,918
521,355
(39,465)
11.7
GEA
Group
AG
7,841
321,382
(16,842)
5.0
Henkel
AG
&
Co.
KGaA
4,685
313,575
(21,310)
6.3
ProSiebenSat.1
Media
SE
35,597
453,424
(34,871)
10.3
Uniper
SE
10,059
259,866
(18,253)
5.4
Luxembourg
Eurofins
Scientific
SE
3,480
344,251
(3,944)
1.2
Singapore
STMicroelectronics
NV
11,254
489,144
19,595
(5.8)
67
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
France
Accor
SA
(11,364)
(366,140)
(10,397)
3.1
Aeroports
de
Paris
(3,658)
(547,011)
(32,704)
9.7
Air
Liquide
SA
(4,602)
(805,092)
(28,421)
8.4
Alstom
SA
(18,470)
(432,177)
(3,609)
1.1
Cie
Generale
des
Etablissements
Michelin
SCA
(2,236)
(303,013)
(608)
0.2
EssilorLuxottica
SA
(2,268)
(414,796)
(1,431)
0.4
L'Oreal
SA
(1,501)
(599,567)
(481)
0.1
Pernod
Ricard
SA
(1,424)
(312,869)
(17,158)
5.1
Remy
Cointreau
SA
(1,520)
(313,465)
(11,988)
3.5
Safran
SA
(3,805)
(447,984)
1,687
(0.5)
SOITEC
(1,524)
(285,879)
(14,854)
4.4
Valeo
(14,114)
(260,699)
(14,050)
4.2
Germany
adidas
AG
(1,470)
(342,548)
2,516
(0.7)
Allianz
SE
(Registered)
(1,738)
(415,049)
(4,941)
1.5
Carl
Zeiss
Meditec
AG
(1,608)
(259,012)
10,478
(3.1)
CTS
Eventim
AG
&
Co.
KGaA
(4,337)
(294,558)
(14,220)
4.2
Deutsche
Telekom
AG
(Registered)
(27,490)
(511,977)
2,497
(0.7)
Fresenius
Medical
Care
AG
&
Co.
KGaA
(6,654)
(445,890)
4,807
(1.4)
Hannover
Rueck
SE
(3,030)
(514,731)
(11,517)
3.4
LANXESS
AG
(9,242)
(405,707)
22,908
(6.8)
Rational
AG
(383)
(263,781)
22,102
(6.5)
RWE
AG
(7,821)
(340,546)
(17,198)
5.1
Siemens
AG
(Registered)
(2,571)
(356,000)
26,650
(7.9)
Saudi
Arabia
Delivery
Hero
SE
(12,223)
(532,725)
33,078
(9.8)
United
States
Schneider
Electric
SE
(5,403)
(907,112)
6,822
(2.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-4.50%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
16-24
months
maturity
07/19/2023
$24,348,798
$(547,375)
$92,572
$(454,803)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
8,662
692,497
55,959
(12.3)
68
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
Coca-Cola
HBC
AG
10,893
227,184
(18,770)
4.1
Netherlands
Shell
plc
12,837
351,846
20,558
(4.5)
South
Africa
Anglo
American
plc
4,187
217,566
16,679
(3.7)
United
Kingdom
Barclays
plc
136,680
264,951
(43,274)
9.5
Barratt
Developments
plc
42,957
292,443
(23,949)
5.3
BP
plc
79,363
389,068
5,507
(1.2)
British
American
Tobacco
plc
6,475
271,932
6,259
(1.4)
Centrica
plc
382,171
399,771
6,248
(1.4)
DCC
plc
5,619
435,102
1,098
(0.2)
Direct
Line
Insurance
Group
plc
78,126
281,517
(6,403)
1.4
Howden
Joinery
Group
plc
32,564
326,455
(19,581)
4.3
Imperial
Brands
plc
19,354
407,687
3,786
(0.8)
Inchcape
plc
25,529
223,383
(15,087)
3.3
Intertek
Group
plc
3,439
234,601
2,281
(0.5)
Johnson
Matthey
plc
10,430
255,083
(4,507)
1.0
Kingfisher
plc
112,661
376,023
(43,209)
9.5
Lloyds
Banking
Group
plc
552,639
336,539
(11,859)
2.6
M&G
plc
85,319
245,832
3,346
(0.7)
Man
Group
plc
81,474
248,629
9,616
(2.1)
Marks
&
Spencer
Group
plc
118,838
239,858
(14,243)
3.1
Persimmon
plc
9,067
254,251
(16,932)
3.7
Royal
Mail
plc
141,007
605,858
(67,482)
14.8
Sage
Group
plc
(The)
28,706
263,024
1,236
(0.3)
Smith
&
Nephew
plc
14,054
223,527
(8,667)
1.9
Spectris
plc
9,935
336,942
(12,412)
2.7
Unilever
plc
6,175
280,362
1,318
(0.3)
United
States
GlaxoSmithKline
plc
20,722
448,361
7,974
(1.8)
Short
Positions
Common
Stocks
United
Kingdom
Admiral
Group
plc
(6,990)
(234,408)
3,918
(0.9)
AstraZeneca
plc
(8,552)
(1,134,107)
(60,041)
13.2
AVEVA
Group
plc
(20,567)
(656,923)
34,929
(7.7)
B&M
European
Value
Retail
SA
(36,954)
(258,541)
17,117
(3.8)
BT
Group
plc
(167,395)
(399,122)
(3,696)
0.8
Compass
Group
plc
(14,967)
(322,091)
11,477
(2.5)
Croda
International
plc
(3,164)
(325,486)
(17,511)
3.9
Experian
plc
(9,728)
(374,777)
13,383
(2.9)
Halma
plc
(8,757)
(286,504)
1,123
(0.2)
Hargreaves
Lansdown
plc
(18,655)
(245,888)
13,406
(2.9)
HSBC
Holdings
plc
(49,807)
(340,210)
(12,748)
2.8
Informa
plc
(67,437)
(528,370)
877
(0.2)
Ocado
Group
plc
(36,133)
(551,738)
(27,135)
6.0
Prudential
plc
(29,540)
(436,107)
(20,499)
4.5
Reckitt
Benckiser
Group
plc
(3,409)
(260,059)
311
(0.1)
Rentokil
Initial
plc
(53,587)
(369,133)
(11,748)
2.6
Rolls-Royce
Holdings
plc
(207,758)
(273,201)
(16,452)
3.6
Severn
Trent
plc
(15,972)
(643,740)
(28,929)
6.4
St
James's
Place
plc
(13,228)
(249,393)
3,988
(0.9)
Standard
Chartered
plc
(38,361)
(254,641)
(2,210)
0.5
United
Utilities
Group
plc
(21,133)
(311,194)
(12,439)
2.7
69
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Weir
Group
plc
(The)
(9,747)
(208,000)
29,411
(6.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-1.50%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
19-24
months
maturity
07/20/2023
$7,506,086
$34,447
$(1,725)
$32,722
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
18,500
69,612
2,021
6.2
SITC
International
Holdings
Co.
Ltd.
3,000
10,490
(973)
(3.0)
Hong
Kong
ASM
Pacific
Technology
Ltd.
28,200
283,902
(10,216)
(31.2)
Bank
of
East
Asia
Ltd.
(The)
36,200
56,564
276
0.8
CK
Asset
Holdings
Ltd.
29,728
203,204
10,241
31.3
CLP
Holdings
Ltd.
20,000
194,598
300
0.9
HKT
Trust
&
HKT
Ltd.
55,000
75,414
146
0.4
Hong
Kong
&
China
Gas
Co.
Ltd.
6,000
7,248
(1,501)
(4.6)
Kerry
Properties
Ltd.
28,000
78,879
418
1.3
Man
Wah
Holdings
Ltd.
142,400
154,038
(6,714)
(20.5)
New
World
Development
Co.
Ltd.
37,250
151,129
6,340
19.4
Sino
Land
Co.
Ltd.
98,000
126,362
260
0.8
Sun
Hung
Kai
Properties
Ltd.
53,500
636,515
417
1.3
Swire
Pacific
Ltd.
9,500
57,771
2,714
8.3
WH
Group
Ltd.
674,500
423,556
14,784
45.2
Xinyi
Glass
Holdings
Ltd.
61,000
146,258
(8,555)
(26.1)
Macau
Sands
China
Ltd.
22,800
54,241
1,910
5.8
United
Kingdom
CK
Hutchison
Holdings
Ltd.
118,000
862,864
34,407
105.1
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(170,700)
(450,758)
20,599
63.0
Chow
Tai
Fook
Jewellery
Group
Ltd.
(69,400)
(125,344)
3,121
9.5
ESR
Cayman
Ltd.
(116,200)
(360,091)
10,028
30.6
70
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
AIA
Group
Ltd.
(35,000)
(365,466)
(8,702)
(26.6)
Hang
Lung
Properties
Ltd.
(60,000)
(120,935)
(3,288)
(10.0)
Hang
Seng
Bank
Ltd.
(11,900)
(228,870)
(8,147)
(24.9)
Henderson
Land
Development
Co.
Ltd.
(19,000)
(78,869)
1,780
5.4
MTR
Corp.
Ltd.
(76,000)
(409,280)
(10,534)
(32.2)
Power
Assets
Holdings
Ltd.
(27,500)
(179,219)
(2,111)
(6.4)
Swire
Properties
Ltd.
(26,200)
(64,745)
1,881
5.7
Techtronic
Industries
Co.
Ltd.
(35,000)
(560,752)
31,280
95.6
Wharf
Real
Estate
Investment
Co.
Ltd.
(104,000)
(513,995)
(17,320)
(52.9)
Macau
Galaxy
Entertainment
Group
Ltd.
(40,000)
(236,695)
(16,634)
(50.8)
SJM
Holdings
Ltd.
(227,000)
(111,459)
(7,726)
(23.6)
Wynn
Macau
Ltd.
(147,600)
(106,963)
(6,055)
(18.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-18.00%
to
0.28%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
16-24
months
maturity
07/20/2023
$89,237,641
$(440,282)
$180,988
$(259,294)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
15,900
635,291
347
(0.1)
Aisin
Corp.
16,200
553,678
25,458
(9.8)
Iida
Group
Holdings
Co.
Ltd.
30,800
531,021
(20,478)
7.9
Japan
Post
Insurance
Co.
Ltd.
47,200
821,996
1,593
(0.6)
Japan
Tobacco,
Inc.
51,400
877,788
19,668
(7.6)
Kuraray
Co.
Ltd.
60,600
521,644
4,866
(1.9)
Mazda
Motor
Corp.
107,300
788,719
18,746
(7.2)
Mitsubishi
Electric
Corp.
64,200
736,300
8,481
(3.3)
Mitsubishi
HC
Capital,
Inc.
123,200
572,451
(2,941)
1.1
Mizuho
Financial
Group,
Inc.
119,130
1,519,547
(43,346)
16.7
Nabtesco
Corp.
23,300
615,180
16,857
(6.5)
NGK
Insulators
Ltd.
40,300
574,882
9,998
(3.9)
NIPPON
EXPRESS
HOLDINGS,
Inc.
11,300
776,319
(7,735)
3.0
Nitto
Denko
Corp.
7,200
516,154
22,225
(8.6)
Otsuka
Holdings
Co.
Ltd.
16,400
566,584
11,116
(4.3)
Rohm
Co.
Ltd.
7,700
597,828
26,747
(10.3)
Shimamura
Co.
Ltd.
8,100
719,919
(2,088)
0.8
Subaru
Corp.
34,600
549,552
19,239
(7.4)
Sumitomo
Heavy
Industries
Ltd.
22,800
522,483
(6,123)
2.4
71
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Taisei
Corp.
20,675
596,869
(20,455)
7.9
Tokyo
Electric
Power
Co.
Holdings,
Inc.
197,800
652,935
56,791
(21.9)
Yamada
Holdings
Co.
Ltd.
190,700
592,864
(28,872)
11.1
Yamato
Holdings
Co.
Ltd.
29,700
554,801
(882)
0.3
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(26,000)
(554,385)
16,473
(6.4)
Daiichi
Sankyo
Co.
Ltd.
(26,800)
(585,232)
(61,010)
23.5
Daikin
Industries
Ltd.
(3,800)
(690,095)
1,262
(0.5)
Denso
Corp.
(12,400)
(791,121)
(16,331)
6.3
East
Japan
Railway
Co.
(9,100)
(526,685)
(14,867)
5.7
Harmonic
Drive
Systems,
Inc.
(18,800)
(645,639)
(403)
0.2
Honda
Motor
Co.
Ltd.
(19,500)
(552,744)
(14,252)
5.5
ITOCHU
Corp.
(19,600)
(662,989)
(22,890)
8.8
JSR
Corp.
(21,300)
(627,241)
(24,877)
9.6
KDDI
Corp.
(16,900)
(554,094)
(3,345)
1.3
Kikkoman
Corp.
(9,800)
(649,116)
41,022
(15.8)
Kobe
Bussan
Co.
Ltd.
(17,100)
(526,248)
6,532
(2.5)
Lasertec
Corp.
(4,300)
(715,366)
(41,217)
15.9
Mitsubishi
Corp.
(17,500)
(656,718)
(45,971)
17.7
Mitsubishi
UFJ
Financial
Group,
Inc.
(142,500)
(880,812)
7,641
(2.9)
MonotaRO
Co.
Ltd.
(30,200)
(648,163)
(8,100)
3.1
Nexon
Co.
Ltd.
(24,100)
(576,562)
(16,736)
6.5
Nidec
Corp.
(10,500)
(829,322)
(2,767)
1.1
Nippon
Paint
Holdings
Co.
Ltd.
(78,400)
(686,889)
868
(0.3)
Nitori
Holdings
Co.
Ltd.
(5,000)
(629,064)
55,884
(21.6)
Oriental
Land
Co.
Ltd.
(4,200)
(803,902)
(8,721)
3.4
Rakuten
Group,
Inc.
(78,100)
(614,079)
(191)
0.1
Seven
&
i
Holdings
Co.
Ltd.
(13,400)
(638,875)
(27,025)
10.4
Sony
Group
Corp.
(6,800)
(699,555)
(14,426)
5.6
Tokio
Marine
Holdings,
Inc.
(12,800)
(744,874)
(13,599)
5.2
Toyota
Motor
Corp.
(81,600)
(1,471,901)
(106,977)
41.3
Yaskawa
Electric
Corp.
(23,600)
(919,809)
(11,351)
4.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-26.68%
to
1.00%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
4-23
months
maturity
ranging
from
07/20/2022
-
02/16/2024
$255,800,584
$(2,276,130)
$(486,789)
$(2,762,919)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
72
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Alphabet,
Inc.
216
600,772
20,451
(0.7)
Arrow
Electronics,
Inc.
5,233
620,791
(41,602)
1.5
Booking
Holdings,
Inc.
253
594,158
46,850
(1.7)
Citigroup,
Inc.
15,668
836,671
(60,949)
2.2
Coca-Cola
Co.
(The)
15,777
978,174
29,794
(1.1)
Global
Payments,
Inc.
4,519
618,380
15,410
(0.6)
International
Paper
Co.
19,378
894,295
22,866
(0.8)
JPMorgan
Chase
&
Co.
4,247
578,951
(16,266)
0.6
KLA
Corp.
1,626
595,214
21,870
(0.8)
Kraft
Heinz
Co.
(The)
19,806
780,158
32,482
(1.2)
Live
Nation
Entertainment,
Inc.
4,992
587,259
31,336
(1.1)
Lockheed
Martin
Corp.
1,404
619,726
17,985
(0.7)
LyondellBasell
Industries
NV
6,100
627,202
(8,479)
0.3
Macy's,
Inc.
25,563
622,715
(76,433)
2.8
ManpowerGroup,
Inc.
7,274
683,174
(25,230)
0.9
Medtronic
plc
7,469
828,686
9,037
(0.3)
Meta
Platforms,
Inc.
3,294
732,454
40,487
(1.5)
Owens
Corning
7,806
714,249
(43,245)
1.6
Pfizer,
Inc.
18,770
971,723
(46,362)
1.7
SS&C
Technologies
Holdings,
Inc.
8,531
639,996
(29,176)
1.1
Texas
Roadhouse,
Inc.
13,541
1,133,788
18,537
(0.7)
Tyson
Foods,
Inc.
7,586
679,933
7,859
(0.3)
Ulta
Beauty,
Inc.
1,815
722,769
15,679
(0.6)
Walmart,
Inc.
12,210
1,818,313
47,741
(1.7)
Wells
Fargo
&
Co.
13,526
655,470
(40,849)
1.5
Short
Positions
Common
Stocks
United
States
Amgen,
Inc.
(2,439)
(589,799)
(14,477)
0.5
Amphenol
Corp.
(7,796)
(587,429)
4,444
(0.2)
Atmos
Energy
Corp.
(5,426)
(648,353)
(27,239)
1.0
Church
&
Dwight
Co.,
Inc.
(9,114)
(905,749)
(19,139)
0.7
Clarivate
plc
(35,079)
(587,924)
(35,781)
1.3
Commerce
Bancshares,
Inc.
(8,768)
(627,701)
4,559
(0.2)
First
Financial
Bankshares,
Inc.
(19,346)
(853,546)
38,305
(1.4)
GameStop
Corp.
(5,067)
(844,061)
(399,686)
14.5
Grocery
Outlet
Holding
Corp.
(22,342)
(732,371)
(44,461)
1.6
Hormel
Foods
Corp.
(22,897)
(1,180,111)
(42,130)
1.5
Illinois
Tool
Works,
Inc.
(3,943)
(825,664)
7,807
(0.3)
Insulet
Corp.
(2,682)
(714,458)
(48,598)
1.8
M&T
Bank
Corp.
(4,364)
(739,698)
41,898
(1.5)
McCormick
&
Co.,
Inc.
(Non-Voting)
(8,832)
(881,434)
(25,701)
0.9
NVIDIA
Corp.
(2,634)
(718,713)
(66,377)
2.4
Progressive
Corp.
(The)
(5,580)
(636,064)
(24,943)
0.9
Realty
Income
Corp.
(11,532)
(799,168)
(32,405)
1.2
Scotts
Miracle-Gro
Co.
(The)
(5,150)
(633,244)
35,896
(1.3)
STERIS
plc
(2,792)
(675,022)
(27,250)
1.0
Sysco
Corp.
(8,069)
(658,834)
(15,331)
0.6
TopBuild
Corp.
(3,460)
(627,609)
157,187
(5.7)
Webster
Financial
Corp.
(10,505)
(589,541)
16,388
(0.6)
Welltower,
Inc.
(8,225)
(790,752)
(33,969)
1.2
Williams
Cos.,
Inc.
(The)
(19,475)
(650,660)
(36,613)
1.3
73
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Wingstop,
Inc.
(6,120)
(718,182)
12,363
(0.4)
74
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
7
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
94.1%
INVESTMENT
COMPANIES
-
33.2%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(a)(b)
1,178,066
1,178,066
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(a)
126,385,945
126,322,753
TOTAL
INVESTMENT
COMPANIES
(Cost
$127,494,283)
127,500,819
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
60.9%
U.S.
Treasury
Bills
0.05%,
4/7/2022
(c)
$
1,487,000
1,486,964
0.06%,
4/21/2022
(c)(d)
4,319,000
4,318,706
0.06%,
4/28/2022
(c)(d)
37,047,000
37,044,048
0.09%,
6/2/2022
(c)(d)
12,028,000
12,021,237
0.11%,
6/9/2022
(c)(d)
25,916,000
25,897,373
0.13%,
6/16/2022
(c)
1,199,000
1,197,950
0.16%,
6/23/2022
(c)(d)
6,247,000
6,240,285
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
60.9%
(continued)
0.21%,
6/30/2022
(c)(d)
$
7,150,000
7,140,861
0.28%,
7/14/2022
(c)
15,982,000
15,953,952
0.37%,
7/21/2022
(c)(d)
30,202,000
30,140,539
0.52%,
8/4/2022
(c)(d)
42,732,000
42,613,645
0.77%,
8/18/2022
(c)(d)
2,368,000
2,360,289
0.71%,
8/25/2022
(c)(d)
19,922,000
19,849,567
0.67%,
9/1/2022
(c)(d)
5,398,000
5,377,089
0.70%,
9/8/2022
(c)(d)
3,054,000
3,041,560
0.82%,
9/15/2022
(c)(d)
12,583,000
12,528,627
0.87%,
9/22/2022
(c)(d)
6,980,000
6,948,006
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$234,308,712)
234,160,698
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$361,802,995)
361,661,517
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
94.1%
(Cost
$361,802,995)
361,661,517
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
5.9%
(e)
22,746,634
NET
ASSETS
-
100.0%
384,408,151
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/28/2022
HKD
1,099,500
$
1,528
Hang
Seng
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
04/28/2022
HKD
4,398,000
7,009
Swiss
Market
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
06/17/2022
CHF
1,564,420
75,481
Swiss
Market
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
06/17/2022
CHF
2,647,480
134,592
75
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.13%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
AUD
2,754,472
$
128,379
MSCI
Canada
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BA
plus
or
minus
a
specified
spread
(-0.77%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
CAD
1,783,758
26,996
MSCI
France
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.80%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
957,356
59,391
MSCI
Germany
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.50%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
791,569
29,969
MSCI
Hong
Kong
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
HIBOR
plus
or
minus
a
specified
spread
(-0.25%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
HKD
5,714,131
35,884
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.55%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
636,664
51,836
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(-0.61%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
JPY
1,014,146,383
835,751
76
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Netherlands
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
1,663,893
$
135,371
MSCI
Singapore
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SORA
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
SGD
472,572
25,695
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.25%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
1,137,424
43,012
MSCI
Sweden
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
STIBOR
plus
or
minus
a
specified
spread
(-1.00%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
SEK
8,817,326
28,173
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.50%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
CHF
1,785,127
109,421
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
GBP
834,528
57,758
1,786,246
$
1,786,246
77
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
8
4/2022
EUR
$
1,281,498
$
92,419
CAC
40
10
Euro
Index
40
4/2022
EUR
2,945,944
125,515
IBEX
35
Index
10
4/2022
EUR
931,009
25,513
OMXS30
Index
37
4/2022
SEK
820,482
6,274
DAX
Index
3
6/2022
EUR
1,197,488
27,002
FTSE
100
Index
38
6/2022
GBP
3,736,914
225,572
S&P
500
E-Mini
Index
477
6/2022
USD
108,058,387
6,749,797
S&P/TSX
60
Index
21
6/2022
CAD
4,424,925
87,942
SPI
200
Index
10
6/2022
AUD
1,399,134
74,641
7,414,675
Short
Contracts
Hang
Seng
Index
(3)
4/2022
HKD
(421,087)
(5,211)
MSCI
Singapore
Index
(1)
4/2022
SGD
(24,706)
(493)
TOPIX
Index
(3)
6/2022
JPY
(479,670)
4,162
(1,542)
$
7,413,133
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
2,856,001
USD
2,072,020
CITI
6/15/2022
$
67,829
AUD
2,855,999
USD
2,072,021
JPMC
6/15/2022
67,826
CAD
4,429,708
USD
3,487,494
CITI
6/15/2022
55,193
CAD
4,429,702
USD
3,487,494
JPMC
6/15/2022
55,189
ILS
617,502
USD
191,668
CITI
6/15/2022
2,273
ILS
617,498
USD
191,667
JPMC
6/15/2022
2,272
NOK
1,565,759
USD
175,342
CITI
6/15/2022
2,423
NOK
1,565,756
USD
175,342
JPMC
6/15/2022
2,423
NZD
88,500
USD
59,189
CITI
6/15/2022
2,069
NZD
88,499
USD
59,188
JPMC
6/15/2022
2,069
SEK
4,294,001
USD
445,763
CITI
6/15/2022
11,786
SEK
4,294,001
USD
445,764
JPMC
6/15/2022
11,786
USD
213,293
CHF
194,500
CITI
6/15/2022
2,140
USD
213,293
CHF
194,500
JPMC
6/15/2022
2,139
USD
30,866
DKK
204,000
CITI
6/15/2022
442
USD
30,865
DKK
204,000
JPMC
6/15/2022
442
USD
287,217
EUR
255,000
CITI
6/15/2022
4,324
USD
287,216
EUR
255,000
JPMC
6/15/2022
4,324
USD
120,087
GBP
89,500
CITI
6/15/2022
2,550
USD
120,087
GBP
89,500
JPMC
6/15/2022
2,549
USD
173,496
HKD
1,355,000
CITI
6/15/2022
333
USD
173,495
HKD
1,355,000
JPMC
6/15/2022
332
USD
9,626
SEK
89,809
CITI
6/15/2022
56
USD
9,626
SEK
89,810
JPMC
6/15/2022
56
Total
unrealized
appreciation
302,825
CHF
2,739,291
USD
2,987,823
CITI
6/15/2022
(13,990)
CHF
2,739,291
USD
2,987,827
JPMC
6/15/2022
(13,993)
DKK
4,984,221
USD
761,004
CITI
6/15/2022
(17,680)
DKK
4,984,222
USD
761,005
JPMC
6/15/2022
(17,681)
78
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
8,045,946
USD
9,099,576
CITI
6/15/2022
$
(173,536)
EUR
8,045,934
USD
9,099,574
JPMC
6/15/2022
(173,548)
GBP
3,204,003
USD
4,301,641
CITI
6/15/2022
(93,915)
GBP
3,203,998
USD
4,301,640
JPMC
6/15/2022
(93,919)
HKD
7,070,000
USD
906,122
CITI
6/15/2022
(2,607)
HKD
7,070,000
USD
906,123
JPMC
6/15/2022
(2,608)
JPY
703,251,503
USD
6,116,024
CITI
6/15/2022
(328,079)
JPY
703,251,498
USD
6,116,032
JPMC
6/15/2022
(328,087)
NOK
130,000
USD
14,793
CITI
6/15/2022
(34)
NOK
130,000
USD
14,793
JPMC
6/15/2022
(34)
SEK
4,839,500
USD
518,860
CITI
6/15/2022
(3,185)
SEK
4,839,499
USD
518,861
JPMC
6/15/2022
(3,185)
SGD
812,359
USD
602,021
CITI
6/15/2022
(2,656)
SGD
812,356
USD
602,019
JPMC
6/15/2022
(2,657)
USD
80,784
AUD
111,000
CITI
6/15/2022
(2,383)
USD
80,783
AUD
111,000
JPMC
6/15/2022
(2,383)
USD
3,155
CAD
4,000
CITI
6/15/2022
(44)
USD
3,155
CAD
4,000
JPMC
6/15/2022
(44)
USD
6,073
NZD
9,000
CITI
6/15/2022
(157)
USD
6,073
NZD
9,000
JPMC
6/15/2022
(157)
USD
31,466
SEK
299,312
CITI
6/15/2022
(427)
USD
31,466
SEK
299,308
JPMC
6/15/2022
(427)
USD
19,905
SGD
27,000
CITI
6/15/2022
(16)
USD
19,904
SGD
27,000
JPMC
6/15/2022
(16)
Total
unrealized
depreciation
(1,277,448)
Net
unrealized
depreciation
$
(974,623)
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.41%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
09/26/2022
-
05/25/2023
$112,744,886
$(504,967)
$2,614,404
$2,109,437
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Crocs,
Inc.
26,993
2,062,265
(44,269)
(2.1)
Dow,
Inc.
25,666
1,635,438
(25,153)
(1.2)
DuPont
de
Nemours,
Inc.
19,032
1,400,375
(66,802)
(3.2)
79
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
International
Paper
Co.
68,010
3,138,662
(11,562)
(0.5)
Lennar
Corp.
21,616
1,754,571
(34,802)
(1.6)
LyondellBasell
Industries
NV
22,476
2,310,982
(109,458)
(5.2)
Mattel,
Inc.
79,729
1,770,781
(55,810)
(2.6)
Mohawk
Industries,
Inc.
9,262
1,150,340
(67,798)
(3.2)
NIKE,
Inc.
12,858
1,730,172
11,058
0.5
Olin
Corp.
34,705
1,814,377
(2,429)
(0.1)
PulteGroup,
Inc.
33,737
1,413,580
(64,100)
(3.0)
Ralph
Lauren
Corp.
15,424
1,749,699
(61,696)
(2.9)
Toll
Brothers,
Inc.
36,108
1,697,798
(75,466)
(3.6)
Tri
Pointe
Homes,
Inc.
83,098
1,668,608
(73,957)
(3.5)
United
States
Steel
Corp.
28,559
1,077,817
(20,277)
(1.0)
Verizon
Communications,
Inc.
20,766
1,057,820
(7,060)
(0.3)
Walgreens
Boots
Alliance,
Inc.
23,708
1,061,407
(55,714)
(2.6)
Walmart,
Inc.
42,800
6,373,776
234,116
11.1
Westlake
Corp.
11,159
1,377,021
(42,404)
(2.0)
Westrock
Co.
35,801
1,683,721
(33,295)
(1.6)
Short
Positions
Common
Stocks
United
States
Air
Products
and
Chemicals,
Inc.
(4,511)
(1,127,344)
(15,112)
(0.7)
Albemarle
Corp.
(5,246)
(1,160,153)
(18,728)
(0.9)
Amcor
plc
(92,217)
(1,044,819)
922
0.0
AptarGroup,
Inc.
(9,353)
(1,098,978)
(2,432)
(0.1)
Ashland
Global
Holdings,
Inc.
(11,453)
(1,127,090)
1,031
0.0
Ball
Corp.
(18,251)
(1,642,590)
77,202
3.7
Cabot
Corp.
(20,142)
(1,377,914)
36,860
1.7
Costco
Wholesale
Corp.
(2,428)
(1,398,164)
(48,900)
(2.3)
Crown
Holdings,
Inc.
(12,262)
(1,533,854)
56,160
2.7
Ecolab,
Inc.
(6,302)
(1,112,681)
6,491
0.3
FMC
Corp.
(7,392)
(972,565)
36,812
1.7
Graphic
Packaging
Holding
Co.
(87,673)
(1,756,967)
10,521
0.5
Grocery
Outlet
Holding
Corp.
(74,949)
(2,456,828)
8,244
0.4
Hanesbrands,
Inc.
(62,389)
(928,972)
21,212
1.0
Helen
of
Troy
Ltd.
(7,667)
(1,501,505)
(5,060)
(0.2)
International
Flavors
&
Fragrances,
Inc.
(10,176)
(1,336,414)
(18,622)
(0.9)
Leggett
&
Platt,
Inc.
(28,487)
(991,348)
33,330
1.6
Lululemon
Athletica,
Inc.
(3,428)
(1,252,008)
(146,811)
(7.0)
Peloton
Interactive,
Inc.
(50,852)
(1,343,510)
101,704
4.8
Performance
Food
Group
Co.
(22,895)
(1,165,584)
23,811
1.1
RPM
International,
Inc.
(17,900)
(1,457,776)
(16,468)
(0.8)
Scotts
Miracle-Gro
Co.
(The)
(17,810)
(2,189,918)
43,278
2.1
Sherwin-Williams
Co.
(The)
(5,369)
(1,340,210)
(23,677)
(1.1)
Skechers
USA,
Inc.
(29,513)
(1,202,950)
(10,625)
(0.5)
Sprouts
Farmers
Market,
Inc.
(63,431)
(2,028,523)
55,185
2.6
Sysco
Corp.
(28,216)
(2,303,836)
(20,880)
(1.0)
T-Mobile
US,
Inc.
(7,946)
(1,019,869)
(32,261)
(1.5)
TopBuild
Corp.
(11,936)
(2,165,071)
114,586
5.4
Vulcan
Materials
Co.
(6,808)
(1,250,630)
6,876
0.3
Worthington
Industries,
Inc.
(19,781)
(1,016,941)
21,561
1.0
80
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-0.10%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$45,529,341
$45,778
$(155,580)
$(109,802)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
55,929
555,370
14,248
(13.0)
Ampol
Ltd.
24,995
567,832
12,882
(11.7)
Aristocrat
Leisure
Ltd.
27,211
738,561
(32,936)
30.0
Aurizon
Holdings
Ltd.
624,008
1,715,177
42,743
(38.9)
Australia
&
New
Zealand
Banking
Group
Ltd.
32,676
669,564
(3,643)
3.3
BlueScope
Steel
Ltd.
163,341
2,539,969
110,081
(100.3)
Brambles
Ltd.
106,422
785,356
3,488
(3.2)
Coles
Group
Ltd.
69,327
926,586
4,287
(3.9)
Harvey
Norman
Holdings
Ltd.
203,232
809,884
(23,334)
21.3
Incitec
Pivot
Ltd.
482,896
1,366,943
33,111
(30.2)
JB
Hi-Fi
Ltd.
44,085
1,781,924
143,133
(130.4)
Magellan
Financial
Group
Ltd.
46,643
551,789
18,172
(16.6)
Origin
Energy
Ltd.
103,868
483,477
33,375
(30.4)
QBE
Insurance
Group
Ltd.
77,584
665,307
30,671
(27.9)
Ramsay
Health
Care
Ltd.
5,608
271,599
3,767
(3.4)
Sonic
Healthcare
Ltd.
56,487
1,491,383
23,731
(21.6)
South32
Ltd.
388,716
1,477,618
95,232
(86.7)
Suncorp
Group
Ltd.
130,030
1,077,909
(1,238)
1.1
Tabcorp
Holdings
Ltd.
93,690
373,271
22,115
(20.1)
Telstra
Corp.
Ltd.
641,780
1,896,113
(417)
0.4
Woodside
Petroleum
Ltd.
20,527
493,293
23,875
(21.7)
Short
Positions
Common
Stocks
Australia
APA
Group
(145,371)
(1,155,386)
(55,880)
50.9
Cleanaway
Waste
Management
Ltd.
(102,666)
(235,489)
(11,166)
10.2
Cochlear
Ltd.
(6,363)
(1,062,373)
6,340
(5.8)
Commonwealth
Bank
of
Australia
(12,194)
(960,306)
8,320
(7.6)
CSL
Ltd.
(5,042)
(1,006,598)
14,147
(12.9)
Domino's
Pizza
Enterprises
Ltd.
(10,566)
(687,782)
(23,099)
21.0
Evolution
Mining
Ltd.
(283,781)
(936,622)
8,207
(7.5)
IDP
Education
Ltd.
(47,333)
(1,107,786)
(38,932)
35.5
IGO
Ltd.
(39,276)
(410,562)
(60,762)
55.3
Insurance
Australia
Group
Ltd.
(279,770)
(915,627)
43,417
(39.5)
Lendlease
Corp.
Ltd.
(53,788)
(448,373)
(16,839)
15.3
Lynas
Rare
Earths
Ltd.
(112,594)
(897,650)
(79,816)
72.7
81
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Macquarie
Group
Ltd.
(8,895)
(1,345,228)
(69,735)
63.5
National
Australia
Bank
Ltd.
(34,118)
(821,387)
(26,437)
24.1
NEXTDC
Ltd.
(39,873)
(343,510)
(20,146)
18.3
Northern
Star
Resources
Ltd.
(70,784)
(571,064)
(15,024)
13.7
Orica
Ltd.
(66,728)
(793,926)
(29,005)
26.4
OZ
Minerals
Ltd.
(37,476)
(747,381)
(42,106)
38.3
Pilbara
Minerals
Ltd.
(298,562)
(705,362)
(101,769)
92.7
Pro
Medicus
Ltd.
(23,160)
(839,013)
(40,733)
37.1
Qantas
Airways
Ltd.
(240,016)
(928,050)
(5,136)
4.7
REA
Group
Ltd.
(6,275)
(629,065)
36,490
(33.2)
Reece
Ltd.
(35,598)
(501,204)
21,140
(19.3)
SEEK
Ltd.
(36,870)
(811,972)
34,790
(31.7)
Transurban
Group
(113,105)
(1,142,808)
(24,001)
21.9
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(36,376)
(775,874)
(72,350)
65.9
WiseTech
Global
Ltd.
(11,914)
(448,428)
2,432
(2.2)
Woolworths
Group
Ltd.
(11,832)
(328,513)
(6,922)
6.3
New
Zealand
Xero
Ltd.
(3,913)
(296,557)
(4,336)
3.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.75%
to
0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$94,772,020
$(2,047,271)
$(683,743)
$(2,731,014)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
34,748
2,777,983
224,483
(8.2)
Netherlands
Shell
plc
40,258
1,103,420
64,471
(2.4)
South
Africa
Anglo
American
plc
14,720
764,886
58,636
(2.1)
United
Kingdom
abrdn
plc
332,755
931,746
20,921
(0.8)
Barclays
plc
636,612
1,234,057
(201,557)
7.4
Barratt
Developments
plc
142,698
971,461
(79,555)
2.9
BP
plc
256,160
1,255,794
17,775
(0.7)
British
American
Tobacco
plc
27,126
1,139,217
26,221
(1.0)
Centrica
plc
1,369,508
1,432,578
22,390
(0.8)
DCC
plc
22,100
1,711,292
4,138
(0.2)
Direct
Line
Insurance
Group
plc
232,979
839,510
(19,095)
0.7
82
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Howden
Joinery
Group
plc
90,914
911,416
(54,408)
2.0
Imperial
Brands
plc
78,264
1,648,611
15,310
(0.6)
Inchcape
plc
91,721
802,575
(54,203)
2.0
Kingfisher
plc
418,402
1,396,478
(161,181)
5.9
Lloyds
Banking
Group
plc
1,889,271
1,150,505
(40,543)
1.5
M&G
plc
406,840
1,172,241
15,957
(0.6)
Man
Group
plc
344,719
1,051,955
40,686
(1.5)
Marks
&
Spencer
Group
plc
424,977
857,757
(50,935)
1.9
Persimmon
plc
32,979
924,777
(61,585)
2.3
Royal
Mail
plc
506,461
2,176,085
(242,193)
8.9
Sage
Group
plc
(The)
143,138
1,311,529
6,163
(0.2)
Spectris
plc
35,158
1,192,370
(43,520)
1.6
SSE
plc
41,876
956,827
32,124
(1.2)
Unilever
plc
36,799
1,670,777
7,852
(0.3)
Vodafone
Group
plc
605,707
993,230
(9,149)
0.3
United
States
GlaxoSmithKline
plc
78,962
1,708,497
30,383
(1.1)
Short
Positions
Common
Stocks
United
Kingdom
Abcam
plc
(48,837)
(882,733)
(26,853)
1.0
Admiral
Group
plc
(28,931)
(970,195)
16,216
(0.6)
AstraZeneca
plc
(32,668)
(4,332,203)
(229,353)
8.4
AVEVA
Group
plc
(59,207)
(1,891,110)
100,553
(3.7)
B&M
European
Value
Retail
SA
(162,336)
(1,135,752)
75,196
(2.8)
BT
Group
plc
(679,104)
(1,619,194)
(14,994)
0.5
Compass
Group
plc
(47,941)
(1,031,695)
36,761
(1.3)
Croda
International
plc
(14,744)
(1,516,741)
(81,599)
3.0
Dechra
Pharmaceuticals
plc
(14,614)
(775,888)
34,501
(1.3)
Experian
plc
(32,840)
(1,265,182)
45,180
(1.7)
Halma
plc
(39,306)
(1,285,979)
5,042
(0.2)
Hargreaves
Lansdown
plc
(77,124)
(1,016,558)
55,423
(2.0)
Informa
plc
(270,332)
(2,118,056)
3,514
(0.1)
Ocado
Group
plc
(184,455)
(2,816,560)
(138,522)
5.1
Prudential
plc
(115,500)
(1,705,158)
(80,149)
2.9
Reckitt
Benckiser
Group
plc
(16,418)
(1,252,463)
1,499
(0.1)
Rentokil
Initial
plc
(223,750)
(1,541,297)
(49,053)
1.8
Rolls-Royce
Holdings
plc
(778,375)
(1,023,561)
(61,640)
2.3
Severn
Trent
plc
(65,916)
(2,656,696)
(119,387)
4.4
St
James's
Place
plc
(54,846)
(1,034,034)
16,535
(0.6)
Standard
Chartered
plc
(138,747)
(921,004)
(7,994)
0.3
United
Utilities
Group
plc
(126,585)
(1,864,030)
(74,510)
2.7
Whitbread
plc
(22,946)
(854,363)
(11,435)
0.4
83
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.15%
to
0.04%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$25,237,664
$49,873
$(2,907)
$46,966
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
159,000
598,283
16,765
35.7
SITC
International
Holdings
Co.
Ltd.
31,000
108,398
(10,010)
(21.3)
Hong
Kong
ASM
Pacific
Technology
Ltd.
85,400
859,760
(31,544)
(67.2)
Bank
of
East
Asia
Ltd.
(The)
141,800
221,568
1,080
2.3
CK
Asset
Holdings
Ltd.
83,497
570,738
27,505
58.6
CLP
Holdings
Ltd.
74,000
720,012
1,112
2.4
Henderson
Land
Development
Co.
Ltd.
2,000
8,302
(187)
(0.4)
HKT
Trust
&
HKT
Ltd.
242,000
331,820
644
1.4
Hong
Kong
&
China
Gas
Co.
Ltd.
67,955
82,084
(16,999)
(36.2)
Kerry
Properties
Ltd.
96,000
270,441
1,433
3.1
Man
Wah
Holdings
Ltd.
547,600
592,356
(26,045)
(55.5)
New
World
Development
Co.
Ltd.
135,250
548,729
23,021
49.0
Sino
Land
Co.
Ltd.
392,000
505,449
1,039
2.2
Sun
Hung
Kai
Properties
Ltd.
150,500
1,790,571
687
1.5
Swire
Pacific
Ltd.
47,000
285,813
13,426
28.6
WH
Group
Ltd.
1,748,500
1,097,980
37,603
80.1
Xinyi
Glass
Holdings
Ltd.
206,000
493,919
(28,891)
(61.5)
Macau
Sands
China
Ltd.
79,200
188,415
6,635
14.1
United
Kingdom
CK
Hutchison
Holdings
Ltd.
400,500
2,928,620
116,779
248.6
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(635,200)
(1,677,337)
77,422
164.8
Chow
Tai
Fook
Jewellery
Group
Ltd.
(161,600)
(291,868)
7,267
15.5
ESR
Cayman
Ltd.
(375,800)
(1,164,564)
32,431
69.1
Hong
Kong
AIA
Group
Ltd.
(105,000)
(1,096,398)
(26,106)
(55.6)
Hang
Lung
Properties
Ltd.
(269,000)
(542,190)
(14,742)
(31.4)
Hang
Seng
Bank
Ltd.
(41,900)
(805,852)
(28,686)
(61.1)
MTR
Corp.
Ltd.
(279,026)
(1,502,629)
(38,673)
(82.3)
Power
Assets
Holdings
Ltd.
(51,000)
(332,370)
(3,914)
(8.3)
Swire
Properties
Ltd.
(65,000)
(160,628)
4,666
9.9
84
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
(continued)
Techtronic
Industries
Co.
Ltd.
(114,500)
(1,834,459)
102,329
217.9
Wharf
Real
Estate
Investment
Co.
Ltd.
(308,000)
(1,522,217)
(50,341)
(107.2)
Macau
Galaxy
Entertainment
Group
Ltd.
(141,000)
(834,351)
(58,635)
(124.8)
SJM
Holdings
Ltd.
(1,102,000)
(541,092)
(37,505)
(79.9)
Wynn
Macau
Ltd.
(1,005,200)
(728,451)
(49,693)
(105.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-0.25%
to
0.03%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/10/2026
$320,980,138
$(1,421,771)
$1,054,368
$(367,403)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
54,700
2,185,559
1,186
(0.3)
Aisin
Corp.
61,800
2,112,178
97,117
(26.4)
Hino
Motors
Ltd.
316,200
1,848,452
(22,998)
6.3
Iida
Group
Holdings
Co.
Ltd.
115,300
1,987,881
(76,656)
20.9
Japan
Post
Insurance
Co.
Ltd.
167,700
2,920,523
5,661
(1.5)
Japan
Tobacco,
Inc.
173,800
2,968,084
66,559
(18.1)
Mazda
Motor
Corp.
372,700
2,739,567
65,114
(17.7)
Mitsubishi
Electric
Corp.
251,400
2,883,270
33,212
(9.0)
Mitsubishi
HC
Capital,
Inc.
412,000
1,914,365
(10,387)
2.8
Mizuho
Financial
Group,
Inc.
439,000
5,599,608
(159,733)
43.5
Nabtesco
Corp.
79,900
2,109,564
57,389
(15.6)
NIPPON
EXPRESS
HOLDINGS,
Inc.
38,600
2,651,850
(26,422)
7.2
Otsuka
Holdings
Co.
Ltd.
52,400
1,810,304
35,515
(9.7)
Rohm
Co.
Ltd.
26,400
2,049,696
91,703
(25.0)
Shimamura
Co.
Ltd.
30,700
2,728,581
(7,742)
2.1
Subaru
Corp.
124,000
1,969,491
68,950
(18.8)
Sumitomo
Heavy
Industries
Ltd.
79,100
1,812,648
(21,223)
5.8
Taisei
Corp.
73,900
2,133,427
(73,223)
19.9
Tokyo
Electric
Power
Co.
Holdings,
Inc.
697,800
2,303,428
200,348
(54.5)
Yamada
Holdings
Co.
Ltd.
668,200
2,077,357
(101,166)
27.5
Yamato
Holdings
Co.
Ltd.
107,300
2,004,382
(4,053)
1.1
85
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(94,600)
(2,017,109)
59,938
(16.3)
Daiichi
Sankyo
Co.
Ltd.
(91,900)
(2,006,820)
(209,209)
56.9
Daikin
Industries
Ltd.
(13,300)
(2,415,332)
4,418
(1.2)
Denso
Corp.
(49,400)
(3,151,726)
(65,062)
17.7
East
Japan
Railway
Co.
(34,100)
(1,973,624)
(55,709)
15.2
Fast
Retailing
Co.
Ltd.
(3,500)
(1,794,300)
(73,021)
19.9
Harmonic
Drive
Systems,
Inc.
(61,300)
(2,105,196)
(1,150)
0.3
Honda
Motor
Co.
Ltd.
(71,900)
(2,038,066)
(52,550)
14.3
ITOCHU
Corp.
(74,200)
(2,509,886)
(86,654)
23.6
JSR
Corp.
(75,000)
(2,208,594)
(87,596)
23.8
KDDI
Corp.
(64,400)
(2,111,460)
(12,746)
3.5
Kikkoman
Corp.
(37,300)
(2,470,616)
156,134
(42.5)
Kobe
Bussan
Co.
Ltd.
(69,200)
(2,129,610)
26,433
(7.2)
Lasertec
Corp.
(15,600)
(2,595,280)
(149,531)
40.7
Mitsubishi
Corp.
(68,600)
(2,574,335)
(180,208)
49.0
Mitsubishi
UFJ
Financial
Group,
Inc.
(532,000)
(3,288,367)
27,903
(7.6)
MonotaRO
Co.
Ltd.
(106,000)
(2,275,008)
(28,432)
7.7
Nexon
Co.
Ltd.
(86,800)
(2,076,580)
(60,278)
16.4
Nidec
Corp.
(38,600)
(3,048,747)
(10,172)
2.8
Nippon
Paint
Holdings
Co.
Ltd.
(314,400)
(2,754,565)
3,480
(0.9)
Nitori
Holdings
Co.
Ltd.
(17,700)
(2,226,886)
197,828
(53.8)
Oriental
Land
Co.
Ltd.
(16,100)
(3,081,626)
(33,430)
9.1
Rakuten
Group,
Inc.
(291,700)
(2,293,557)
(712)
0.2
Seven
&
i
Holdings
Co.
Ltd.
(44,800)
(2,135,939)
(90,353)
24.6
Shinsei
Bank
Ltd.
(99,800)
(1,820,278)
63,248
(17.2)
Sony
Group
Corp.
(25,100)
(2,582,180)
(53,251)
14.5
Tokio
Marine
Holdings,
Inc.
(47,000)
(2,735,083)
(49,936)
13.6
Toyota
Motor
Corp.
(299,000)
(5,393,363)
(391,986)
106.7
Yaskawa
Electric
Corp.
(83,300)
(3,246,614)
(40,066)
10.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
01/13/2025
-
03/30/2027
$63,621,054
$(798,579)
$90,823
$(707,756)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
86
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Amundi
SA
16,887
1,154,747
55,184
(7.8)
Arkema
SA
6,409
766,133
(6,465)
0.9
Atos
SE
75,626
2,065,083
(93,723)
13.2
Bouygues
SA
50,686
1,769,148
(3,270)
0.5
Capgemini
SE
3,751
832,359
82,075
(11.6)
Carrefour
SA
45,603
992,416
105,560
(14.9)
Casino
Guichard
Perrachon
SA
21,047
387,500
45,832
(6.5)
Cie
de
Saint-Gobain
29,830
1,774,897
(38,423)
5.4
Eiffage
SA
11,184
1,147,839
41,919
(5.9)
Electricite
de
France
SA
54,590
512,392
13,606
(1.9)
Eutelsat
Communications
SA
90,283
980,735
60,039
(8.5)
Ipsen
SA
12,796
1,601,737
169,258
(23.9)
Kering
SA
937
591,554
(10,377)
1.5
La
Francaise
des
Jeux
SAEM
30,813
1,222,433
18,947
(2.7)
Orange
SA
195,757
2,318,017
48,725
(6.9)
Publicis
Groupe
SA
23,119
1,403,177
21,548
(3.0)
Renault
SA
32,825
858,048
(1,878)
0.3
Rexel
SA
41,888
894,218
62,818
(8.9)
Rubis
SCA
44,742
1,315,096
(13,580)
1.9
SEB
SA
4,229
589,780
25,093
(3.5)
Sodexo
SA
20,228
1,646,072
69,950
(9.9)
Thales
SA
4,203
526,365
11,100
(1.6)
Veolia
Environnement
SA
17,180
550,851
15,293
(2.2)
Vinci
SA
7,483
764,558
12,648
(1.8)
Vivendi
SE
62,218
812,848
37,879
(5.4)
Luxembourg
Eurofins
Scientific
SE
12,081
1,195,086
61,429
(8.7)
SES
SA
69,054
630,617
73,550
(10.4)
Singapore
STMicroelectronics
NV
39,899
1,734,170
147,534
(20.8)
Short
Positions
Common
Stocks
France
Accor
SA
(42,018)
(1,353,790)
(97,642)
13.8
Aeroports
de
Paris
(13,320)
(1,991,849)
(208,772)
29.5
Air
Liquide
SA
(17,928)
(3,136,395)
(226,663)
32.0
Alstom
SA
(64,630)
(1,512,270)
(33,842)
4.8
Danone
SA
(17,084)
(943,771)
22,190
(3.1)
Dassault
Aviation
SA
(3,909)
(617,298)
(58,338)
8.2
Edenred
(9,833)
(486,191)
(43,280)
6.1
Engie
SA
(59,898)
(787,479)
(42,151)
6.0
EssilorLuxottica
SA
(8,333)
(1,524,028)
(88,272)
12.5
Faurecia
SE
(23,875)
(620,959)
68,240
(9.6)
Getlink
SE
(69,715)
(1,255,543)
(141,830)
20.0
L'Oreal
SA
(5,749)
(2,296,411)
(51,681)
7.3
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(624)
(445,411)
(29,446)
4.2
Pernod
Ricard
SA
(5,789)
(1,271,908)
(88,152)
12.5
Remy
Cointreau
SA
(7,663)
(1,580,318)
(116,823)
16.5
Safran
SA
(14,101)
(1,660,189)
(30,335)
4.3
Sartorius
Stedim
Biotech
(1,072)
(438,893)
(58,179)
8.2
SCOR
SE
(16,646)
(535,260)
(50,432)
7.1
SOITEC
(8,254)
(1,548,323)
(240,986)
34.0
Ubisoft
Entertainment
SA
(11,768)
(517,119)
9,918
(1.4)
87
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
(continued)
Valeo
(51,590)
(952,917)
(124,202)
17.5
United
States
Schneider
Electric
SE
(20,396)
(3,424,292)
(142,152)
20.1
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-2.27%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-61
months
maturity
ranging
from
01/13/2025
-
04/01/2027
$558,665,210
$(4,390,675)
$(1,454,847)
$(5,845,522)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Alphabet,
Inc.
769
2,138,858
98,197
(1.7)
Booking
Holdings,
Inc.
889
2,087,772
265,086
(4.5)
Capital
One
Financial
Corp.
15,390
2,020,553
(12,125)
0.2
Citigroup,
Inc.
55,781
2,978,705
(142,242)
2.4
Coca-Cola
Co.
(The)
46,383
2,875,746
141,004
(2.4)
Cracker
Barrel
Old
Country
Store,
Inc.
16,147
1,917,133
38,494
(0.7)
DocuSign,
Inc.
17,552
1,880,170
348,781
(6.0)
Global
Payments,
Inc.
17,520
2,397,437
153,654
(2.6)
JPMorgan
Chase
&
Co.
15,999
2,180,984
55,983
(1.0)
KLA
Corp.
5,891
2,156,459
177,918
(3.0)
Kraft
Heinz
Co.
(The)
63,878
2,516,154
77,292
(1.3)
Live
Nation
Entertainment,
Inc.
18,210
2,142,224
135,430
(2.3)
Macy's,
Inc.
92,559
2,254,737
16,851
(0.3)
ManpowerGroup,
Inc.
27,097
2,544,950
77,792
(1.3)
Meta
Platforms,
Inc.
11,985
2,664,985
252,646
(4.3)
Schneider
National,
Inc.
75,645
1,928,948
(13,616)
0.2
Simon
Property
Group,
Inc.
15,714
2,067,334
13,495
(0.2)
SS&C
Technologies
Holdings,
Inc.
28,996
2,175,280
(5,651)
0.1
Texas
Roadhouse,
Inc.
48,402
4,052,699
262,467
(4.5)
Tyson
Foods,
Inc.
26,108
2,340,060
(25,523)
0.4
Ulta
Beauty,
Inc.
6,605
2,630,243
156,103
(2.7)
Urban
Outfitters,
Inc.
79,001
1,983,715
(70,056)
1.2
VMware,
Inc.
18,402
2,095,436
(11,258)
0.2
Wells
Fargo
&
Co.
44,169
2,140,430
(42,377)
0.7
88
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
American
Express
Co.
(10,365)
(1,938,255)
(176,217)
3.0
Aon
plc
(5,817)
(1,894,190)
(201,443)
3.4
Atmos
Energy
Corp.
(19,086)
(2,280,586)
(135,637)
2.3
Church
&
Dwight
Co.,
Inc.
(30,094)
(2,990,742)
(69,818)
1.2
Clarivate
plc
(126,049)
(2,112,581)
(465,015)
8.0
DISH
Network
Corp.
(62,652)
(1,982,936)
(61,970)
1.1
Dominion
Energy,
Inc.
(22,284)
(1,893,471)
(86,263)
1.5
Domino's
Pizza,
Inc.
(4,797)
(1,952,427)
(50,448)
0.9
First
Financial
Bankshares,
Inc.
(68,092)
(3,004,219)
123,498
(2.1)
GameStop
Corp.
(18,907)
(3,149,528)
(1,610,799)
27.6
Hormel
Foods
Corp.
(86,700)
(4,468,518)
(147,770)
2.5
IAC/InterActiveCorp
(19,662)
(1,971,705)
51,738
(0.9)
M&T
Bank
Corp.
(15,989)
(2,710,136)
69,855
(1.2)
McCormick
&
Co.,
Inc.
(Non-Voting)
(33,071)
(3,300,486)
(59,263)
1.0
NextEra
Energy,
Inc.
(25,471)
(2,157,648)
(111,818)
1.9
NVIDIA
Corp.
(9,662)
(2,636,373)
(415,818)
7.1
Progressive
Corp.
(The)
(18,940)
(2,158,971)
(182,139)
3.1
Prologis,
Inc.
(11,741)
(1,895,937)
(128,763)
2.2
Realty
Income
Corp.
(41,440)
(2,871,792)
(170,974)
2.9
Signature
Bank
(6,474)
(1,900,054)
84,187
(1.4)
SVB
Financial
Group
(3,488)
(1,951,362)
(75,347)
1.3
Tesla,
Inc.
(1,784)
(1,922,438)
(399,768)
6.8
Truist
Financial
Corp.
(34,160)
(1,936,872)
62,171
(1.1)
Webster
Financial
Corp.
(34,600)
(1,941,752)
(45,011)
0.8
Welltower,
Inc.
(29,644)
(2,849,974)
(218,002)
3.7
Wingstop,
Inc.
(22,068)
(2,589,680)
140,155
(2.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.57%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-62
months
maturity
ranging
from
01/21/2025
-
03/29/2027
$68,775,021
$(87,939)
$18,897
$(69,042)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
63,085
844,733
79,290
(114.8)
Atco
Ltd.
37,700
1,294,613
17,012
(24.6)
Canadian
Tire
Corp.
Ltd.
7,253
1,095,130
(12,751)
18.5
89
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Capital
Power
Corp.
22,078
718,950
(13,567)
19.7
CI
Financial
Corp.
45,260
719,005
(22,340)
32.4
Empire
Co.
Ltd.
24,559
871,052
16,528
(23.9)
Fairfax
Financial
Holdings
Ltd.
3,897
2,126,042
210,109
(304.3)
Finning
International,
Inc.
47,640
1,434,364
(43,612)
63.2
Imperial
Oil
Ltd.
29,006
1,403,722
132,541
(192.0)
Kinross
Gold
Corp.
184,390
1,082,608
22,327
(32.3)
Loblaw
Cos.
Ltd.
10,860
974,503
(15,761)
22.8
Magna
International,
Inc.
16,842
1,081,261
38,244
(55.4)
Manulife
Financial
Corp.
83,899
1,789,183
59,623
(86.4)
Onex
Corp.
16,645
1,115,481
(24,146)
35.0
Open
Text
Corp.
16,735
709,613
(14,590)
21.1
Quebecor,
Inc.
34,778
829,008
20,891
(30.3)
SNC-Lavalin
Group,
Inc.
37,214
896,006
(19,220)
27.8
Suncor
Energy,
Inc.
58,011
1,888,612
62,818
(91.0)
Toromont
Industries
Ltd.
7,374
699,030
9,372
(13.6)
Tourmaline
Oil
Corp.
18,251
840,905
89,075
(129.0)
West
Fraser
Timber
Co.
Ltd.
10,818
890,085
(171,457)
248.3
Whitecap
Resources,
Inc.
93,749
775,399
44,446
(64.4)
Chile
Lundin
Mining
Corp.
87,356
885,334
22,800
(33.0)
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(26,411)
(1,255,956)
17,746
(25.7)
Canada
Air
Canada
(58,504)
(1,134,841)
(51,315)
74.3
Algonquin
Power
&
Utilities
Corp.
(68,508)
(1,062,569)
(17,508)
25.4
Ballard
Power
Systems,
Inc.
(175,147)
(2,038,466)
881
(1.3)
BCE,
Inc.
(23,556)
(1,305,788)
(21,543)
31.2
Boralex,
Inc.
(29,508)
(956,417)
(36,750)
53.2
Brookfield
Asset
Management,
Inc.
(27,899)
(1,577,332)
(14,873)
21.5
CAE,
Inc.
(46,613)
(1,213,284)
(73,028)
105.8
Cameco
Corp.
(26,057)
(758,897)
(44,910)
65.0
Canadian
Pacific
Railway
Ltd.
(14,481)
(1,195,176)
(26,444)
38.3
Canopy
Growth
Corp.
(83,630)
(634,174)
(62,145)
90.0
Dollarama,
Inc.
(18,754)
(1,063,599)
(6,434)
9.3
Element
Fleet
Management
Corp.
(73,384)
(710,272)
35,539
(51.5)
Emera,
Inc.
(23,987)
(1,189,037)
(35,865)
51.9
Franco-Nevada
Corp.
(7,692)
(1,224,050)
(8,618)
12.5
Innergex
Renewable
Energy,
Inc.
(57,376)
(912,398)
(8,836)
12.8
Keyera
Corp.
(27,255)
(690,886)
(34,614)
50.1
Lightspeed
Commerce,
Inc.
(23,641)
(721,059)
(59,846)
86.7
Metro,
Inc.
(13,923)
(801,423)
(17,447)
25.3
Restaurant
Brands
International,
Inc.
(13,713)
(801,182)
0.0
Rogers
Communications,
Inc.
(22,962)
(1,299,677)
(51,105)
74.0
Royal
Bank
of
Canada
(6,240)
(687,016)
20,479
(29.7)
Saputo,
Inc.
(36,218)
(857,829)
29,835
(43.2)
Shopify,
Inc.
(1,174)
(793,970)
(15,401)
22.3
TC
Energy
Corp.
(13,703)
(772,866)
(17,522)
25.4
United
States
Brookfield
Renewable
Corp.
(19,363)
(845,674)
678
(1.0)
Zambia
First
Quantum
Minerals
Ltd.
(21,445)
(742,423)
(46,052)
66.7
90
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
01/21/2025
-
03/17/2027
$39,210,261
$(412,221)
$(657,176)
$(1,069,397)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Italy
A2A
SpA
107,797
184,632
5,172
(0.5)
Atlantia
SpA
30,501
634,194
42,717
(4.0)
Azimut
Holding
SpA
28,467
659,967
(10,062)
0.9
Banco
BPM
SpA
254,580
749,906
(21,026)
2.0
Buzzi
Unicem
SpA
103,000
1,906,032
(129,044)
12.1
Davide
Campari-Milano
NV
44,549
516,727
31,877
(3.0)
Enel
SpA
24,399
162,906
8,507
(0.8)
Eni
SpA
136,123
1,985,113
9,136
(0.9)
Hera
SpA
307,534
1,133,002
(12,760)
1.2
Italgas
SpA
194,193
1,245,838
52,089
(4.9)
Leonardo
SpA
173,146
1,720,582
31,845
(3.0)
Mediobanca
Banca
di
Credito
Finanziario
SpA
39,054
394,660
2,018
(0.2)
Pirelli
&
C
SpA
153,052
830,461
11,859
(1.1)
Poste
Italiane
SpA
93,623
1,061,742
13,922
(1.3)
Prysmian
SpA
27,557
935,180
276
(0.0)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
4,017
201,410
(1,457)
0.1
UniCredit
SpA
183,489
1,979,434
3,024
(0.3)
Unipol
Gruppo
SpA
284,111
1,558,342
100,453
(9.4)
United
States
Stellantis
NV
134,876
2,183,573
(11,905)
1.1
Short
Positions
Common
Stocks
Italy
Amplifon
SpA
(15,100)
(672,024)
(44,065)
4.1
Assicurazioni
Generali
SpA
(60,213)
(1,377,201)
(137,108)
12.8
Banca
Generali
SpA
(23,043)
(852,594)
(11,323)
1.1
Brembo
SpA
(15,791)
(175,795)
(1,245)
0.1
DiaSorin
SpA
(4,287)
(669,600)
(17,345)
1.6
Ferrari
NV
(8,944)
(1,948,537)
(85,260)
8.0
FinecoBank
Banca
Fineco
SpA
(134,806)
(2,045,019)
43,500
(4.1)
Infrastrutture
Wireless
Italiane
SpA
(157,387)
(1,761,829)
(85,219)
8.0
Interpump
Group
SpA
(10,369)
(519,587)
12,258
(1.1)
Intesa
Sanpaolo
SpA
(1,116,759)
(2,556,000)
3,492
(0.3)
Moncler
SpA
(3,009)
(166,945)
466
(0.0)
Nexi
SpA
(171,790)
(1,982,408)
38,840
(3.6)
91
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
(continued)
Reply
SpA
(248)
(40,745)
1,580
(0.1)
Salvatore
Ferragamo
SpA
(2,883)
(54,301)
(1,569)
0.1
Snam
SpA
(167,209)
(964,219)
(52,842)
4.9
Terna
-
Rete
Elettrica
Nazionale
(174,133)
(1,495,329)
(148,206)
13.9
United
Kingdom
CNH
Industrial
NV
(87,285)
(1,374,807)
(12,512)
1.2
United
States
Tenaris
SA
(33,927)
(509,620)
(42,304)
4.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.00%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
01/21/2025
-
03/17/2027
$8,548,482
$174,348
$(7,655)
$166,693
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Yangzijiang
Shipbuilding
Holdings
Ltd.
2,158,800
2,424,388
267,491
160.5
Singapore
Genting
Singapore
Ltd.
1,026,600
613,587
30,258
18.2
Oversea-Chinese
Banking
Corp.
Ltd.
70,800
642,287
7,141
4.3
Singapore
Technologies
Engineering
Ltd.
301,700
913,864
16,753
10.1
United
Overseas
Bank
Ltd.
22,100
517,096
(6,352)
(3.8)
Short
Positions
Common
Stocks
China
Wilmar
International
Ltd.
(64,300)
(222,685)
(3,962)
(2.4)
Singapore
City
Developments
Ltd.
(144,100)
(833,002)
(52,527)
(31.5)
DBS
Group
Holdings
Ltd.
(22,437)
(587,899)
(13,048)
(7.8)
Keppel
Corp.
Ltd.
(50,800)
(239,534)
(7,526)
(4.5)
SATS
Ltd.
(48,100)
(153,306)
(12,021)
(7.2)
Singapore
Airlines
Ltd.
(119,600)
(482,010)
(23,074)
(13.8)
Singapore
Telecommunications
Ltd.
(294,000)
(570,874)
(13,360)
(8.0)
Venture
Corp.
Ltd.
(27,000)
(347,950)
(15,425)
(9.3)
92
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.32%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-62
months
maturity
ranging
from
01/22/2025
-
03/29/2027
$249,904,964
$(3,454,394)
$(92,194)
$(3,546,588)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Abbott
Laboratories
14,436
1,708,645
(40,998)
1.2
Allison
Transmission
Holdings,
Inc.
41,566
1,631,881
(11,638)
0.3
APA
Corp.
36,263
1,498,750
68,900
(1.9)
Arrow
Electronics,
Inc.
18,269
2,167,251
(145,239)
4.1
Bio-Rad
Laboratories,
Inc.
2,774
1,562,400
(31,904)
0.9
Bristol-Myers
Squibb
Co.
21,653
1,581,319
54,349
(1.5)
Cisco
Systems,
Inc.
27,688
1,543,883
(11,352)
0.3
CVS
Health
Corp.
16,329
1,652,658
(120,018)
3.4
Dell
Technologies,
Inc.
36,643
1,839,112
(11,726)
0.3
EMCOR
Group,
Inc.
13,279
1,495,614
(67,325)
1.9
Emerson
Electric
Co.
19,090
1,871,774
48,870
(1.4)
EOG
Resources,
Inc.
15,104
1,800,850
20,541
(0.6)
Exxon
Mobil
Corp.
21,814
1,801,618
69,534
(2.0)
Flowserve
Corp.
43,638
1,566,604
81,603
(2.3)
General
Dynamics
Corp.
7,759
1,871,316
82,789
(2.3)
Goldman
Sachs
Group,
Inc.
(The)
5,063
1,671,296
(66,680)
1.9
Incyte
Corp.
25,135
1,996,222
127,434
(3.6)
IQVIA
Holdings,
Inc.
8,207
1,897,540
65,980
(1.9)
Jabil,
Inc.
34,477
2,128,265
(13,101)
0.4
Johnson
&
Johnson
8,973
1,590,285
3,858
(0.1)
Lockheed
Martin
Corp.
4,787
2,112,982
61,321
(1.7)
Medtronic
plc
27,276
3,026,272
33,004
(0.9)
Merck
&
Co.,
Inc.
21,676
1,778,516
67,412
(1.9)
Molina
Healthcare,
Inc.
5,166
1,723,326
(19,734)
0.6
Owens
Corning
29,002
2,653,683
(160,671)
4.5
Pfizer,
Inc.
64,757
3,352,470
(159,950)
4.5
Textron,
Inc.
21,400
1,591,732
(16,050)
0.5
Univar
Solutions,
Inc.
51,586
1,657,974
(45,396)
1.3
Vishay
Intertechnology,
Inc.
102,250
2,004,100
(25,563)
0.7
Vontier
Corp.
59,048
1,499,229
83,258
(2.3)
Western
Digital
Corp.
35,996
1,787,201
28,437
(0.8)
93
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
Advanced
Drainage
Systems,
Inc.
(13,169)
(1,564,609)
30,289
(0.9)
Amgen,
Inc.
(8,467)
(2,047,490)
(50,427)
1.4
Amphenol
Corp.
(30,663)
(2,310,457)
17,478
(0.5)
Carrier
Global
Corp.
(33,964)
(1,557,929)
42,455
(1.2)
Deere
&
Co.
(4,018)
(1,669,318)
(37,408)
1.1
Eli
Lilly
&
Co.
(6,505)
(1,862,837)
(5,594)
0.2
Exact
Sciences
Corp.
(28,056)
(1,961,676)
(161,322)
4.5
II-VI,
Inc.
(25,896)
(1,877,201)
(81,054)
2.3
Illinois
Tool
Works,
Inc.
(13,444)
(2,815,174)
26,619
(0.8)
Insulet
Corp.
(9,504)
(2,531,771)
(172,212)
4.9
Jazz
Pharmaceuticals
plc
(12,714)
(1,979,188)
22,885
(0.6)
Mercury
Systems,
Inc.
(24,900)
(1,604,805)
(3,984)
0.1
New
Fortress
Energy,
Inc.
(44,881)
(1,912,379)
(517,477)
14.6
PerkinElmer,
Inc.
(9,281)
(1,619,163)
36,196
(1.0)
Progyny,
Inc.
(36,788)
(1,890,903)
(101,903)
2.9
Rockwell
Automation,
Inc.
(5,484)
(1,535,685)
(49,521)
1.4
STERIS
plc
(9,888)
(2,390,622)
(96,507)
2.7
Teledyne
Technologies,
Inc.
(3,847)
(1,818,208)
(152,803)
4.3
Williams
Cos.,
Inc.
(The)
(71,929)
(2,403,148)
(135,227)
3.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.75%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
2-52
months
maturity
05/12/2022
$43,415,916
$(363,862)
$(6,027)
$(369,889)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
Adecco
Group
AG
(Registered)
31,437
1,426,031
(30,670)
8.3
Baloise
Holding
AG
(Registered)
4,698
839,047
28,357
(7.7)
Barry
Callebaut
AG
(Registered)
573
1,343,371
18,587
(5.0)
Belimo
Holding
AG
(Registered)
778
412,044
16,296
(4.4)
BKW
AG
4,388
549,607
14,739
(4.0)
Bucher
Industries
AG
(Registered)
2,217
896,132
(12,141)
3.3
Credit
Suisse
Group
AG
(Registered)
5,364
42,226
(1,178)
0.3
DKSH
Holding
AG
11,268
949,015
(19,357)
5.2
dormakaba
Holding
AG
1,518
778,608
(36,642)
9.9
Galenica
AG
16,524
1,272,121
51,420
(13.9)
94
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Geberit
AG
(Registered)
914
563,441
(18,984)
5.1
Georg
Fischer
AG
(Registered)
153
182,815
(6,302)
1.7
Julius
Baer
Group
Ltd.
19,861
1,149,843
23,046
(6.2)
Kuehne
+
Nagel
International
AG
(Registered)
3,233
917,943
(85,278)
23.1
Lonza
Group
AG
(Registered)
1,118
810,107
9,187
(2.5)
Novartis
AG
(Registered)
28,621
2,512,682
15,687
(4.2)
OC
Oerlikon
Corp.
AG
(Registered)
76,447
609,202
(14,294)
3.9
Partners
Group
Holding
AG
483
598,052
(26,112)
7.1
Schindler
Holding
AG
1,727
370,044
(17,880)
4.8
Stadler
Rail
AG
1,298
50,372
(300)
0.1
Straumann
Holding
AG
(Registered)
169
269,840
11,952
(3.2)
Swatch
Group
AG
(The)
2,721
771,469
13,958
(3.8)
Swiss
Life
Holding
AG
(Registered)
789
505,596
7,830
(2.1)
Tecan
Group
AG
(Registered)
949
375,178
30,751
(8.3)
Temenos
AG
(Registered)
19,962
1,920,140
(19,705)
5.3
UBS
Group
AG
(Registered)
35,473
693,189
37,288
(10.1)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(51,257)
(784,591)
(37,748)
10.2
Switzerland
ABB
Ltd.
(Registered)
(11,020)
(357,497)
33,549
(9.1)
Alcon,
Inc.
(4,907)
(388,762)
(8,030)
2.2
Bachem
Holding
AG
(Registered)
(2,317)
(1,275,144)
140,753
(38.1)
Chocoladefabriken
Lindt
&
Spruengli
AG
(38)
(452,273)
(21,717)
5.9
Cie
Financiere
Richemont
SA
(3,341)
(423,488)
(2,755)
0.7
Clariant
AG
(Registered)
(4,219)
(73,212)
423
(0.1)
Dufry
AG
(Registered)
(54,290)
(2,284,401)
(82,876)
22.4
EMS-Chemie
Holding
AG
(Registered)
(921)
(895,032)
(21,481)
5.8
Flughafen
Zurich
AG
(Registered)
(5,624)
(1,009,434)
(23,689)
6.4
Givaudan
SA
(Registered)
(806)
(3,331,147)
(20,275)
5.5
Helvetia
Holding
AG
(Registered)
(515)
(67,234)
(770)
0.2
Holcim
Ltd.
(7,757)
(377,275)
11,042
(3.0)
Idorsia
Ltd.
(84,045)
(1,678,921)
(111,305)
30.1
Logitech
International
SA
(Registered)
(8,822)
(655,758)
(4,666)
1.3
Nestle
SA
(Registered)
(17,453)
(2,269,216)
(23,083)
6.2
Roche
Holding
AG
(1,302)
(515,152)
(8,184)
2.2
SIG
Combibloc
Group
AG
(79,513)
(2,004,512)
(103,140)
27.9
Sika
AG
(Registered)
(5,252)
(1,737,644)
25,988
(7.0)
Sonova
Holding
AG
(Registered)
(1,700)
(710,155)
(58,918)
15.9
Sulzer
AG
(Registered)
(325)
(26,996)
200
(0.1)
VAT
Group
AG
(739)
(281,366)
(7,862)
2.1
Zurich
Insurance
Group
AG
(1,162)
(573,912)
(19,119)
5.2
United
States
Swiss
Re
AG
(4,541)
(432,276)
(10,460)
2.8
95
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.66%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
02/21/2024
$19,581,866
$214,248
$(1,154,704)
$(940,456)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
870
2,614,318
(46,810)
5.0
Carlsberg
A/S
10,142
1,245,047
35,322
(3.8)
Demant
A/S
11,029
499,117
76,818
(8.2)
DSV
A/S
716
137,225
10,164
(1.1)
Genmab
A/S
3,328
1,201,918
102,235
(10.9)
H
Lundbeck
A/S
35,883
826,781
(22,097)
2.3
ISS
A/S
62,387
1,108,714
48,541
(5.2)
Novo
Nordisk
A/S
3,166
351,161
14,732
(1.6)
Pandora
A/S
12,039
1,146,888
110,907
(11.8)
Royal
Unibrew
A/S
3,056
285,509
2,388
(0.3)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(55,173)
(812,210)
49,254
(5.2)
Chr
Hansen
Holding
A/S
(13,993)
(1,027,464)
(38,130)
4.1
Coloplast
A/S
(663)
(100,404)
(9,087)
1.0
GN
Store
Nord
A/S
(5,521)
(270,619)
(13,474)
1.4
Novozymes
A/S
(21,475)
(1,472,416)
(186,303)
19.8
Orsted
A/S
(10,059)
(1,259,100)
16,556
(1.8)
ROCKWOOL
International
A/S
(2,734)
(902,520)
2,015
(0.2)
SimCorp
A/S
(8,696)
(637,682)
41,681
(4.4)
Tryg
A/S
(41,350)
(1,005,413)
(130,077)
13.8
Vestas
Wind
Systems
A/S
(91,269)
(2,677,360)
149,613
(15.9)
96
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.00%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
9-61
months
maturity
12/16/2022
$117,663,064
$65,486
$12,948
$78,434
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Ageas
SA/NV
25,976
1,313,172
13,917
17.7
Proximus
SADP
62,295
1,160,019
(25,163)
(32.1)
Finland
Nokian
Renkaat
OYJ
101,723
1,650,944
(382,169)
(487.3)
Germany
Bayerische
Motoren
Werke
AG
14,487
1,251,932
22,905
29.2
Brenntag
SE
12,453
1,004,104
(4,542)
(5.8)
Covestro
AG
30,947
1,558,349
(65,008)
(82.9)
Deutsche
Bank
AG
(Registered)
190,268
2,396,272
101,474
129.4
Deutsche
Post
AG
(Registered)
38,763
1,851,006
(140,115)
(178.6)
Henkel
AG
&
Co.
KGaA
16,612
1,111,871
(75,560)
(96.3)
ProSiebenSat.1
Media
SE
121,947
1,553,325
(119,460)
(152.3)
Luxembourg
ArcelorMittal
SA
56,392
1,806,468
1,363
1.7
Netherlands
ASR
Nederland
NV
38,899
1,816,036
38,639
49.3
Koninklijke
Ahold
Delhaize
NV
67,754
2,179,342
27,369
34.9
NN
Group
NV
46,999
2,381,852
88,822
113.2
OCI
NV
37,053
1,308,137
144,449
184.2
Spain
Acerinox
SA
150,821
1,651,984
(43,228)
(55.1)
Banco
de
Sabadell
SA
1,675,386
1,369,053
(14,777)
(18.8)
Banco
Santander
SA
425,395
1,446,313
(31,771)
(40.5)
Endesa
SA
86,715
1,890,702
108,677
138.6
Mapfre
SA
503,700
1,053,543
20,411
26.0
Repsol
SA
227,866
2,984,863
87,657
111.8
Telefonica
SA
510,499
2,474,011
107,630
137.2
Short
Positions
Common
Stocks
Belgium
Elia
Group
SA/NV
(6,527)
(995,831)
(47,774)
(60.9)
China
Prosus
NV
(36,884)
(1,989,075)
98,118
125.1
97
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Finland
Orion
OYJ
(24,555)
(1,115,210)
19,376
24.7
UPM-Kymmene
OYJ
(32,913)
(1,074,775)
18,478
23.6
Germany
adidas
AG
(4,394)
(1,023,916)
5,862
7.5
Allianz
SE
(Registered)
(5,743)
(1,371,475)
(16,949)
(21.6)
Carl
Zeiss
Meditec
AG
(6,738)
(1,085,338)
43,907
56.0
CTS
Eventim
AG
&
Co.
KGaA
(16,714)
(1,135,171)
(54,800)
(69.9)
Deutsche
Telekom
AG
(Registered)
(91,816)
(1,709,993)
8,339
10.6
Fresenius
Medical
Care
AG
&
Co.
KGaA
(24,540)
(1,644,446)
17,728
22.6
Hannover
Rueck
SE
(9,452)
(1,605,690)
(35,927)
(45.8)
LANXESS
AG
(27,727)
(1,217,164)
68,727
87.6
RWE
AG
(25,210)
(1,097,707)
(55,464)
(70.7)
Siemens
AG
(Registered)
(9,499)
(1,315,301)
98,464
125.5
Netherlands
Adyen
NV
(499)
(988,367)
6,451
8.2
Argenx
SE
(7,005)
(2,191,663)
(89,407)
(114.0)
IMCD
NV
(7,283)
(1,242,425)
(15,757)
(20.1)
Saudi
Arabia
Delivery
Hero
SE
(43,174)
(1,881,688)
116,838
149.0
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(49,084)
(1,323,278)
14,938
19.0
Aena
SME
SA
(8,648)
(1,441,624)
(86,605)
(110.4)
Amadeus
IT
Group
SA
(30,659)
(1,993,390)
(112,120)
(142.9)
Banco
Bilbao
Vizcaya
Argentaria
SA
(220,399)
(1,258,463)
31,734
40.5
Bankinter
SA
(188,436)
(1,104,081)
11,613
14.8
CaixaBank
SA
(574,730)
(1,949,417)
90,199
115.0
Cellnex
Telecom
SA
(63,695)
(3,065,284)
(28,234)
(36.0)
Ferrovial
SA
(55,389)
(1,473,063)
104,507
133.2
Naturgy
Energy
Group
SA
(35,737)
(1,070,662)
(105,255)
(134.2)
Siemens
Gamesa
Renewable
Energy
SA
(65,501)
(1,148,838)
162,148
206.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
25
months
maturity
02/21/2024
$11,251,386
$210,975
$156,439
$367,414
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
23,494
1,174,901
9,175
2.5
98
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
Equinor
ASA
33,971
1,268,364
120,958
32.9
Leroy
Seafood
Group
ASA
75,857
695,815
36,577
10.0
Norsk
Hydro
ASA
97,467
946,978
9,035
2.5
Orkla
ASA
130,383
1,158,387
3,654
1.0
Telenor
ASA
33,486
480,508
(21,591)
(5.9)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(13,475)
(903,814)
(19,339)
(5.3)
France
Adevinta
ASA
(114,329)
(1,043,731)
207,091
56.4
Norway
Gjensidige
Forsikring
ASA
(21,574)
(534,975)
6,570
1.8
Mowi
ASA
(9,983)
(268,901)
(14,383)
(3.9)
Salmar
ASA
(23,316)
(1,843,110)
(117,024)
(31.9)
Schibsted
ASA
(9,752)
(240,362)
37,961
10.3
TOMRA
Systems
ASA
(462)
(23,568)
(198)
(0.1)
United
Kingdom
Subsea
7
SA
(71,896)
(667,972)
(47,511)
(12.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
02/21/2024
$37,159,023
$(480,947)
$514,237
$33,290
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
4,293
108,986
6,524
19.6
Sweden
BillerudKorsnas
AB
65,792
974,970
73,094
219.6
Boliden
AB
11,276
568,820
43,588
130.9
Electrolux
AB
28,395
429,688
(27,655)
(83.1)
Elekta
AB
50,960
401,354
(3,293)
(9.9)
Getinge
AB
35,957
1,432,490
155,021
465.7
H
&
M
Hennes
&
Mauritz
AB
80,176
1,076,575
(139,901)
(420.2)
Husqvarna
AB
27,237
284,129
(25,196)
(75.7)
Saab
AB
34,701
1,253,389
25,783
77.4
Securitas
AB
121,547
1,371,211
(69,290)
(208.1)
99
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Skanska
AB
36,742
821,999
(32,001)
(96.1)
SKF
AB
48,305
787,659
(44,058)
(132.3)
SSAB
AB
223,958
1,491,239
183,861
552.3
SSAB
AB
99,247
689,601
44,418
133.4
Svenska
Handelsbanken
AB
128,438
1,181,044
(18,763)
(56.4)
Swedbank
AB
20,943
312,797
(4,204)
(12.6)
Swedish
Match
AB
28,242
212,381
(894)
(2.7)
Swedish
Orphan
Biovitrum
AB
13,995
331,313
39,332
118.1
Telefonaktiebolaget
LM
Ericsson
221,047
2,014,964
94,922
285.1
Telia
Co.
AB
339,977
1,363,210
85,964
258.2
Trelleborg
AB
45,520
1,053,897
172,653
518.6
Volvo
AB
7,146
133,311
3,473
10.4
Short
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
(98,908)
(1,017,960)
56,790
170.6
Sweden
AAK
AB
(30,643)
(567,899)
(42,463)
(127.6)
Alfa
Laval
AB
(22,339)
(768,405)
(32,583)
(97.9)
Assa
Abloy
AB
(37,241)
(1,001,023)
(39,901)
(119.9)
Atlas
Copco
AB
(2,194)
(113,882)
(890)
(2.7)
Axfood
AB
(4,201)
(136,810)
(22,244)
(66.8)
Beijer
Ref
AB
(65,555)
(1,187,298)
(158,449)
(476.0)
Embracer
Group
AB
(177,075)
(1,478,072)
(135,860)
(408.1)
Epiroc
AB
(54,197)
(1,159,212)
(6,957)
(20.9)
EQT
AB
(43,265)
(1,687,262)
(411,219)
(1235.3)
Essity
AB
(64,195)
(1,514,940)
57,118
171.6
Evolution
AB
(1,823)
(185,462)
(897)
(2.7)
Hexagon
AB
(176,693)
(2,475,610)
(166,247)
(499.4)
Hexpol
AB
(23,054)
(225,025)
3,010
9.0
Holmen
AB
(21,486)
(1,199,317)
(91,675)
(275.4)
Indutrade
AB
(1,100)
(27,664)
(4,215)
(12.7)
Lifco
AB
(4,977)
(126,344)
(10,679)
(32.1)
Nibe
Industrier
AB
(1,490)
(16,516)
(1,800)
(5.4)
Sandvik
AB
(33,868)
(719,452)
30,102
90.4
Sinch
AB
(99,112)
(672,224)
95,544
287.0
Skandinaviska
Enskilda
Banken
AB
(53,894)
(582,640)
(5,944)
(17.9)
Svenska
Cellulosa
AB
SCA
(33,944)
(659,114)
(53,214)
(159.8)
Sweco
AB
(46,191)
(671,555)
(24,273)
(72.9)
Tele2
AB
(44,345)
(670,310)
(77,379)
(232.4)
100
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
14.5%
Auto
Components
-
1.6%
Aisin
Corp.
(Japan)
2,700
92,280
Bridgestone
Corp.
(Japan)
3,900
151,382
Denso
Corp.
(Japan)
2,500
159,500
Koito
Manufacturing
Co.
Ltd.
(Japan)
1,900
76,892
Stanley
Electric
Co.
Ltd.
(Japan)
3,700
69,957
Sumitomo
Electric
Industries
Ltd.
(Japan)
8,500
101,042
651,053
Automobiles
-
3.9%
Honda
Motor
Co.
Ltd.
(Japan)
8,400
238,105
Isuzu
Motors
Ltd.
(Japan)
8,600
111,095
Mazda
Motor
Corp.
(Japan)
12,200
89,677
Nissan
Motor
Co.
Ltd.
(Japan)
*
24,500
108,861
Subaru
Corp.
(Japan)
6,700
106,416
Suzuki
Motor
Corp.
(Japan)
3,300
113,092
Toyota
Motor
Corp.
(Japan)
38,100
687,248
Yamaha
Motor
Co.
Ltd.
(Japan)
4,500
100,862
1,555,356
Banks
-
5.0%
Chiba
Bank
Ltd.
(The)
(Japan)
20,900
122,886
Concordia
Financial
Group
Ltd.
(Japan)
33,700
125,420
Japan
Post
Bank
Co.
Ltd.
(Japan)
14,800
118,856
Mitsubishi
UFJ
Financial
Group,
Inc.
(Japan)
87,700
542,086
Mizuho
Financial
Group,
Inc.
(Japan)
22,200
283,169
Resona
Holdings,
Inc.
(Japan)
38,400
163,559
Shizuoka
Bank
Ltd.
(The)
(Japan)
17,200
120,718
Sumitomo
Mitsui
Financial
Group,
Inc.
(Japan)
10,400
328,519
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(Japan)
5,000
162,723
1,967,936
Household
Durables
-
4.0%
DR
Horton,
Inc.
(1)
2,926
218,016
Garmin
Ltd.
(1)
1,501
178,034
Leggett
&
Platt,
Inc.
(1)
2,637
91,768
Lennar
Corp.,
Class
A
(1)
2,390
193,996
Mohawk
Industries,
Inc.
(1)*
835
103,707
Newell
Brands,
Inc.
(1)
5,283
113,109
NVR,
Inc.
(1)*
33
147,420
PulteGroup,
Inc.
(1)
3,024
126,706
Tempur
Sealy
International,
Inc.
(1)
3,332
93,029
Toll
Brothers,
Inc.
(1)
2,023
95,121
TopBuild
Corp.
(1)*
532
96,499
Whirlpool
Corp.
(1)
725
125,266
1,582,671
TOTAL
COMMON
STOCKS
(Cost
$6,466,611)
5,757,016
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
SHORT-TERM
INVESTMENTS
-
100.8%
REPURCHASE
AGREEMENTS
(a)
-
29.8%
JPMS,
0.24%,
dated
3/23/2022,
due
4/14/2022,
repurchase
price
$1,682,122,
collateralized
by
U.S.
Treasury
Notes,
0.13%,
due
7/15/2031
$
1,681,875
1,681,875
JPMS,
0.26%,
dated
3/14/2022,
due
4/14/2022,
repurchase
price
$3,550,295,
collateralized
by
U.S.
Treasury
Notes,
0.13%,
due
7/15/2031
3,549,500
3,549,500
JPMS,
0.26%,
dated
3/9/2022,
due
4/14/2022,
repurchase
price
$461,120,
collateralized
by
U.S.
Treasury
Notes,
0.13%,
due
7/15/2031
461,000
461,000
JPMS,
0.23%,
dated
3/8/2022,
due
4/14/2022,
repurchase
price
$854,077,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
853,875
853,875
JPMS,
0.24%,
dated
3/7/2022,
due
4/14/2022,
repurchase
price
$5,253,831,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
5,252,500
5,252,500
TOTAL
REPURCHASE
AGREEMENTS
(Cost
$11,798,750)
11,798,750
SHARES
INVESTMENT
COMPANIES
-
40.6%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(b)(c)
625,892
625,892
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(b)
15,498,860
15,491,112
TOTAL
INVESTMENT
COMPANIES
(Cost
$16,116,571)
16,117,004
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
30.4%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(d)
$
540,000
539,987
0.06%,
4/28/2022
(d)
1,399,000
1,398,888
0.07%,
5/12/2022
(d)
1,883,000
1,882,589
0.06%,
5/19/2022
(d)
796,000
795,736
0.21%,
6/30/2022
(d)
194,000
193,752
0.22%,
7/7/2022
(d)(e)
2,484,000
2,480,151
0.28%,
7/14/2022
(d)(e)
644,000
642,870
0.82%,
9/15/2022
(d)
1,709,000
1,701,615
0.87%,
9/22/2022
(d)
622,000
619,149
101
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
30.4%
(continued)
1.06%,
9/29/2022
(d)
$
1,790,000
1,780,939
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$12,040,072)
12,035,676
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$39,955,393)
39,951,430
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
115.3%
(Cost
$46,422,004)
45,708,446
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(15.3)%
(f)
(6,061,173)
NET
ASSETS
-
100.0%
39,647,273
SECTOR
VALUE
%
OF
NET
ASSETS
Consumer
Discretionary
$
3,789,080
9.5
%
Financials
1,967,936
5.0
Short-Term
Investments
39,951,430
100.8
Total
Investments
In
Securities
At
Value
45,708,446
115.3
Liabilities
in
Excess
of
Other
Assets
(f)
(6,061,173)
(15.3)
Net
Assets
$
39,647,273
100.0%
*
Non-income
producing
security.
(a)
On
March
31,
2022,
securities
valued
at
$11,164,050
were
pledged
as
collateral
for
repurchase
and
reverse
repurchase
agreements
outstanding.
(b)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(c)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(d)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(f)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Reverse
repurchase
agreements
at
March
31,
2022:
Over
the
Counter
COUNTERPARTY
TRADE
DATE
RATE
DUE
DATE
CURRENCY
PRINCIPAL
AMOUNT
AND
VALUE
OF
REVERSE
REPURCHASE
AGREEMENT
JPMS
3/9/2022
0.27%
4/14/2022
USD
$
471,875
JPMS
3/8/2022
0.29%
4/14/2022
USD
812,875
JPMS
3/7/2022
0.30%
4/14/2022
USD
4,988,000
JPMS
3/23/2022
0.32%
4/14/2022
USD
1,726,625
JPMS
3/14/2022
0.34%
4/14/2022
USD
3,710,000
$
11,709,375
The
weighted
average
daily
balance
of
the
reverse
repurchase
agreements
during
the
period
ended
March
31,
2022
was
$6,502,245
at
a
net
weighted
average
interest
rate
of
0.191%.
102
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
March
31,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
iTraxx
Europe
Crossover
Index
Series
37.V1
5.00
%
Quarterly
6/20/2027
3.39
%
EUR
1,701,000
$
(113,973)
$
(26,105)
$
(140,078)
Markit
CDX
North
America
High
Yield
Index
Series
38.V1
5.00
Quarterly
6/20/2027
3.73
USD
2,193,000
(123,417)
(614)
(124,031)
$
(237,390)
$
(26,719)
$
(264,109)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
March
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1M
TIIE
Monthly
9.00%
Monthly
9/18/2024
MXN
5,200,000
$
(548)
$
1,213
$
665
Pay
3M
BBR
Qtrly
3.50%
Semi
9/15/2032
NZD
1,200,000
1,730
1,730
Pay
6M
NIBOR
Semi
3.00%
Annual
9/15/2027
NOK
7,100,000
2,469
2,469
Receive
1D
SARON
Annual
0.00%
Annual
9/23/2024
CHF
4,600,000
31,435
8,782
40,217
Receive
1D
SARON
Annual
0.50%
Annual
9/21/2032
CHF
200,000
2,382
7,114
9,496
Receive
1D
SOFR
Annual
0.50%
Annual
6/17/2024
USD
30,300,000
653,505
522,233
1,175,738
Receive
1D
SOFR
Annual
2.00%
Annual
9/23/2024
USD
19,000,000
151,113
88,605
239,718
Receive
1D
SOFR
Annual
1.00%
Annual
9/23/2024
USD
15,100,000
264,476
220,796
485,272
Receive
1D
SOFR
Annual
1.25%
Annual
9/21/2027
USD
3,500,000
79,094
99,759
178,853
Receive
1D
SOFR
Annual
1.75%
Annual
9/21/2027
USD
2,900,000
61,811
14,586
76,397
Receive
1D
SONIA
Annual
0.50%
Annual
6/17/2024
GBP
31,800,000
1,332,632
1,332,632
Receive
1D
SONIA
Annual
2.00%
Annual
9/23/2024
GBP
8,700,000
54,237
1,036
55,273
Receive
1D
SONIA
Annual
1.00%
Annual
9/23/2024
GBP
24,800,000
572,169
204,083
776,252
Receive
1D
TONAR
Annual
0.00%
Annual
9/24/2024
JPY
2,670,000,000
23,959
(2,577)
21,382
Receive
1D
TONAR
Annual
0.00%
Annual
6/15/2027
JPY
287,300,000
2,954
7,117
10,071
Receive
1M
TIIE
Monthly
7.50%
Monthly
6/12/2024
MXN
9,200,000
4,026
6,487
10,513
Receive
1M
TIIE
Monthly
8.00%
Monthly
9/18/2024
MXN
55,500,000
10,247
32,248
42,495
Receive
1M
TIIE
Monthly
8.50%
Monthly
9/18/2024
MXN
25,300,000
7,067
1,001
8,068
Receive
3M
BA
Qtrly
2.00%
Semi
9/19/2024
CAD
6,400,000
124,633
532
125,165
Receive
3M
BA
Qtrly
1.50%
Semi
6/14/2027
CAD
6,100,000
312,660
312,660
Receive
3M
BBR
Qtrly
3.00%
Semi
6/12/2024
NZD
7,900,000
52,903
52,903
Receive
3M
BBR
Qtrly
2.50%
Semi
6/12/2024
NZD
2,500,000
33,315
33,315
Receive
3M
BBR
Qtrly
3.00%
Semi
9/11/2024
NZD
6,800,000
15,118
43,064
58,182
Receive
3M
BBR
Qtrly
3.50%
Semi
9/11/2024
NZD
5,200,000
12,740
12,740
Receive
3M
CD_KSDA
Qtrly
2.50%
Qtrly
9/19/2024
KRW
76,000,000
(47)
518
471
Receive
3M
STIBOR
Qtrly
0.50%
Annual
6/19/2024
SEK
30,200,000
69,788
69,788
Receive
3M
STIBOR
Qtrly
1.00%
Annual
6/16/2032
SEK
1,200,000
11,131
11,131
Receive
3M
STIBOR
Qtrly
1.50%
Annual
6/16/2032
SEK
5,400,000
(3,094)
26,880
23,786
Receive
3M
STIBOR
Qtrly
1.50%
Annual
9/15/2032
SEK
32,800,000
60,933
99,223
160,156
Receive
6M
BBR
Semi
2.00%
Semi
6/10/2032
AUD
5,500,000
19,554
389,046
408,600
Receive
6M
BBR
Semi
2.50%
Semi
9/09/2032
AUD
2,400,000
26,586
84,398
110,984
Receive
6M
BUBOR
Semi
5.00%
Annual
6/19/2024
HUF
391,200,000
52,174
52,174
Receive
6M
BUBOR
Semi
5.50%
Annual
9/18/2024
HUF
37,500,000
999
2,762
3,761
Receive
6M
BUBOR
Semi
7.00%
Annual
9/18/2024
HUF
165,500,000
2,620
888
3,508
Receive
6M
BUBOR
Semi
6.50%
Annual
9/18/2024
HUF
72,700,000
2,062
1,396
3,458
Receive
6M
EURIBOR
Semi
0.25%
Annual
6/15/2027
EUR
6,400,000
451,078
451,078
Receive
6M
EURIBOR
Semi
0.00%
Annual
9/21/2027
EUR
2,900,000
111,772
66,964
178,736
Receive
6M
EURIBOR
Semi
0.75%
Annual
9/21/2027
EUR
2,400,000
23,876
26,578
50,454
103
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
EURIBOR
Semi
0.25%
Annual
9/21/2032
EUR
500,000
$
40,221
$
14,360
$
54,581
Receive
6M
EURIBOR
Semi
1.00%
Annual
9/21/2032
EUR
1,200,000
41,849
481
42,330
Receive
6M
NIBOR
Semi
2.00%
Annual
6/19/2024
NOK
20,000,000
17,701
12,437
30,138
Receive
6M
NIBOR
Semi
2.50%
Annual
9/18/2024
NOK
4,900,000
2,149
3,875
6,024
Receive
6M
NIBOR
Semi
2.00%
Annual
6/16/2032
NOK
4,400,000
33,760
33,760
Receive
6M
NIBOR
Semi
2.50%
Annual
9/15/2032
NOK
600,000
1,771
6
1,777
Receive
6M
PRIBOR
Semi
4.00%
Annual
9/18/2024
CZK
7,500,000
1,315
5,637
6,952
Receive
6M
PRIBOR
Semi
4.50%
Annual
9/18/2024
CZK
25,500,000
3,418
9,477
12,895
Receive
6M
WIBOR
Semi
4.50%
Annual
6/19/2024
PLN
4,500,000
25,758
25,758
Receive
6M
WIBOR
Semi
4.50%
Annual
9/18/2024
PLN
2,500,000
5,691
8,608
14,299
2,433,993
4,384,812
6,818,805
Pay
1D
SARON
Annual
0.50%
Annual
6/17/2024
CHF
11,400,000
(62,089)
(107,061)
(169,150)
Pay
1D
SARON
Annual
0.50%
Annual
9/21/2027
CHF
800,000
7,790
(15,888)
(8,098)
Pay
1D
SARON
Annual
1.00%
Annual
9/21/2032
CHF
500,000
(2,386)
(2,386)
Pay
1D
SOFR
Annual
1.25%
Annual
6/15/2032
USD
700,000
(40,759)
(16,080)
(56,839)
Pay
1D
SOFR
Annual
2.00%
Annual
9/21/2032
USD
2,700,000
(36,599)
(3,473)
(40,072)
Pay
1D
SOFR
Annual
1.50%
Annual
9/21/2032
USD
2,300,000
(67,055)
(71,600)
(138,655)
Pay
1D
SOFR
Annual
1.50%
Annual
6/17/2052
USD
300,000
(26,447)
(7,003)
(33,450)
Pay
1D
SOFR
Annual
1.50%
Annual
9/23/2052
USD
800,000
(54,247)
(35,213)
(89,460)
Pay
1D
SOFR
Annual
1.75%
Annual
9/23/2052
USD
300,000
(26,387)
9,475
(16,912)
Pay
1D
SONIA
Annual
0.50%
Annual
6/15/2027
GBP
1,400,000
(26,539)
(95,420)
(121,959)
Pay
1D
SONIA
Annual
1.00%
Annual
9/21/2027
GBP
6,600,000
(272,211)
(99,638)
(371,849)
Pay
1D
SONIA
Annual
1.75%
Annual
9/21/2027
GBP
3,700,000
(39,177)
(3,779)
(42,956)
Pay
1D
SONIA
Annual
0.75%
Annual
6/15/2032
GBP
2,000,000
(33,478)
(185,090)
(218,568)
Pay
1D
SONIA
Annual
0.75%
Annual
9/21/2032
GBP
1,000,000
(89,334)
(19,790)
(109,124)
Pay
1D
SONIA
Annual
1.50%
Annual
9/21/2032
GBP
1,200,000
(27,017)
4,340
(22,677)
Pay
1D
TONAR
Annual
0.00%
Annual
6/17/2024
JPY
1,678,900,000
(4,242)
(5,390)
(9,632)
Pay
1D
TONAR
Annual
0.00%
Annual
6/15/2032
JPY
88,700,000
(10,405)
(6,846)
(17,251)
Pay
1D
TONAR
Annual
0.00%
Annual
9/23/2032
JPY
417,400,000
(92,561)
(4,823)
(97,384)
Pay
3M
BA
Qtrly
1.25%
Semi
6/13/2024
CAD
4,700,000
(64,433)
(58,346)
(122,779)
Pay
3M
BA
Qtrly
1.75%
Semi
6/14/2032
CAD
2,200,000
(33,072)
(149,467)
(182,539)
Pay
3M
BBR
Qtrly
1.50%
Qtrly
6/13/2024
AUD
20,300,000
(300,006)
(300,006)
Pay
3M
BBR
Qtrly
2.00%
Qtrly
9/12/2024
AUD
11,800,000
759
(149,937)
(149,178)
Pay
3M
BBR
Qtrly
3.00%
Semi
6/16/2027
NZD
500,000
(7,597)
(7,597)
Pay
3M
BBR
Qtrly
3.00%
Semi
6/16/2032
NZD
300,000
(7,550)
(7,550)
Pay
3M
BBR
Qtrly
3.00%
Semi
9/15/2032
NZD
1,300,000
(6,554)
(27,680)
(34,234)
Pay
3M
HIBOR
Qtrly
1.50%
Qtrly
6/19/2024
HKD
4,300,000
(9,810)
(9,810)
Pay
3M
HIBOR
Qtrly
2.00%
Qtrly
9/19/2024
HKD
7,100,000
(2,606)
(8,239)
(10,845)
Pay
3M
JIBAR
Qtrly
6.00%
Qtrly
6/19/2024
ZAR
38,000,000
(253)
(15,140)
(15,393)
Pay
3M
JIBAR
Qtrly
6.50%
Qtrly
9/18/2024
ZAR
1,900,000
162
(446)
(284)
Pay
3M
JIBAR
Qtrly
6.00%
Qtrly
9/18/2024
ZAR
200,000
(49)
(104)
(153)
Pay
3M
STIBOR
Qtrly
1.00%
Annual
9/18/2024
SEK
125,600,000
(31,215)
(196,577)
(227,792)
Pay
3M
STIBOR
Qtrly
1.50%
Annual
9/18/2024
SEK
82,100,000
(14,089)
(49,549)
(63,638)
Pay
3M
STIBOR
Qtrly
1.00%
Annual
6/16/2027
SEK
25,000,000
(31,256)
(83,378)
(114,634)
Pay
3M
STIBOR
Qtrly
1.50%
Annual
9/15/2027
SEK
11,500,000
10,137
(39,053)
(28,916)
Pay
6M
BBR
Semi
3.00%
Semi
9/09/2027
AUD
600,000
(554)
(3,638)
(4,192)
Pay
6M
BBR
Semi
2.50%
Semi
9/09/2027
AUD
1,200,000
(6,732)
(22,427)
(29,159)
Pay
6M
BBR
Semi
3.00%
Semi
9/09/2032
AUD
300,000
(3,966)
(3,966)
Pay
6M
EURIBOR
Semi
0.50%
Annual
6/17/2024
EUR
25,600,000
(314,142)
(368,234)
(682,376)
Pay
6M
EURIBOR
Semi
0.25%
Annual
9/23/2024
EUR
14,500,000
(247,485)
(131,758)
(379,243)
Pay
6M
EURIBOR
Semi
0.50%
Annual
9/23/2024
EUR
13,700,000
(142,623)
13,771
(128,852)
Pay
6M
EURIBOR
Semi
0.00%
Annual
6/15/2032
EUR
1,700,000
(8,411)
(213,035)
(221,446)
Pay
6M
NIBOR
Semi
2.00%
Annual
6/16/2027
NOK
16,600,000
(77,251)
(77,251)
Pay
6M
NIBOR
Semi
2.50%
Annual
9/15/2027
NOK
14,100,000
1,326
(34,581)
(33,255)
Receive
1D
TONAR
Annual
0.50%
Annual
9/23/2032
JPY
159,400,000
(35,679)
8,047
(27,632)
Receive
3M
BA
Qtrly
2.25%
Semi
9/20/2032
CAD
200,000
2,712
(7,286)
(4,574)
Receive
3M
BBR
Qtrly
3.00%
Qtrly
9/12/2024
AUD
1,100,000
(3,041)
(3,041)
104
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
NIBOR
Semi
3.00%
Annual
9/18/2024
NOK
103,700,000
$
(9,886)
$
(14,220)
$
(24,106)
(1,844,093)
(2,616,770)
(4,460,863)
$
589,900
$
1,768,042
$
2,357,942
Abbreviations:
1D:
1
Day
1M:
1
Month
3M:
3
Month
6M:
6
Month
Qtrly
:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
March
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
0.29%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
0.69%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
-0.70%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
6.72%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.23%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
1.26%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
0.55%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
4.37%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
1.51%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
0.06%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.71%
6
Month
Budapest
Interbank
Offered
Rate
(''BUBOR''):
6.80%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
-0.37%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
1.62%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
5.31%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
4.95%
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
DTOP
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
06/15/2022
ZAR
531,840
$
2,275
HSCEI
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
1,504,200
602
KOSPI
200
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
06/09/2022
KRW
182,850,000
1,833
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(278,750)
4,719
105
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
278,750
$
3,378
Soybean
Meal
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
1,262,250
37,534
TAIEX
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/20/2022
TWD
7,053,600
8,532
TAIEX
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/20/2022
TWD
7,053,600
9,787
Tel
Aviv
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/27/2022
ILS
606,384
1,160
WIG20
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
06/17/2022
PLN
303,100
1,192
MSCI
Sweden
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
STIBOR
plus
or
minus
a
specified
spread
(-1.84%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
06/15/2022
SEK
843,572
4,553
75,565
iBovespa
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/13/2022
BRL
(2,407,580)
(27,319)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(274,250)
(7,133)
Soybean
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
(1,294,600)
(26,124)
Soybean
Meal
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
(514,250)
(8,382)
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
06/17/2022
CHF
(1,444,080)
(66,202)
MSCI
Brazil
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
CDI
plus
or
minus
a
specified
spread
(-0.80%)
Monthly
GSIN
06/15/2022
BRL
(642,168)
(6,470)
106
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Emerging
Markets
Thailand
Net
Total
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.25%)
Monthly
JPMC
06/15/2022
USD
(145,565)
$
(2,615)
(144,245)
$
(68,680)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
4
4/2022
EUR
$
640,749
$
13,678
Brent
Crude
Oil
27
4/2022
USD
2,827,170
(45,015)
CAC
40
10
Euro
Index
14
4/2022
EUR
1,031,080
35,269
FTSE
Bursa
Malaysia
KLCI
Index
3
4/2022
MYR
56,454
(280)
IBEX
35
Index
2
4/2022
EUR
186,202
109
LME
Aluminum
Base
Metal
1
4/2022
USD
87,028
13,761
LME
Aluminum
Base
Metal
1
4/2022
USD
87,015
16,195
LME
Aluminum
Base
Metal
1
4/2022
USD
87,084
11,184
LME
Aluminum
Base
Metal
1
4/2022
USD
87,032
13,537
LME
Aluminum
Base
Metal
2
4/2022
USD
174,181
20,112
LME
Aluminum
Base
Metal
2
4/2022
USD
174,077
24,222
LME
Aluminum
Base
Metal
2
4/2022
USD
174,197
20,382
LME
Aluminum
Base
Metal
3
4/2022
USD
261,392
33,096
LME
Aluminum
Base
Metal
3
4/2022
USD
261,083
42,737
LME
Aluminum
Base
Metal
5
4/2022
USD
435,258
64,369
LME
Copper
Base
Metal
1
4/2022
USD
259,265
10,326
LME
Copper
Base
Metal
1
4/2022
USD
259,238
19,735
LME
Copper
Base
Metal
1
4/2022
USD
259,325
16,285
LME
Copper
Base
Metal
1
4/2022
USD
259,188
17,810
LME
Copper
Base
Metal
5
4/2022
USD
1,296,375
51,987
LME
Lead
Base
Metal
1
4/2022
USD
60,550
1,247
LME
Nickel
Base
Metal
1
4/2022
USD
192,666
59,022
LME
Nickel
Base
Metal
1
4/2022
USD
192,677
58,495
LME
Nickel
Base
Metal
1
4/2022
USD
192,657
58,536
LME
Nickel
Base
Metal
1
4/2022
USD
192,690
50,367
LME
Nickel
Base
Metal
1
4/2022
USD
192,686
56,508
LME
Zinc
Base
Metal
1
4/2022
USD
105,213
14,841
LME
Zinc
Base
Metal
1
4/2022
USD
105,188
14,435
LME
Zinc
Base
Metal
2
4/2022
USD
210,625
34,808
LME
Zinc
Base
Metal
2
4/2022
USD
210,575
32,259
LME
Zinc
Base
Metal
2
4/2022
USD
210,575
28,271
LME
Zinc
Base
Metal
2
4/2022
USD
210,582
34,426
LME
Zinc
Base
Metal
6
4/2022
USD
631,071
87,453
LME
Zinc
Base
Metal
6
4/2022
USD
631,763
95,107
Natural
Gas
2
4/2022
USD
112,840
5,531
OMXS30
Index
12
4/2022
SEK
266,102
(2,936)
Sugar
No.
11
7
4/2022
USD
152,802
2,242
107
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Corn
38
5/2022
USD
$
1,422,625
$
110,812
Cotton
No.
2
2
5/2022
USD
135,690
12,087
LME
Aluminum
Base
Metal
1
5/2022
USD
87,084
531
LME
Aluminum
Base
Metal
1
5/2022
USD
87,178
5,699
LME
Aluminum
Base
Metal
1
5/2022
USD
87,081
5,078
LME
Aluminum
Base
Metal
2
5/2022
USD
174,418
22,390
LME
Aluminum
Base
Metal
2
5/2022
USD
174,218
9,900
LME
Aluminum
Base
Metal
4
5/2022
USD
348,561
28,038
LME
Aluminum
Base
Metal
5
5/2022
USD
435,456
37,679
LME
Aluminum
Base
Metal
5
5/2022
USD
435,554
39,764
LME
Copper
Base
Metal
1
5/2022
USD
259,346
7,843
LME
Copper
Base
Metal
1
5/2022
USD
259,263
9,560
LME
Copper
Base
Metal
1
5/2022
USD
259,363
9,635
LME
Copper
Base
Metal
1
5/2022
USD
259,288
10,454
LME
Copper
Base
Metal
1
5/2022
USD
259,275
13,796
LME
Copper
Base
Metal
2
5/2022
USD
518,632
27,163
LME
Copper
Base
Metal
3
5/2022
USD
777,886
30,427
LME
Lead
Base
Metal
1
5/2022
USD
60,565
2,924
LME
Lead
Base
Metal
1
5/2022
USD
60,594
3,726
LME
Nickel
Base
Metal
1
5/2022
USD
192,617
53,909
LME
Nickel
Base
Metal
1
5/2022
USD
192,610
51,438
LME
Nickel
Base
Metal
1
5/2022
USD
192,503
44,750
LME
Zinc
Base
Metal
1
5/2022
USD
105,089
14,836
LME
Zinc
Base
Metal
1
5/2022
USD
105,107
13,117
LME
Zinc
Base
Metal
1
5/2022
USD
104,866
13,326
LME
Zinc
Base
Metal
1
5/2022
USD
105,152
14,718
LME
Zinc
Base
Metal
2
5/2022
USD
210,250
30,537
LME
Zinc
Base
Metal
2
5/2022
USD
210,232
25,676
LME
Zinc
Base
Metal
3
5/2022
USD
315,482
45,148
Low
Sulphur
Gasoil
5
5/2022
USD
504,000
17,757
Silver
1
5/2022
USD
125,665
2,716
Soybean
Meal
8
5/2022
USD
374,000
(15,453)
Soybean
Oil
1
5/2022
USD
41,964
(1,900)
Australia
10
Year
Bond
70
6/2022
AUD
6,657,194
(207,847)
EURO
STOXX
50
Index
78
6/2022
EUR
3,298,771
161,408
Euro-Bund
48
6/2022
EUR
8,424,846
46,879
FTSE
100
Index
12
6/2022
GBP
1,180,078
17,590
FTSE/JSE
Top
40
Index
8
6/2022
ZAR
377,107
23,816
FTSE/MIB
Index
7
6/2022
EUR
944,970
39,175
KOSPI
200
Index
4
6/2022
KRW
301,720
2,911
LME
Aluminum
Base
Metal
1
6/2022
USD
87,274
2,481
LME
Aluminum
Base
Metal
1
6/2022
USD
87,125
1,747
LME
Aluminum
Base
Metal
2
6/2022
USD
174,356
(19,734)
LME
Aluminum
Base
Metal
2
6/2022
USD
174,515
(6,993)
LME
Aluminum
Base
Metal
3
6/2022
USD
261,496
(21,378)
LME
Aluminum
Base
Metal
3
6/2022
USD
261,825
(8,201)
LME
Aluminum
Base
Metal
3
6/2022
USD
261,825
(3,158)
LME
Aluminum
Base
Metal
4
6/2022
USD
348,761
(5,527)
LME
Aluminum
Base
Metal
16
6/2022
USD
1,396,600
(40,889)
LME
Copper
Base
Metal
1
6/2022
USD
259,325
10,322
LME
Copper
Base
Metal
1
6/2022
USD
259,375
3,122
LME
Copper
Base
Metal
1
6/2022
USD
259,375
(2,378)
LME
Copper
Base
Metal
1
6/2022
USD
259,413
6,863
LME
Copper
Base
Metal
1
6/2022
USD
259,413
(1,416)
LME
Copper
Base
Metal
1
6/2022
USD
259,394
(8,859)
LME
Copper
Base
Metal
1
6/2022
USD
259,375
1,998
108
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
6/2022
USD
$
259,375
$
5,128
LME
Copper
Base
Metal
1
6/2022
USD
259,375
886
LME
Copper
Base
Metal
2
6/2022
USD
518,725
2,468
LME
Copper
Base
Metal
3
6/2022
USD
778,298
29,790
LME
Copper
Base
Metal
8
6/2022
USD
2,075,500
45,803
LME
Lead
Base
Metal
1
6/2022
USD
60,388
1,560
LME
Lead
Base
Metal
1
6/2022
USD
60,425
3,398
LME
Lead
Base
Metal
1
6/2022
USD
60,444
2,816
LME
Lead
Base
Metal
1
6/2022
USD
60,575
3,322
LME
Lead
Base
Metal
1
6/2022
USD
60,582
(2,367)
LME
Lead
Base
Metal
1
6/2022
USD
60,394
1,112
LME
Lead
Base
Metal
1
6/2022
USD
60,494
3,966
LME
Lead
Base
Metal
2
6/2022
USD
121,142
(38)
LME
Lead
Base
Metal
3
6/2022
USD
181,219
6,086
LME
Lead
Base
Metal
9
6/2022
USD
545,063
19,230
LME
Nickel
Base
Metal
1
6/2022
USD
192,597
(786)
LME
Nickel
Base
Metal
2
6/2022
USD
385,176
30,691
LME
Nickel
Base
Metal
4
6/2022
USD
770,112
(323,065)
LME
Nickel
Base
Metal
8
6/2022
USD
1,540,800
357,558
LME
Zinc
Base
Metal
1
6/2022
USD
104,823
5,421
LME
Zinc
Base
Metal
1
6/2022
USD
104,738
9,610
LME
Zinc
Base
Metal
1
6/2022
USD
104,400
3,169
LME
Zinc
Base
Metal
3
6/2022
USD
313,013
9,179
LME
Zinc
Base
Metal
3
6/2022
USD
313,013
466
LME
Zinc
Base
Metal
3
6/2022
USD
313,800
27,515
LME
Zinc
Base
Metal
4
6/2022
USD
419,179
7,931
LME
Zinc
Base
Metal
12
6/2022
USD
1,256,550
46,783
MEX
BOLSA
Index
1
6/2022
MXN
28,521
1,230
Nikkei
225
Index
1
6/2022
JPY
228,602
22,170
S&P
Midcap
400
E-Mini
Index
25
6/2022
USD
6,723,000
312,841
SPI
200
Index
18
6/2022
AUD
2,518,441
128,153
U.S.
Treasury
Ultra
Bond
16
6/2022
USD
2,833,000
(85,881)
Brent
Crude
Oil
9
10/2022
USD
859,590
68,035
2,444,304
Short
Contracts
Hang
Seng
Index
(6)
4/2022
HKD
(842,174)
(9,188)
HSCEI
(2)
4/2022
HKD
(96,013)
(455)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,015)
(16,518)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,028)
(12,906)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,032)
(13,535)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,084)
(11,287)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,197)
(19,652)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,077)
(25,632)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,181)
(21,685)
LME
Aluminum
Base
Metal
(3)
4/2022
USD
(261,392)
(33,262)
LME
Aluminum
Base
Metal
(3)
4/2022
USD
(261,083)
(44,341)
LME
Aluminum
Base
Metal
(5)
4/2022
USD
(435,258)
(64,210)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,188)
(17,614)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,265)
(10,024)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,238)
(20,431)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,325)
(14,574)
LME
Copper
Base
Metal
(5)
4/2022
USD
(1,296,375)
(64,165)
LME
Lead
Base
Metal
(1)
4/2022
USD
(60,550)
(1,270)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,666)
(56,649)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,690)
(51,081)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,686)
(59,129)
109
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(1)
4/2022
USD
$
(192,677)
$
(57,950)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,657)
(58,290)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,188)
(14,349)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,213)
(15,038)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(210,575)
(32,716)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(210,582)
(34,062)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(210,575)
(27,706)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(210,625)
(34,637)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(631,763)
(94,780)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(631,071)
(88,437)
MSCI
Singapore
Index
(15)
4/2022
SGD
(370,587)
(2,732)
RBOB
Gasoline
(1)
4/2022
USD
(132,338)
5,546
SGX
FTSE
China
A50
Index
(2)
4/2022
USD
(27,498)
(544)
SGX
FTSE
Taiwan
Index
(4)
4/2022
USD
(247,040)
(1,773)
SGX
NIFTY
50
Index
(49)
4/2022
USD
(1,718,577)
(8,923)
WTI
Crude
Oil
(20)
4/2022
USD
(2,005,600)
200,711
Coffee
'C'
(3)
5/2022
USD
(254,700)
(7,874)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,081)
(5,352)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,178)
(5,385)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,084)
(1,423)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,418)
(23,803)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,218)
(10,124)
LME
Aluminum
Base
Metal
(4)
5/2022
USD
(348,561)
(27,063)
LME
Aluminum
Base
Metal
(5)
5/2022
USD
(435,456)
(39,782)
LME
Aluminum
Base
Metal
(5)
5/2022
USD
(435,554)
(36,516)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,275)
(15,014)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,363)
(9,669)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,346)
(9,318)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,288)
(10,954)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,263)
(10,947)
LME
Copper
Base
Metal
(2)
5/2022
USD
(518,632)
(27,856)
LME
Copper
Base
Metal
(3)
5/2022
USD
(777,886)
(29,394)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,594)
(3,828)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,565)
(2,917)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,610)
(52,513)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,503)
(44,696)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,617)
(55,220)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,107)
(13,550)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(104,866)
(13,481)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,089)
(15,146)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,152)
(14,660)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,250)
(28,889)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,232)
(24,728)
LME
Zinc
Base
Metal
(3)
5/2022
USD
(315,482)
(45,124)
Soybean
(23)
5/2022
USD
(1,860,988)
77,785
Wheat
(10)
5/2022
USD
(503,000)
15,002
100
oz
Gold
(2)
6/2022
USD
(390,800)
(4,986)
Australia
3
Year
Bond
(6)
6/2022
AUD
(493,103)
7,732
Canada
10
Year
Bond
(27)
6/2022
CAD
(2,816,086)
143,668
DAX
Index
(7)
6/2022
EUR
(2,794,139)
(63,405)
DJIA
CBOT
E-Mini
Index
(4)
6/2022
USD
(692,360)
(33,573)
Euro-
Bobl
(5)
6/2022
EUR
(713,144)
21,620
Euro-BTP
(5)
6/2022
EUR
(766,189)
(3,306)
Euro-
Buxl
(4)
6/2022
EUR
(821,811)
52,582
Euro-OAT
(2)
6/2022
EUR
(334,995)
11,939
Euro-Schatz
(6)
6/2022
EUR
(735,269)
1,671
110
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Lean
Hogs
(2)
6/2022
USD
$
(96,500)
$
(5,273)
Live
Cattle
(8)
6/2022
USD
(438,800)
(11,742)
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,274)
(2,276)
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,125)
(1,012)
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,515)
7,430
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,356)
26,639
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,825)
2,892
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,825)
3,666
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,496)
20,572
LME
Aluminum
Base
Metal
(4)
6/2022
USD
(348,761)
1,977
LME
Aluminum
Base
Metal
(9)
6/2022
USD
(785,588)
(7,956)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,413)
(7,665)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(2,313)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
2,782
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(1,655)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,325)
(9,891)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(3,128)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,413)
(2,790)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(5,003)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,394)
8,054
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,725)
(2,487)
LME
Copper
Base
Metal
(3)
6/2022
USD
(778,298)
(33,111)
LME
Copper
Base
Metal
(14)
6/2022
USD
(3,632,125)
(99,468)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,444)
(3,771)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,394)
(1,096)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,388)
(1,503)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,494)
(4,046)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,425)
(3,953)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,575)
(3,771)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,582)
2,215
LME
Lead
Base
Metal
(2)
6/2022
USD
(121,142)
236
LME
Lead
Base
Metal
(3)
6/2022
USD
(181,219)
(5,793)
LME
Lead
Base
Metal
(6)
6/2022
USD
(363,375)
(11,157)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,597)
(5,568)
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,176)
(41,361)
LME
Nickel
Base
Metal
(4)
6/2022
USD
(770,112)
333,052
LME
Nickel
Base
Metal
(7)
6/2022
USD
(1,348,200)
288,664
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,823)
(5,151)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,400)
(5,403)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,738)
(9,812)
LME
Zinc
Base
Metal
(3)
6/2022
USD
(313,013)
(8,224)
LME
Zinc
Base
Metal
(3)
6/2022
USD
(313,013)
(3,946)
LME
Zinc
Base
Metal
(3)
6/2022
USD
(313,800)
(27,234)
LME
Zinc
Base
Metal
(4)
6/2022
USD
(419,179)
(4,166)
LME
Zinc
Base
Metal
(8)
6/2022
USD
(837,700)
(77,110)
Long
Gilt
(71)
6/2022
GBP
(11,326,605)
70,777
MSCI
Emerging
Markets
E-Mini
Index
(4)
6/2022
USD
(225,100)
(12,412)
Russell
2000
E-Mini
Index
(22)
6/2022
USD
(2,273,040)
(68,585)
S&P
500
E-Mini
Index
(63)
6/2022
USD
(14,271,862)
(584,947)
S&P/TSX
60
Index
(2)
6/2022
CAD
(421,421)
3,681
TOPIX
Index
(11)
6/2022
JPY
(1,758,789)
(190,184)
U.S.
Treasury
10
Year
Note
(37)
6/2022
USD
(4,541,750)
72,913
U.S.
Treasury
2
Year
Note
(12)
6/2022
USD
(2,541,375)
38,942
U.S.
Treasury
5
Year
Note
(166)
6/2022
USD
(19,012,187)
432,471
U.S.
Treasury
Long
Bond
(1)
6/2022
USD
(150,219)
5,747
Cocoa
(3)
7/2022
USD
(80,610)
(822)
111
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Platinum
(3)
2/2023
JPY
$
(46,981)
$
1,431
(1,143,429)
$
1,300,875
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
1,486,340
USD
1,089,082
CITI
6/15/2022
$
24,553
AUD
1,486,337
USD
1,089,081
JPMC
6/15/2022
24,552
BRL
13,798,210
USD
2,654,551
CITI
**
6/15/2022
182,958
BRL
13,798,201
USD
2,654,552
JPMC
**
6/15/2022
182,955
CAD
2,799,371
USD
2,202,250
CITI
6/15/2022
36,565
CAD
2,799,358
USD
2,202,242
JPMC
6/15/2022
36,563
CHF
44,000
USD
47,727
CITI
6/15/2022
41
CHF
44,000
USD
47,727
JPMC
6/15/2022
41
CLP
2,196,761,853
USD
2,700,497
CITI
**
6/15/2022
56,678
CLP
2,196,761,847
USD
2,700,501
JPMC
**
6/15/2022
56,675
CNY
384,102
USD
60,169
CITI
**
6/15/2022
16
CNY
384,100
USD
60,169
JPMC
**
6/15/2022
15
COP
2,832,413,343
USD
714,190
CITI
**
6/15/2022
28,783
COP
2,832,413,337
USD
714,191
JPMC
**
6/15/2022
28,783
CZK
24,026,649
USD
1,064,359
CITI
6/15/2022
14,996
CZK
24,026,648
USD
1,064,361
JPMC
6/15/2022
14,994
EUR
449,000
USD
493,429
CITI
6/15/2022
4,684
EUR
449,000
USD
493,429
JPMC
6/15/2022
4,683
HUF
81,716,500
USD
238,860
CITI
6/15/2022
4,668
HUF
81,716,500
USD
238,860
JPMC
6/15/2022
4,668
IDR
2,018,950,500
USD
140,254
CITI
**
6/15/2022
162
IDR
2,018,950,500
USD
140,254
JPMC
**
6/15/2022
162
ILS
1,640,000
USD
503,369
CITI
6/15/2022
11,713
ILS
1,640,000
USD
503,370
JPMC
6/15/2022
11,712
INR
66,958,684
USD
870,620
CITI
**
6/15/2022
2,799
INR
66,958,684
USD
870,621
JPMC
**
6/15/2022
2,797
KRW
456,542,500
USD
372,542
CITI
**
6/15/2022
3,009
KRW
456,542,500
USD
372,542
JPMC
**
6/15/2022
3,008
MXN
47,098,006
USD
2,264,616
CITI
6/15/2022
72,191
MXN
47,098,004
USD
2,264,618
JPMC
6/15/2022
72,188
NOK
9,094,868
USD
1,014,928
CITI
6/15/2022
17,633
NOK
9,094,867
USD
1,014,929
JPMC
6/15/2022
17,632
NZD
297,601
USD
199,895
CITI
6/15/2022
6,096
NZD
297,600
USD
199,894
JPMC
6/15/2022
6,096
PHP
11,231,502
USD
212,136
CITI
**
6/15/2022
3,556
PHP
11,231,498
USD
212,136
JPMC
**
6/15/2022
3,556
PLN
3,327,264
USD
768,122
CITI
6/15/2022
17,982
PLN
3,327,258
USD
768,122
JPMC
6/15/2022
17,981
RUB
38,152,250
USD
390,824
CITI
**
6/15/2022
105,059
RUB
38,152,250
USD
390,825
JPMC
**
6/15/2022
105,058
SEK
16,563,839
USD
1,732,378
CITI
6/15/2022
32,589
SEK
16,563,835
USD
1,732,380
JPMC
6/15/2022
32,588
SGD
32,500
USD
23,950
CITI
6/15/2022
28
SGD
32,500
USD
23,950
JPMC
6/15/2022
29
112
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
THB
79,500
USD
2,385
CITI
6/15/2022
$
9
THB
79,500
USD
2,385
JPMC
6/15/2022
9
USD
114,160
AUD
152,109
CITI
6/15/2022
192
USD
114,159
AUD
152,109
JPMC
6/15/2022
192
USD
1,996,904
CHF
1,832,489
CITI
6/15/2022
7,514
USD
1,996,903
CHF
1,832,490
JPMC
6/15/2022
7,513
USD
279,551
CLP
220,677,500
CITI
**
6/15/2022
2,577
USD
279,551
CLP
220,677,500
JPMC
**
6/15/2022
2,577
USD
84,072
CNY
535,000
CITI
**
6/15/2022
244
USD
84,072
CNY
535,000
JPMC
**
6/15/2022
244
USD
2,152,768
EUR
1,913,304
CITI
6/15/2022
30,180
USD
2,152,762
EUR
1,913,301
JPMC
6/15/2022
30,178
USD
1,275,292
GBP
962,270
CITI
6/15/2022
11,570
USD
1,275,286
GBP
962,267
JPMC
6/15/2022
11,568
USD
337,480
HUF
111,607,507
CITI
6/15/2022
4,871
USD
337,479
HUF
111,607,493
JPMC
6/15/2022
4,871
USD
23,435
ILS
74,500
CITI
6/15/2022
36
USD
23,435
ILS
74,500
JPMC
6/15/2022
36
USD
1,378,113
INR
105,018,001
CITI
**
6/15/2022
8,244
USD
1,378,111
INR
105,017,998
JPMC
**
6/15/2022
8,243
USD
4,323,159
JPY
501,202,504
CITI
6/15/2022
198,129
USD
4,323,153
JPY
501,202,496
JPMC
6/15/2022
198,122
USD
2,435,302
KRW
2,923,536,009
CITI
**
6/15/2022
30,410
USD
2,435,299
KRW
2,923,535,991
JPMC
**
6/15/2022
30,407
USD
114,085
NOK
988,635
CITI
6/15/2022
1,844
USD
114,085
NOK
988,635
JPMC
6/15/2022
1,843
USD
329,791
PHP
17,082,190
CITI
**
6/15/2022
1,742
USD
329,790
PHP
17,082,184
JPMC
**
6/15/2022
1,742
USD
374,344
PLN
1,559,500
CITI
6/15/2022
5,894
USD
374,343
PLN
1,559,498
JPMC
6/15/2022
5,893
USD
218,561
SEK
2,032,000
CITI
6/15/2022
2,040
USD
218,561
SEK
2,032,000
JPMC
6/15/2022
2,040
USD
4,392
THB
144,000
CITI
6/15/2022
57
USD
4,392
THB
144,000
JPMC
6/15/2022
57
USD
1,411,774
TWD
39,328,502
CITI
**
6/15/2022
33,784
USD
1,411,773
TWD
39,328,498
JPMC
**
6/15/2022
33,782
ZAR
20,826,745
USD
1,364,461
CITI
6/15/2022
47,444
ZAR
20,826,737
USD
1,364,462
JPMC
6/15/2022
47,442
Total
unrealized
appreciation
2,027,035
AUD
527,500
USD
396,875
CITI
6/15/2022
(1,647)
AUD
527,500
USD
396,876
JPMC
6/15/2022
(1,648)
BRL
79,500
USD
16,440
CITI
**
6/15/2022
(92)
BRL
79,500
USD
16,440
JPMC
**
6/15/2022
(92)
CAD
299,000
USD
239,307
CITI
6/15/2022
(179)
CAD
299,000
USD
239,307
JPMC
6/15/2022
(180)
CHF
191,500
USD
208,037
CITI
6/15/2022
(141)
CHF
191,500
USD
208,038
JPMC
6/15/2022
(142)
CNY
2,962,213
USD
465,251
CITI
**
6/15/2022
(1,103)
CNY
2,962,210
USD
465,251
JPMC
**
6/15/2022
(1,103)
COP
1,192,238,500
USD
313,542
CITI
**
6/15/2022
(805)
COP
1,192,238,500
USD
313,543
JPMC
**
6/15/2022
(806)
EUR
2,213,880
USD
2,476,436
CITI
6/15/2022
(20,393)
EUR
2,213,878
USD
2,476,436
JPMC
6/15/2022
(20,396)
GBP
1,308,894
USD
1,757,312
CITI
6/15/2022
(38,378)
GBP
1,308,892
USD
1,757,312
JPMC
6/15/2022
(38,380)
HUF
951,059,683
USD
2,918,046
CITI
6/15/2022
(83,738)
HUF
951,059,661
USD
2,918,050
JPMC
6/15/2022
(83,742)
IDR
519,519,500
USD
36,135
CITI
**
6/15/2022
(3)
113
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
IDR
519,519,500
USD
36,135
JPMC
**
6/15/2022
$
(4)
INR
71,281,184
USD
931,157
CITI
**
6/15/2022
(1,357)
INR
71,281,184
USD
931,158
JPMC
**
6/15/2022
(1,357)
JPY
318,893,669
USD
2,766,440
CITI
6/15/2022
(141,861)
JPY
318,893,663
USD
2,766,444
JPMC
6/15/2022
(141,864)
KRW
862,801,546
USD
715,994
CITI
**
6/15/2022
(6,256)
KRW
862,801,534
USD
715,995
JPMC
**
6/15/2022
(6,256)
NZD
481,500
USD
334,339
CITI
6/15/2022
(1,058)
NZD
481,500
USD
334,339
JPMC
6/15/2022
(1,059)
PHP
17,464,502
USD
337,337
CITI
**
6/15/2022
(1,947)
PHP
17,464,498
USD
337,337
JPMC
**
6/15/2022
(1,947)
PLN
3,030,740
USD
746,035
CITI
6/15/2022
(29,987)
PLN
3,030,738
USD
746,035
JPMC
6/15/2022
(29,988)
SEK
14,137,968
USD
1,519,292
CITI
6/15/2022
(12,814)
SEK
14,137,963
USD
1,519,293
JPMC
6/15/2022
(12,817)
SGD
921,128
USD
682,331
CITI
6/15/2022
(2,716)
SGD
921,126
USD
682,330
JPMC
6/15/2022
(2,717)
THB
2,584,003
USD
79,596
CITI
6/15/2022
(1,801)
THB
2,583,997
USD
79,596
JPMC
6/15/2022
(1,801)
TWD
1,326,528
USD
47,648
CITI
**
6/15/2022
(1,169)
TWD
1,326,528
USD
47,648
JPMC
**
6/15/2022
(1,170)
USD
112,525
AUD
156,407
CITI
6/15/2022
(4,662)
USD
112,525
AUD
156,407
JPMC
6/15/2022
(4,662)
USD
764,258
BRL
3,889,000
CITI
**
6/15/2022
(35,489)
USD
764,257
BRL
3,889,000
JPMC
**
6/15/2022
(35,490)
USD
734,672
CAD
934,366
CITI
6/15/2022
(12,593)
USD
734,671
CAD
934,365
JPMC
6/15/2022
(12,594)
USD
88,991
CHF
82,500
CITI
6/15/2022
(572)
USD
88,991
CHF
82,500
JPMC
6/15/2022
(573)
USD
1,036,468
CLP
842,915,004
CITI
**
6/15/2022
(21,483)
USD
1,036,467
CLP
842,914,996
JPMC
**
6/15/2022
(21,484)
USD
269,867
CNY
1,729,500
CITI
**
6/15/2022
(1,128)
USD
269,867
CNY
1,729,500
JPMC
**
6/15/2022
(1,129)
USD
74,933
COP
287,739,500
CITI
**
6/15/2022
(545)
USD
74,933
COP
287,739,500
JPMC
**
6/15/2022
(545)
USD
2,699,719
CZK
61,164,001
CITI
6/15/2022
(47,967)
USD
2,699,715
CZK
61,163,999
JPMC
6/15/2022
(47,971)
USD
4,561,751
EUR
4,152,668
CITI
6/15/2022
(45,149)
USD
4,561,745
EUR
4,152,668
JPMC
6/15/2022
(45,155)
USD
818,035
GBP
626,427
CITI
6/15/2022
(4,635)
USD
818,036
GBP
626,429
JPMC
6/15/2022
(4,635)
USD
645,244
HUF
225,882,500
CITI
6/15/2022
(27,921)
USD
645,243
HUF
225,882,500
JPMC
6/15/2022
(27,923)
USD
281,602
IDR
4,059,997,500
CITI
**
6/15/2022
(767)
USD
281,601
IDR
4,059,997,500
JPMC
**
6/15/2022
(767)
USD
1,525,095
ILS
4,917,985
CITI
6/15/2022
(19,518)
USD
1,525,092
ILS
4,917,981
JPMC
6/15/2022
(19,519)
USD
2,258,392
INR
174,232,501
CITI
**
6/15/2022
(14,318)
USD
2,258,389
INR
174,232,500
JPMC
**
6/15/2022
(14,322)
USD
1,526,934
JPY
186,669,500
CITI
6/15/2022
(9,406)
USD
1,526,932
JPY
186,669,500
JPMC
6/15/2022
(9,407)
USD
233,849
KRW
286,877,500
CITI
**
6/15/2022
(2,136)
USD
233,848
KRW
286,877,500
JPMC
**
6/15/2022
(2,136)
USD
2,298,586
MXN
47,663,421
CITI
6/15/2022
(66,274)
USD
2,298,583
MXN
47,663,420
JPMC
6/15/2022
(66,277)
USD
113,395
NOK
1,017,268
CITI
6/15/2022
(2,098)
USD
113,395
NOK
1,017,268
JPMC
6/15/2022
(2,098)
USD
1,167,919
NZD
1,739,107
CITI
6/15/2022
(35,842)
114
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,167,917
NZD
1,739,107
JPMC
6/15/2022
$
(35,843)
USD
58,754
PHP
3,080,314
CITI
**
6/15/2022
(401)
USD
58,754
PHP
3,080,312
JPMC
**
6/15/2022
(401)
USD
952,552
PLN
4,216,005
CITI
6/15/2022
(43,527)
USD
952,549
PLN
4,215,997
JPMC
6/15/2022
(43,528)
USD
487,061
RUB
38,152,250
CITI
**
6/15/2022
(8,822)
USD
487,061
RUB
38,152,250
JPMC
**
6/15/2022
(8,823)
USD
1,237,258
SEK
11,999,503
CITI
6/15/2022
(41,354)
USD
1,237,256
SEK
11,999,497
JPMC
6/15/2022
(41,356)
USD
15,100
SGD
20,500
CITI
6/15/2022
(25)
USD
15,100
SGD
20,500
JPMC
6/15/2022
(25)
USD
1,326
THB
44,500
CITI
6/15/2022
(14)
USD
1,326
THB
44,500
JPMC
6/15/2022
(14)
USD
343,609
ZAR
5,302,500
CITI
6/15/2022
(15,862)
USD
343,609
ZAR
5,302,500
JPMC
6/15/2022
(15,863)
ZAR
264,000
USD
18,020
CITI
6/15/2022
(123)
ZAR
264,000
USD
18,020
JPMC
6/15/2022
(123)
Total
unrealized
depreciation
(1,620,208)
Net
unrealized
appreciation
$
406,827
**
Non-deliverable
forward.
115
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
94.0%
INVESTMENT
COMPANIES
-
18.6%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(a)(b)
10,061,254
10,061,254
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(a)
211,955,472
211,849,494
UBS
Select
Treasury
Preferred
Fund,
Class
I,
0.17%
(1)(a)
1,407,144
1,407,144
TOTAL
INVESTMENT
COMPANIES
(Cost
$223,313,132)
223,317,892
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
75.4%
U.S.
Treasury
Bills
0.07%,
5/19/2022
(c)(d)
$
13,934,000
13,929,371
0.10%,
6/9/2022
(c)
110,000
109,921
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
75.4%
(continued)
0.37%,
7/21/2022
(c)
$
35,201,000
35,129,366
0.38%,
7/28/2022
(c)
69,559,000
69,386,861
0.49%,
8/4/2022
(c)(d)
112,580,000
112,268,190
0.77%,
8/18/2022
(c)(d)
19,817,000
19,752,472
0.70%,
9/8/2022
(c)(d)
181,613,000
180,873,230
0.82%,
9/15/2022
(c)(d)
242,107,000
241,060,824
0.87%,
9/22/2022
(c)(d)
114,014,000
113,491,404
1.06%,
9/29/2022
(c)
122,069,000
121,451,071
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$908,016,960)
907,452,710
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$1,131,330,092)
1,130,770,602
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
94.0%
(Cost
$1,131,330,092)
1,130,770,602
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
6.0%
(e)
72,168,607
NET
ASSETS
-
100.0%
1,202,939,209
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
212,000
$
1,828
Cotton
No.
2
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/14/2022
USD
949,830
89,243
KC
HRW
Wheat
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/22/2022
USD
102,975
13,650
Lean
Hogs
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/14/2022
USD
(40,700)
301
Lean
Hogs
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/14/2022
USD
48,250
1,114
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(7,860,750)
87,591
116
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
7,860,750
$
91,901
285,628
Cocoa
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(212,000)
(5,800)
Cocoa
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(214,960)
(2,069)
Cotton
No.
2
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/14/2022
USD
(949,830)
(45,360)
Hang
Seng
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
(63,771,000)
(112,088)
HSCEI
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
04/28/2022
HKD
(19,178,550)
(15,923)
iBovespa
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
04/13/2022
BRL
(31,900,435)
(199,564)
KC
HRW
Wheat
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/22/2022
USD
(102,975)
(21,425)
Lean
Hogs
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/14/2022
USD
40,700
(11)
Lean
Hogs
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/14/2022
USD
(337,750)
(4,219)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(8,611,450)
(224,755)
Live
Cattle
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
1,316,400
(9,048)
Soybean
Oil
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
(41,964)
(2,634)
Soybean
Oil
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
41,964
(3,558)
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
06/17/2022
CHF
(12,515,360)
(675,645)
TAIEX
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/20/2022
TWD
(7,053,600)
(5,958)
Wheat
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
(50,300)
(11,605)
117
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Wheat
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
50,300
$
(14,415)
(1,354,077)
$
(1,068,449)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
1
4/2022
EUR
$
160,187
$
(1,906)
Brent
Crude
Oil
99
4/2022
USD
10,366,290
12,340
LME
Aluminum
Base
Metal
5
4/2022
USD
435,733
48,138
LME
Aluminum
Base
Metal
8
4/2022
USD
696,222
110,207
LME
Aluminum
Base
Metal
9
4/2022
USD
783,464
115,476
LME
Aluminum
Base
Metal
10
4/2022
USD
870,278
142,403
LME
Aluminum
Base
Metal
11
4/2022
USD
958,524
109,708
LME
Aluminum
Base
Metal
11
4/2022
USD
957,352
147,015
LME
Aluminum
Base
Metal
15
4/2022
USD
1,307,509
162,483
LME
Aluminum
Base
Metal
16
4/2022
USD
1,394,088
164,683
LME
Aluminum
Base
Metal
17
4/2022
USD
1,479,765
220,793
LME
Aluminum
Base
Metal
17
4/2022
USD
1,481,669
165,318
LME
Aluminum
Base
Metal
26
4/2022
USD
2,264,178
326,611
LME
Aluminum
Base
Metal
30
4/2022
USD
2,612,948
305,618
LME
Aluminum
Base
Metal
46
4/2022
USD
4,006,152
462,844
LME
Copper
Base
Metal
1
4/2022
USD
259,252
17,173
LME
Copper
Base
Metal
1
4/2022
USD
259,288
10,535
LME
Copper
Base
Metal
2
4/2022
USD
518,376
35,745
LME
Copper
Base
Metal
2
4/2022
USD
518,560
23,204
LME
Copper
Base
Metal
2
4/2022
USD
518,550
21,290
LME
Copper
Base
Metal
2
4/2022
USD
518,492
36,561
LME
Copper
Base
Metal
3
4/2022
USD
777,796
31,170
LME
Copper
Base
Metal
3
4/2022
USD
777,713
59,205
LME
Copper
Base
Metal
4
4/2022
USD
1,036,829
76,618
LME
Copper
Base
Metal
5
4/2022
USD
1,295,988
109,712
LME
Copper
Base
Metal
6
4/2022
USD
1,555,875
70,259
LME
Lead
Base
Metal
3
4/2022
USD
181,781
4,361
LME
Lead
Base
Metal
4
4/2022
USD
242,191
7,680
LME
Lead
Base
Metal
5
4/2022
USD
303,024
9,261
LME
Lead
Base
Metal
5
4/2022
USD
302,750
6,237
LME
Lead
Base
Metal
7
4/2022
USD
423,850
11,182
LME
Lead
Base
Metal
9
4/2022
USD
545,738
33,571
LME
Nickel
Base
Metal
1
4/2022
USD
192,666
57,873
LME
Nickel
Base
Metal
1
4/2022
USD
192,654
67,161
LME
Nickel
Base
Metal
1
4/2022
USD
192,670
56,864
LME
Nickel
Base
Metal
2
4/2022
USD
385,212
142,008
LME
Nickel
Base
Metal
2
4/2022
USD
385,327
113,425
LME
Nickel
Base
Metal
3
4/2022
USD
577,674
201,769
LME
Nickel
Base
Metal
5
4/2022
USD
963,450
252,222
LME
Nickel
Base
Metal
9
4/2022
USD
1,734,210
451,683
LME
Nickel
Base
Metal
9
4/2022
USD
1,733,958
549,981
118
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
10
4/2022
USD
$
1,926,860
$
608,884
LME
Nickel
Base
Metal
13
4/2022
USD
2,504,797
741,627
LME
Zinc
Base
Metal
1
4/2022
USD
105,310
16,999
LME
Zinc
Base
Metal
1
4/2022
USD
105,291
17,463
LME
Zinc
Base
Metal
4
4/2022
USD
421,175
61,963
LME
Zinc
Base
Metal
5
4/2022
USD
527,781
86,642
LME
Zinc
Base
Metal
6
4/2022
USD
632,850
94,035
LME
Zinc
Base
Metal
6
4/2022
USD
631,275
89,045
LME
Zinc
Base
Metal
6
4/2022
USD
634,875
99,370
LME
Zinc
Base
Metal
6
4/2022
USD
631,725
82,557
LME
Zinc
Base
Metal
7
4/2022
USD
737,188
118,526
LME
Zinc
Base
Metal
8
4/2022
USD
841,428
116,604
LME
Zinc
Base
Metal
9
4/2022
USD
947,138
138,555
LME
Zinc
Base
Metal
11
4/2022
USD
1,157,063
158,780
LME
Zinc
Base
Metal
11
4/2022
USD
1,156,867
161,002
LME
Zinc
Base
Metal
13
4/2022
USD
1,369,063
190,574
Natural
Gas
5
4/2022
EUR
518,135
(201,682)
Natural
Gas
5
4/2022
GBP
609,463
108,846
Natural
Gas
89
4/2022
USD
5,021,380
734,004
NY
Harbor
ULSD
95
4/2022
USD
13,409,991
56,273
RBOB
Gasoline
76
4/2022
USD
10,057,673
(263,431)
WTI
Crude
Oil
112
4/2022
USD
11,231,360
(1,780,433)
Canola
347
5/2022
CAD
6,275,228
562,148
Copper
96
5/2022
USD
11,402,400
228,939
Corn
263
5/2022
USD
9,846,063
65,063
Cotton
No.
2
154
5/2022
USD
10,448,130
1,032,042
Ethanol
45
5/2022
USD
4,592,700
(99,616)
FCOJ-A
66
5/2022
USD
1,504,305
119,412
KC
HRW
Wheat
44
5/2022
USD
2,265,450
255,932
LME
Aluminum
Base
Metal
2
5/2022
USD
174,281
15,625
LME
Aluminum
Base
Metal
4
5/2022
USD
348,636
25,609
LME
Aluminum
Base
Metal
7
5/2022
USD
610,223
73,915
LME
Aluminum
Base
Metal
10
5/2022
USD
870,813
50,783
LME
Aluminum
Base
Metal
13
5/2022
USD
1,132,186
97,992
LME
Aluminum
Base
Metal
15
5/2022
USD
1,306,073
104,674
LME
Aluminum
Base
Metal
18
5/2022
USD
1,567,814
70,172
LME
Aluminum
Base
Metal
20
5/2022
USD
1,743,555
113,980
LME
Aluminum
Base
Metal
20
5/2022
USD
1,741,680
10,621
LME
Aluminum
Base
Metal
23
5/2022
USD
2,003,438
220,870
LME
Aluminum
Base
Metal
25
5/2022
USD
2,180,225
278,238
LME
Aluminum
Base
Metal
30
5/2022
USD
2,613,323
238,359
LME
Aluminum
Base
Metal
34
5/2022
USD
2,961,706
75,006
LME
Aluminum
Base
Metal
34
5/2022
USD
2,961,706
168,306
LME
Copper
Base
Metal
1
5/2022
USD
259,308
12,927
LME
Copper
Base
Metal
1
5/2022
USD
259,356
11,530
LME
Copper
Base
Metal
1
5/2022
USD
259,298
11,321
LME
Copper
Base
Metal
1
5/2022
USD
259,363
9,635
LME
Copper
Base
Metal
1
5/2022
USD
259,288
10,454
LME
Copper
Base
Metal
3
5/2022
USD
777,947
41,889
LME
Copper
Base
Metal
4
5/2022
USD
1,037,050
38,789
LME
Copper
Base
Metal
4
5/2022
USD
1,037,181
40,570
LME
Copper
Base
Metal
5
5/2022
USD
1,296,563
80,463
LME
Copper
Base
Metal
5
5/2022
USD
1,296,500
71,487
LME
Copper
Base
Metal
6
5/2022
USD
1,555,712
23,819
LME
Copper
Base
Metal
6
5/2022
USD
1,556,076
47,060
LME
Lead
Base
Metal
3
5/2022
USD
181,760
11,298
119
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
4
5/2022
USD
$
241,900
$
5,191
LME
Lead
Base
Metal
7
5/2022
USD
423,901
15,809
LME
Lead
Base
Metal
8
5/2022
USD
483,868
13,447
LME
Lead
Base
Metal
9
5/2022
USD
545,672
41,244
LME
Lead
Base
Metal
12
5/2022
USD
726,864
43,084
LME
Lead
Base
Metal
12
5/2022
USD
726,600
22,622
LME
Lead
Base
Metal
19
5/2022
USD
1,149,381
36,466
LME
Lead
Base
Metal
28
5/2022
USD
1,695,806
72,792
LME
Nickel
Base
Metal
2
5/2022
USD
385,220
102,350
LME
Nickel
Base
Metal
2
5/2022
USD
385,207
105,409
LME
Nickel
Base
Metal
7
5/2022
USD
1,348,363
376,883
LME
Nickel
Base
Metal
15
5/2022
USD
2,889,650
844,205
LME
Zinc
Base
Metal
2
5/2022
USD
210,179
29,673
LME
Zinc
Base
Metal
2
5/2022
USD
209,847
29,091
LME
Zinc
Base
Metal
4
5/2022
USD
420,607
58,870
LME
Zinc
Base
Metal
11
5/2022
USD
1,153,999
155,722
LME
Zinc
Base
Metal
16
5/2022
USD
1,681,284
244,469
LME
Zinc
Base
Metal
17
5/2022
USD
1,787,278
257,228
LME
Zinc
Base
Metal
28
5/2022
USD
2,944,501
422,081
Low
Sulphur
Gasoil
118
5/2022
USD
11,894,400
(130,677)
Lumber
4
5/2022
USD
424,732
(89,808)
Milk
5
5/2022
USD
236,800
(3,508)
Milling
Wheat
No.
2
169
5/2022
EUR
3,454,017
654,711
Mont
Belvieu
60
5/2022
USD
3,449,250
311,504
Natural
Gas
50
5/2022
USD
3,442,698
228,648
Rough
Rice
34
5/2022
USD
1,088,680
29,756
SGX
Iron
Ore
133
5/2022
USD
2,123,212
123,753
Silver
12
5/2022
USD
1,507,980
(96,953)
Soybean
146
5/2022
USD
11,813,225
(212,746)
Soybean
Meal
148
5/2022
USD
6,919,000
(271,360)
Soybean
Oil
77
5/2022
USD
3,231,228
(233,582)
Wheat
41
5/2022
ZAR
927,323
9,443
100
oz
Gold
86
6/2022
USD
16,804,400
30,877
Crude
Palm
Oil
89
6/2022
MYR
3,018,877
(187,481)
FTSE/JSE
Top
40
Index
2
6/2022
ZAR
94,277
138
LME
Aluminum
Base
Metal
1
6/2022
USD
87,275
(603)
LME
Aluminum
Base
Metal
3
6/2022
USD
261,750
(2,934)
LME
Aluminum
Base
Metal
5
6/2022
USD
436,250
8,571
LME
Aluminum
Base
Metal
6
6/2022
USD
523,650
(17,095)
LME
Aluminum
Base
Metal
10
6/2022
USD
872,573
(38,457)
LME
Aluminum
Base
Metal
17
6/2022
USD
1,482,022
(167,741)
LME
Aluminum
Base
Metal
17
6/2022
USD
1,481,121
29,696
LME
Aluminum
Base
Metal
20
6/2022
USD
1,745,470
49,628
LME
Aluminum
Base
Metal
24
6/2022
USD
2,091,966
(134,242)
LME
Aluminum
Base
Metal
28
6/2022
USD
2,442,104
58,871
LME
Aluminum
Base
Metal
65
6/2022
USD
5,667,366
(203,951)
LME
Aluminum
Base
Metal
225
6/2022
USD
19,639,688
540,738
LME
Copper
Base
Metal
1
6/2022
USD
259,433
10,173
LME
Copper
Base
Metal
1
6/2022
USD
259,413
6,863
LME
Copper
Base
Metal
2
6/2022
USD
518,650
20,645
LME
Copper
Base
Metal
2
6/2022
USD
518,750
3,995
LME
Copper
Base
Metal
4
6/2022
USD
1,037,500
12,615
LME
Copper
Base
Metal
5
6/2022
USD
1,296,875
1,549
LME
Copper
Base
Metal
5
6/2022
USD
1,296,969
(48,794)
LME
Copper
Base
Metal
9
6/2022
USD
2,334,375
27,297
LME
Copper
Base
Metal
10
6/2022
USD
2,593,625
12,279
120
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
15
6/2022
USD
$
3,890,625
$
(854)
LME
Copper
Base
Metal
17
6/2022
USD
4,409,375
77,576
LME
Copper
Base
Metal
18
6/2022
USD
4,669,425
24,328
LME
Copper
Base
Metal
65
6/2022
USD
16,863,438
335,949
LME
Lead
Base
Metal
1
6/2022
USD
60,416
2,609
LME
Lead
Base
Metal
1
6/2022
USD
60,425
3,398
LME
Lead
Base
Metal
1
6/2022
USD
60,400
478
LME
Lead
Base
Metal
2
6/2022
USD
121,167
(89)
LME
Lead
Base
Metal
4
6/2022
USD
242,300
13,289
LME
Lead
Base
Metal
4
6/2022
USD
242,284
173
LME
Lead
Base
Metal
7
6/2022
USD
423,042
28,223
LME
Lead
Base
Metal
7
6/2022
USD
424,074
(13,794)
LME
Lead
Base
Metal
8
6/2022
USD
483,150
8,887
LME
Lead
Base
Metal
8
6/2022
USD
483,100
11,750
LME
Lead
Base
Metal
10
6/2022
USD
604,063
19,642
LME
Lead
Base
Metal
18
6/2022
USD
1,087,988
67,003
LME
Lead
Base
Metal
25
6/2022
USD
1,512,344
100,403
LME
Lead
Base
Metal
160
6/2022
USD
9,690,000
315,269
LME
Nickel
Base
Metal
1
6/2022
USD
192,516
44,963
LME
Nickel
Base
Metal
2
6/2022
USD
385,052
54,446
LME
Nickel
Base
Metal
3
6/2022
USD
577,926
(9,423)
LME
Nickel
Base
Metal
8
6/2022
USD
1,540,776
(246,494)
LME
Nickel
Base
Metal
15
6/2022
USD
2,888,955
(16,289)
LME
Nickel
Base
Metal
28
6/2022
USD
5,392,464
429,681
LME
Nickel
Base
Metal
52
6/2022
USD
10,011,456
(4,275,641)
LME
Nickel
Base
Metal
124
6/2022
USD
23,882,400
5,570,471
LME
Zinc
Base
Metal
1
6/2022
USD
104,600
9,347
LME
Zinc
Base
Metal
1
6/2022
USD
104,500
6,997
LME
Zinc
Base
Metal
2
6/2022
USD
208,675
6,119
LME
Zinc
Base
Metal
2
6/2022
USD
208,900
13,799
LME
Zinc
Base
Metal
2
6/2022
USD
208,675
3,219
LME
Zinc
Base
Metal
4
6/2022
USD
418,950
38,438
LME
Zinc
Base
Metal
4
6/2022
USD
418,200
37,738
LME
Zinc
Base
Metal
6
6/2022
USD
628,769
11,896
LME
Zinc
Base
Metal
6
6/2022
USD
626,400
19,014
LME
Zinc
Base
Metal
7
6/2022
USD
733,663
5,755
LME
Zinc
Base
Metal
7
6/2022
USD
733,863
81,885
LME
Zinc
Base
Metal
14
6/2022
USD
1,466,724
101,858
LME
Zinc
Base
Metal
15
6/2022
USD
1,565,625
35,283
LME
Zinc
Base
Metal
23
6/2022
USD
2,410,935
124,687
LME
Zinc
Base
Metal
79
6/2022
USD
8,272,288
496,898
Milk
9
6/2022
USD
440,460
8,857
S&P/TSX
60
Index
29
6/2022
CAD
6,110,611
1,678
SPI
200
Index
59
6/2022
AUD
8,254,890
198,264
Rapeseed
93
7/2022
EUR
4,045,805
78,305
Robusta
Coffee
104
7/2022
USD
2,238,080
24,628
White
Maize
124
7/2022
ZAR
3,317,981
140,431
White
Sugar
267
7/2022
USD
7,084,845
(13,817)
Yellow
Maize
133
7/2022
ZAR
3,699,880
200,362
WTI
Crude
Oil
84
8/2022
JPY
2,498,472
(14,797)
3
Month
SARON
21
12/2022
CHF
5,709,350
(1,628)
ECX
Emission
17
12/2022
EUR
1,438,302
(99,304)
French
Base
Electricity
1
12/2022
EUR
1,986,604
848,496
Italian
Base
Electricity
1
12/2022
EUR
1,886,401
500,398
Phelix
De
Base
Electricity
1
12/2022
EUR
1,785,811
675,298
3
Month
SARON
12
3/2023
CHF
3,249,337
(3,464)
121
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
3
Month
SARON
3
6/2023
CHF
$
809,615
$
(570)
19,794,474
Short
Contracts
CAC
40
10
Euro
Index
(5)
4/2022
EUR
(368,243)
(6,072)
IBEX
35
Index
(12)
4/2022
EUR
(1,117,211)
7,944
LME
Aluminum
Base
Metal
(5)
4/2022
USD
(435,733)
(48,247)
LME
Aluminum
Base
Metal
(8)
4/2022
USD
(696,222)
(103,246)
LME
Aluminum
Base
Metal
(9)
4/2022
USD
(783,464)
(115,578)
LME
Aluminum
Base
Metal
(10)
4/2022
USD
(870,278)
(147,802)
LME
Aluminum
Base
Metal
(11)
4/2022
USD
(958,524)
(104,450)
LME
Aluminum
Base
Metal
(11)
4/2022
USD
(957,352)
(149,759)
LME
Aluminum
Base
Metal
(15)
4/2022
USD
(1,307,509)
(154,991)
LME
Aluminum
Base
Metal
(16)
4/2022
USD
(1,394,088)
(165,764)
LME
Aluminum
Base
Metal
(17)
4/2022
USD
(1,481,669)
(158,350)
LME
Aluminum
Base
Metal
(17)
4/2022
USD
(1,479,765)
(219,690)
LME
Aluminum
Base
Metal
(26)
4/2022
USD
(2,264,178)
(323,991)
LME
Aluminum
Base
Metal
(30)
4/2022
USD
(2,612,948)
(294,786)
LME
Aluminum
Base
Metal
(46)
4/2022
USD
(4,006,152)
(498,764)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,288)
(10,750)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,252)
(18,229)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,550)
(20,805)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,560)
(21,916)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,492)
(33,760)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,376)
(36,105)
LME
Copper
Base
Metal
(3)
4/2022
USD
(777,796)
(30,072)
LME
Copper
Base
Metal
(3)
4/2022
USD
(777,713)
(61,185)
LME
Copper
Base
Metal
(4)
4/2022
USD
(1,036,829)
(76,936)
LME
Copper
Base
Metal
(5)
4/2022
USD
(1,295,988)
(104,549)
LME
Copper
Base
Metal
(6)
4/2022
USD
(1,555,875)
(65,042)
LME
Lead
Base
Metal
(3)
4/2022
USD
(181,781)
(4,780)
LME
Lead
Base
Metal
(4)
4/2022
USD
(242,191)
(7,402)
LME
Lead
Base
Metal
(5)
4/2022
USD
(302,750)
(6,256)
LME
Lead
Base
Metal
(5)
4/2022
USD
(303,024)
(10,696)
LME
Lead
Base
Metal
(7)
4/2022
USD
(423,850)
(11,001)
LME
Lead
Base
Metal
(9)
4/2022
USD
(545,738)
(36,523)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,666)
(56,649)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,670)
(57,373)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,654)
(67,636)
LME
Nickel
Base
Metal
(2)
4/2022
USD
(385,212)
(141,600)
LME
Nickel
Base
Metal
(2)
4/2022
USD
(385,327)
(114,770)
LME
Nickel
Base
Metal
(3)
4/2022
USD
(577,674)
(202,383)
LME
Nickel
Base
Metal
(5)
4/2022
USD
(963,450)
(257,205)
LME
Nickel
Base
Metal
(9)
4/2022
USD
(1,733,958)
(546,248)
LME
Nickel
Base
Metal
(9)
4/2022
USD
(1,734,210)
(438,364)
LME
Nickel
Base
Metal
(10)
4/2022
USD
(1,926,860)
(612,884)
LME
Nickel
Base
Metal
(13)
4/2022
USD
(2,504,797)
(747,614)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,291)
(17,011)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,310)
(16,987)
LME
Zinc
Base
Metal
(4)
4/2022
USD
(421,175)
(65,717)
LME
Zinc
Base
Metal
(5)
4/2022
USD
(527,781)
(85,160)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(631,725)
(85,007)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(632,850)
(100,151)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(634,875)
(104,943)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(631,275)
(90,244)
LME
Zinc
Base
Metal
(7)
4/2022
USD
(737,188)
(123,259)
LME
Zinc
Base
Metal
(8)
4/2022
USD
(841,428)
(117,995)
122
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(9)
4/2022
USD
$
(947,138)
$
(139,555)
LME
Zinc
Base
Metal
(11)
4/2022
USD
(1,157,063)
(157,860)
LME
Zinc
Base
Metal
(11)
4/2022
USD
(1,156,867)
(160,472)
LME
Zinc
Base
Metal
(13)
4/2022
USD
(1,369,063)
(187,283)
MSCI
Singapore
Index
(133)
4/2022
SGD
(3,285,871)
(49,454)
OMXS30
Index
(123)
4/2022
SEK
(2,727,548)
44,114
SGX
FTSE
China
A50
Index
(296)
4/2022
USD
(4,069,704)
(107,243)
SGX
FTSE
Taiwan
Index
(95)
4/2022
USD
(5,867,200)
(31,159)
SGX
NIFTY
50
Index
(2)
4/2022
USD
(70,146)
(636)
Sugar
No.
11
(115)
4/2022
USD
(2,510,312)
(34,581)
Coffee
'C'
(4)
5/2022
USD
(339,600)
(15,751)
Feeder
Cattle
(64)
5/2022
USD
(5,329,600)
(53,724)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,281)
(14,476)
LME
Aluminum
Base
Metal
(4)
5/2022
USD
(348,636)
(22,505)
LME
Aluminum
Base
Metal
(7)
5/2022
USD
(610,223)
(73,362)
LME
Aluminum
Base
Metal
(10)
5/2022
USD
(870,813)
(53,521)
LME
Aluminum
Base
Metal
(13)
5/2022
USD
(1,132,186)
(103,434)
LME
Aluminum
Base
Metal
(15)
5/2022
USD
(1,306,073)
(112,992)
LME
Aluminum
Base
Metal
(18)
5/2022
USD
(1,567,814)
(68,467)
LME
Aluminum
Base
Metal
(20)
5/2022
USD
(1,741,680)
(28,460)
LME
Aluminum
Base
Metal
(20)
5/2022
USD
(1,743,555)
(107,709)
LME
Aluminum
Base
Metal
(23)
5/2022
USD
(2,003,438)
(214,287)
LME
Aluminum
Base
Metal
(25)
5/2022
USD
(2,180,225)
(287,247)
LME
Aluminum
Base
Metal
(30)
5/2022
USD
(2,613,323)
(219,098)
LME
Aluminum
Base
Metal
(34)
5/2022
USD
(2,961,706)
(172,106)
LME
Aluminum
Base
Metal
(34)
5/2022
USD
(2,961,706)
(51,234)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,356)
(11,029)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,308)
(12,361)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,288)
(10,954)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,298)
(11,524)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,363)
(9,669)
LME
Copper
Base
Metal
(3)
5/2022
USD
(777,947)
(40,963)
LME
Copper
Base
Metal
(4)
5/2022
USD
(1,037,050)
(43,787)
LME
Copper
Base
Metal
(4)
5/2022
USD
(1,037,181)
(39,192)
LME
Copper
Base
Metal
(5)
5/2022
USD
(1,296,500)
(71,066)
LME
Copper
Base
Metal
(5)
5/2022
USD
(1,296,563)
(78,317)
LME
Copper
Base
Metal
(6)
5/2022
USD
(1,555,712)
(29,552)
LME
Copper
Base
Metal
(6)
5/2022
USD
(1,556,076)
(55,905)
LME
Lead
Base
Metal
(3)
5/2022
USD
(181,760)
(10,767)
LME
Lead
Base
Metal
(4)
5/2022
USD
(241,900)
(5,761)
LME
Lead
Base
Metal
(7)
5/2022
USD
(423,901)
(16,169)
LME
Lead
Base
Metal
(8)
5/2022
USD
(483,868)
(3,648)
LME
Lead
Base
Metal
(9)
5/2022
USD
(545,672)
(42,051)
LME
Lead
Base
Metal
(12)
5/2022
USD
(726,600)
(21,332)
LME
Lead
Base
Metal
(12)
5/2022
USD
(726,864)
(43,196)
LME
Lead
Base
Metal
(19)
5/2022
USD
(1,149,381)
(32,944)
LME
Lead
Base
Metal
(28)
5/2022
USD
(1,695,806)
(73,130)
LME
Nickel
Base
Metal
(2)
5/2022
USD
(385,207)
(106,186)
LME
Nickel
Base
Metal
(2)
5/2022
USD
(385,220)
(103,634)
LME
Nickel
Base
Metal
(7)
5/2022
USD
(1,348,363)
(370,089)
LME
Nickel
Base
Metal
(15)
5/2022
USD
(2,889,650)
(846,111)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,179)
(30,292)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(209,847)
(30,459)
LME
Zinc
Base
Metal
(4)
5/2022
USD
(420,607)
(58,639)
LME
Zinc
Base
Metal
(11)
5/2022
USD
(1,153,999)
(155,230)
LME
Zinc
Base
Metal
(16)
5/2022
USD
(1,681,284)
(243,350)
123
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(17)
5/2022
USD
$
(1,787,278)
$
(249,096)
LME
Zinc
Base
Metal
(28)
5/2022
USD
(2,944,501)
(420,959)
Wheat
(27)
5/2022
USD
(1,358,100)
(41,264)
Australia
10
Year
Bond
(410)
6/2022
AUD
(38,992,136)
1,346,053
Australia
3
Year
Bond
(1,354)
6/2022
AUD
(111,276,954)
1,663,720
Canada
10
Year
Bond
(569)
6/2022
CAD
(59,346,406)
2,198,478
DAX
Index
(6)
6/2022
EUR
(2,394,976)
(29,248)
DJIA
CBOT
E-Mini
Index
(34)
6/2022
USD
(5,885,060)
(275,156)
EURO
STOXX
50
Index
(12)
6/2022
EUR
(507,503)
3,823
Euro-
Bobl
(372)
6/2022
EUR
(53,057,918)
1,169,120
Euro-BTP
(242)
6/2022
EUR
(37,083,536)
1,431,110
Euro-Bund
(158)
6/2022
EUR
(27,731,785)
600,257
Euro-
Buxl
(47)
6/2022
EUR
(9,656,279)
294,336
Euro-OAT
(174)
6/2022
EUR
(29,144,532)
1,407,044
Euro-Schatz
(1,057)
6/2022
EUR
(129,529,900)
560,193
FTSE
100
Index
(42)
6/2022
GBP
(4,130,273)
(211,640)
FTSE/MIB
Index
(22)
6/2022
EUR
(2,969,905)
(156,038)
Japan
10
Year
Bond
(96)
6/2022
JPY
(118,213,898)
299,320
KOSPI
200
Index
(144)
6/2022
KRW
(10,861,928)
(433,209)
Lean
Hogs
(18)
6/2022
USD
(868,500)
(9,780)
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,275)
449
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,750)
3,279
LME
Aluminum
Base
Metal
(5)
6/2022
USD
(436,250)
(8,515)
LME
Aluminum
Base
Metal
(6)
6/2022
USD
(523,650)
5,814
LME
Aluminum
Base
Metal
(10)
6/2022
USD
(872,573)
36,292
LME
Aluminum
Base
Metal
(17)
6/2022
USD
(1,481,121)
(17,211)
LME
Aluminum
Base
Metal
(17)
6/2022
USD
(1,482,022)
226,428
LME
Aluminum
Base
Metal
(20)
6/2022
USD
(1,745,470)
(45,529)
LME
Aluminum
Base
Metal
(24)
6/2022
USD
(2,091,966)
122,001
LME
Aluminum
Base
Metal
(28)
6/2022
USD
(2,442,104)
3,590
LME
Aluminum
Base
Metal
(65)
6/2022
USD
(5,667,366)
86,802
LME
Aluminum
Base
Metal
(193)
6/2022
USD
(16,846,488)
(4,544)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,433)
(9,760)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,413)
(7,665)
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,750)
(4,625)
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,650)
(19,781)
LME
Copper
Base
Metal
(4)
6/2022
USD
(1,037,500)
(12,811)
LME
Copper
Base
Metal
(5)
6/2022
USD
(1,296,875)
(2,524)
LME
Copper
Base
Metal
(5)
6/2022
USD
(1,296,969)
40,272
LME
Copper
Base
Metal
(9)
6/2022
USD
(2,334,375)
(23,108)
LME
Copper
Base
Metal
(10)
6/2022
USD
(2,593,625)
(12,433)
LME
Copper
Base
Metal
(15)
6/2022
USD
(3,890,625)
(3,665)
LME
Copper
Base
Metal
(17)
6/2022
USD
(4,409,375)
(78,670)
LME
Copper
Base
Metal
(18)
6/2022
USD
(4,669,425)
(45,906)
LME
Copper
Base
Metal
(52)
6/2022
USD
(13,490,750)
(129,835)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,400)
(590)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,425)
(3,953)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,416)
(2,843)
LME
Lead
Base
Metal
(2)
6/2022
USD
(121,167)
(1,782)
LME
Lead
Base
Metal
(4)
6/2022
USD
(242,284)
(592)
LME
Lead
Base
Metal
(4)
6/2022
USD
(242,300)
(15,082)
LME
Lead
Base
Metal
(7)
6/2022
USD
(424,074)
16,839
LME
Lead
Base
Metal
(7)
6/2022
USD
(423,042)
(27,752)
LME
Lead
Base
Metal
(8)
6/2022
USD
(483,150)
(8,771)
LME
Lead
Base
Metal
(8)
6/2022
USD
(483,100)
(12,121)
LME
Lead
Base
Metal
(10)
6/2022
USD
(604,063)
(20,326)
124
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(18)
6/2022
USD
$
(1,087,988)
$
(67,867)
LME
Lead
Base
Metal
(25)
6/2022
USD
(1,512,344)
(99,998)
LME
Lead
Base
Metal
(75)
6/2022
USD
(4,542,188)
(213,987)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,516)
(45,279)
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,052)
(40,646)
LME
Nickel
Base
Metal
(3)
6/2022
USD
(577,926)
9,979
LME
Nickel
Base
Metal
(8)
6/2022
USD
(1,540,776)
239,709
LME
Nickel
Base
Metal
(15)
6/2022
USD
(2,888,955)
(83,513)
LME
Nickel
Base
Metal
(28)
6/2022
USD
(5,392,464)
(579,048)
LME
Nickel
Base
Metal
(52)
6/2022
USD
(10,011,456)
4,341,318
LME
Nickel
Base
Metal
(108)
6/2022
USD
(20,800,800)
4,006,876
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,600)
(9,206)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,500)
(7,509)
LME
Zinc
Base
Metal
(2)
6/2022
USD
(208,900)
(14,856)
LME
Zinc
Base
Metal
(2)
6/2022
USD
(208,675)
(5,483)
LME
Zinc
Base
Metal
(2)
6/2022
USD
(208,675)
(3,574)
LME
Zinc
Base
Metal
(4)
6/2022
USD
(418,200)
(35,802)
LME
Zinc
Base
Metal
(4)
6/2022
USD
(418,950)
(39,248)
LME
Zinc
Base
Metal
(6)
6/2022
USD
(628,769)
(6,236)
LME
Zinc
Base
Metal
(6)
6/2022
USD
(626,400)
(32,418)
LME
Zinc
Base
Metal
(7)
6/2022
USD
(733,863)
(85,071)
LME
Zinc
Base
Metal
(7)
6/2022
USD
(733,663)
616
LME
Zinc
Base
Metal
(14)
6/2022
USD
(1,466,724)
(94,670)
LME
Zinc
Base
Metal
(15)
6/2022
USD
(1,565,625)
(36,382)
LME
Zinc
Base
Metal
(23)
6/2022
USD
(2,410,935)
(118,478)
LME
Zinc
Base
Metal
(42)
6/2022
USD
(4,397,925)
(392,800)
Long
Gilt
(234)
6/2022
GBP
(37,329,939)
258,081
MSCI
EAFE
E-Mini
Index
(73)
6/2022
USD
(7,827,060)
(426,518)
MSCI
Emerging
Markets
E-Mini
Index
(188)
6/2022
USD
(10,579,700)
(765,508)
NASDAQ
100
E-Mini
Index
(12)
6/2022
USD
(3,568,500)
(301,239)
Nikkei
225
Index
(38)
6/2022
JPY
(8,686,874)
(771,591)
Palladium
(1)
6/2022
USD
(225,560)
(8,333)
Russell
2000
E-Mini
Index
(83)
6/2022
USD
(8,575,560)
(254,500)
S&P
500
E-Mini
Index
(33)
6/2022
USD
(7,475,738)
(352,539)
S&P
Midcap
400
E-Mini
Index
(20)
6/2022
USD
(5,378,400)
(127,287)
TOPIX
Index
(33)
6/2022
JPY
(5,276,368)
(503,707)
U.S.
Treasury
10
Year
Note
(474)
6/2022
USD
(58,183,500)
1,515,531
U.S.
Treasury
2
Year
Note
(1,179)
6/2022
USD
(249,690,094)
3,208,271
U.S.
Treasury
5
Year
Note
(729)
6/2022
USD
(83,493,281)
2,022,795
U.S.
Treasury
Long
Bond
(172)
6/2022
USD
(25,837,625)
439,237
U.S.
Treasury
Ultra
Bond
(139)
6/2022
USD
(24,611,688)
719,660
Cocoa
(36)
7/2022
GBP
(849,354)
(3,124)
Cocoa
(215)
7/2022
USD
(5,777,050)
(49,068)
Platinum
(29)
7/2022
USD
(1,443,910)
32,091
Rubber
(29)
8/2022
JPY
(306,699)
(8,154)
3
Month
Canadian
Bankers
Acceptance
(306)
9/2022
CAD
(59,641,423)
404,702
3
Month
Euro
Euribor
(255)
9/2022
EUR
(70,586,909)
64,731
ASX
90
Day
Bank
Accepted
Bill
(176)
9/2022
AUD
(131,225,153)
129,471
3
Month
Canadian
Bankers
Acceptance
(141)
12/2022
CAD
(27,373,275)
202,702
3
Month
Euro
Euribor
(70)
12/2022
EUR
(19,307,105)
27,215
3
Month
Euro
Euribor
(166)
12/2022
EUR
(45,785,420)
350,573
3
Month
SOFR
(310)
12/2022
USD
(75,950,000)
411,038
3
Month
SONIA
(131)
12/2022
GBP
(42,213,223)
199,613
ASX
90
Day
Bank
Accepted
Bill
(120)
12/2022
AUD
(89,346,575)
123,370
3
Month
Euro
Euribor
(15)
3/2023
EUR
(4,119,606)
9,376
3
Month
Euro
Euribor
(184)
3/2023
EUR
(50,533,832)
594,121
125
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SOFR
(325)
3/2023
USD
$
(79,283,750)
$
568,853
3
Month
SONIA
(121)
3/2023
GBP
(38,893,482)
297,422
3
Month
Euro
Euribor
(165)
6/2023
EUR
(45,165,076)
674,434
3
Month
SOFR
(304)
6/2023
USD
(73,906,200)
642,852
3
Month
SONIA
(106)
6/2023
GBP
(34,004,093)
291,644
3
Month
Euro
Euribor
(160)
9/2023
EUR
(43,707,938)
735,795
3
Month
SOFR
(309)
9/2023
USD
(75,009,750)
662,409
3
Month
SONIA
(214)
9/2023
GBP
(68,575,978)
671,201
3
Month
Euro
Euribor
(188)
12/2023
EUR
(51,325,630)
571,487
3
Month
SOFR
(351)
12/2023
USD
(85,209,638)
716,023
3
Month
SONIA
(3)
12/2023
GBP
(961,345)
13,270
3
Month
SONIA
(268)
12/2023
GBP
(85,880,197)
844,049
3
Month
Euro
Euribor
(244)
3/2024
EUR
(66,603,994)
538,777
3
Month
SOFR
(390)
3/2024
USD
(94,760,250)
710,002
3
Month
SONIA
(32)
3/2024
GBP
(10,261,183)
135,157
3
Month
SONIA
(190)
3/2024
GBP
(60,925,773)
522,415
3
Month
SOFR
(389)
6/2024
USD
(94,619,388)
839,237
3
Month
SONIA
(173)
6/2024
GBP
(55,548,380)
392,188
20,604,526
$
40,399,000
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
65,556,000
USD
48,398,945
CITI
6/15/2022
$
718,652
AUD
65,556,000
USD
48,399,005
JPMC
6/15/2022
718,592
BRL
19,696,500
USD
3,901,367
CITI
**
6/15/2022
149,086
BRL
19,696,500
USD
3,901,372
JPMC
**
6/15/2022
149,081
CAD
108,449,481
USD
85,328,306
CITI
6/15/2022
1,404,871
CAD
108,449,478
USD
85,328,410
JPMC
6/15/2022
1,404,764
CHF
272,500
USD
292,680
CITI
6/15/2022
3,152
CHF
272,500
USD
292,680
JPMC
6/15/2022
3,151
CLP
4,310,243,006
USD
5,268,304
CITI
**
6/15/2022
141,521
CLP
4,310,242,994
USD
5,268,311
JPMC
**
6/15/2022
141,514
COP
4,811,105,691
USD
1,230,432
CITI
**
6/15/2022
31,574
COP
4,811,105,685
USD
1,230,433
JPMC
**
6/15/2022
31,572
EUR
58,123,000
USD
64,170,062
CITI
6/15/2022
310,629
EUR
58,123,000
USD
64,170,142
JPMC
6/15/2022
310,549
IDR
11,250,337,500
USD
781,548
CITI
**
6/15/2022
902
IDR
11,250,337,500
USD
781,549
JPMC
**
6/15/2022
901
ILS
1,722,503
USD
534,326
CITI
6/15/2022
6,668
ILS
1,722,497
USD
534,325
JPMC
6/15/2022
6,668
INR
1,565,746,500
USD
20,253,854
CITI
**
6/15/2022
169,942
INR
1,565,746,500
USD
20,253,879
JPMC
**
6/15/2022
169,916
JPY
4,374,408,000
USD
35,861,686
CITI
6/15/2022
140,855
JPY
4,374,408,000
USD
35,861,731
JPMC
6/15/2022
140,810
KRW
19,646,767,000
USD
16,078,312
CITI
**
6/15/2022
83,060
KRW
19,646,767,000
USD
16,078,332
JPMC
**
6/15/2022
83,040
MXN
668,260,624
USD
32,182,090
CITI
6/15/2022
974,215
MXN
668,260,624
USD
32,182,131
JPMC
6/15/2022
974,175
NOK
428,840,502
USD
48,028,799
CITI
6/15/2022
658,430
126
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
NOK
428,840,502
USD
48,028,859
JPMC
6/15/2022
$
658,370
NZD
83,842,000
USD
57,054,687
CITI
6/15/2022
978,364
NZD
83,842,000
USD
57,054,758
JPMC
6/15/2022
978,293
PHP
135,133,500
USD
2,552,915
CITI
**
6/15/2022
42,207
PHP
135,133,500
USD
2,552,918
JPMC
**
6/15/2022
42,204
PLN
132,768,698
USD
30,285,605
CITI
6/15/2022
1,082,533
PLN
132,768,693
USD
30,285,642
JPMC
6/15/2022
1,082,494
SEK
273,449,565
USD
28,728,903
CITI
6/15/2022
408,640
SEK
273,449,560
USD
28,728,938
JPMC
6/15/2022
408,603
SGD
15,839,500
USD
11,650,166
CITI
6/15/2022
36,328
SGD
15,839,500
USD
11,650,181
JPMC
6/15/2022
36,314
TWD
46,933,500
USD
1,638,746
CITI
**
6/15/2022
5,708
TWD
46,933,500
USD
1,638,748
JPMC
**
6/15/2022
5,706
USD
5,547,341
CAD
6,921,000
CITI
6/15/2022
12,227
USD
5,547,334
CAD
6,921,000
JPMC
6/15/2022
12,220
USD
215,320,213
EUR
190,395,963
CITI
6/15/2022
4,098,093
USD
215,319,933
EUR
190,395,953
JPMC
6/15/2022
4,097,823
USD
52,710,901
GBP
39,841,000
CITI
6/15/2022
388,832
USD
52,710,836
GBP
39,841,000
JPMC
6/15/2022
388,766
USD
487,985
HUF
162,754,000
CITI
6/15/2022
2,952
USD
487,985
HUF
162,754,000
JPMC
6/15/2022
2,952
USD
32,254,236
INR
2,458,016,927
CITI
**
6/15/2022
191,551
USD
32,254,196
INR
2,458,016,925
JPMC
**
6/15/2022
191,511
USD
330,507,238
JPY
38,216,306,724
CITI
6/15/2022
15,976,868
USD
330,506,825
JPY
38,216,306,716
JPMC
6/15/2022
15,976,455
USD
35,104,883
KRW
42,131,352,583
CITI
**
6/15/2022
447,758
USD
35,104,839
KRW
42,131,352,577
JPMC
**
6/15/2022
447,715
USD
674,184
NOK
5,920,500
CITI
6/15/2022
2,016
USD
674,183
NOK
5,920,500
JPMC
6/15/2022
2,015
USD
14,701,280
PHP
761,483,273
CITI
**
6/15/2022
77,650
USD
14,701,262
PHP
761,483,268
JPMC
**
6/15/2022
77,632
USD
1,955,170
PLN
8,117,000
CITI
6/15/2022
37,435
USD
1,955,168
PLN
8,117,000
JPMC
6/15/2022
37,433
USD
17,587,607
SEK
163,252,500
CITI
6/15/2022
192,163
USD
17,587,585
SEK
163,252,500
JPMC
6/15/2022
192,141
USD
5,062,293
SGD
6,850,500
CITI
6/15/2022
7,946
USD
5,062,286
SGD
6,850,500
JPMC
6/15/2022
7,939
USD
27,076,413
TWD
752,786,526
CITI
**
6/15/2022
700,309
USD
27,076,379
TWD
752,786,523
JPMC
**
6/15/2022
700,275
ZAR
679,483,554
USD
43,977,069
CITI
6/15/2022
2,087,041
ZAR
679,483,550
USD
43,977,124
JPMC
6/15/2022
2,086,986
Total
unrealized
appreciation
63,138,758
AUD
13,265,000
USD
9,974,926
CITI
6/15/2022
(36,173)
AUD
13,265,000
USD
9,974,939
JPMC
6/15/2022
(36,185)
CHF
6,297,500
USD
6,868,201
CITI
6/15/2022
(31,501)
CHF
6,297,500
USD
6,868,210
JPMC
6/15/2022
(31,509)
COP
2,736,337,000
USD
719,611
CITI
**
6/15/2022
(1,840)
COP
2,736,337,000
USD
719,612
JPMC
**
6/15/2022
(1,840)
EUR
63,379,000
USD
71,200,566
CITI
6/15/2022
(888,955)
EUR
63,379,000
USD
71,200,655
JPMC
6/15/2022
(889,045)
GBP
59,708,992
USD
80,079,691
CITI
6/15/2022
(1,665,543)
GBP
59,708,992
USD
80,079,791
JPMC
6/15/2022
(1,665,643)
HUF
12,365,385,642
USD
37,958,343
CITI
6/15/2022
(1,107,540)
HUF
12,365,385,640
USD
37,958,390
JPMC
6/15/2022
(1,107,587)
INR
217,920,000
USD
2,856,105
CITI
**
6/15/2022
(13,529)
INR
217,920,000
USD
2,856,109
JPMC
**
6/15/2022
(13,532)
JPY
11,241,347,500
USD
97,974,111
CITI
6/15/2022
(5,454,831)
JPY
11,241,347,500
USD
97,974,234
JPMC
6/15/2022
(5,454,953)
127
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
KRW
4,908,284,500
USD
4,060,833
CITI
**
6/15/2022
$
(23,293)
KRW
4,908,284,500
USD
4,060,838
JPMC
**
6/15/2022
(23,298)
PLN
212,853,317
USD
52,085,038
CITI
6/15/2022
(1,795,985)
PLN
212,853,308
USD
52,085,101
JPMC
6/15/2022
(1,796,049)
SEK
136,316,062
USD
14,612,178
CITI
6/15/2022
(86,958)
SEK
136,316,062
USD
14,612,196
JPMC
6/15/2022
(86,976)
SGD
12,394,000
USD
9,194,464
CITI
6/15/2022
(50,084)
SGD
12,394,000
USD
9,194,476
JPMC
6/15/2022
(50,096)
TWD
283,527,000
USD
9,987,683
CITI
**
6/15/2022
(53,475)
TWD
283,527,000
USD
9,987,696
JPMC
**
6/15/2022
(53,487)
USD
30,944,892
AUD
42,717,956
CITI
6/15/2022
(1,061,383)
USD
30,944,853
AUD
42,717,956
JPMC
6/15/2022
(1,061,421)
USD
7,778,734
BRL
40,835,999
CITI
**
6/15/2022
(618,914)
USD
7,778,723
BRL
40,835,993
JPMC
**
6/15/2022
(618,924)
USD
23,221,021
CAD
29,373,000
CITI
6/15/2022
(270,227)
USD
23,220,992
CAD
29,373,000
JPMC
6/15/2022
(270,256)
USD
3,625,410
CLP
2,948,696,334
CITI
**
6/15/2022
(75,525)
USD
3,625,406
CLP
2,948,696,322
JPMC
**
6/15/2022
(75,529)
USD
71,968,951
EUR
65,839,000
CITI
6/15/2022
(1,071,744)
USD
71,968,861
EUR
65,839,000
JPMC
6/15/2022
(1,071,833)
USD
3,800,002
GBP
2,903,500
CITI
6/15/2022
(13,083)
USD
3,799,998
GBP
2,903,500
JPMC
6/15/2022
(13,088)
USD
29,129,130
HUF
10,528,121,500
CITI
6/15/2022
(2,246,335)
USD
29,129,094
HUF
10,528,121,500
JPMC
6/15/2022
(2,246,372)
USD
921,436
IDR
13,284,815,644
CITI
**
6/15/2022
(2,510)
USD
921,435
IDR
13,284,815,644
JPMC
**
6/15/2022
(2,511)
USD
7,924,216
ILS
25,923,002
CITI
6/15/2022
(217,536)
USD
7,924,205
ILS
25,922,998
JPMC
6/15/2022
(217,546)
USD
24,465,010
INR
1,876,466,927
CITI
**
6/15/2022
(11,863)
USD
24,464,979
INR
1,876,466,925
JPMC
**
6/15/2022
(11,894)
USD
7,164,541
KRW
8,845,215,500
CITI
**
6/15/2022
(111,507)
USD
7,164,532
KRW
8,845,215,500
JPMC
**
6/15/2022
(111,516)
USD
16,856,128
MXN
356,107,000
CITI
6/15/2022
(812,417)
USD
16,856,107
MXN
356,107,000
JPMC
6/15/2022
(812,438)
USD
50,946,206
NZD
76,137,531
CITI
6/15/2022
(1,754,030)
USD
50,946,143
NZD
76,137,531
JPMC
6/15/2022
(1,754,094)
USD
2,079,383
PHP
108,783,326
CITI
**
6/15/2022
(9,707)
USD
2,079,380
PHP
108,783,325
JPMC
**
6/15/2022
(9,710)
USD
73,319,050
PLN
330,765,000
CITI
6/15/2022
(4,827,998)
USD
73,318,959
PLN
330,765,000
JPMC
6/15/2022
(4,828,091)
USD
21,438,793
SEK
211,864,502
CITI
6/15/2022
(1,136,526)
USD
21,438,765
SEK
211,864,498
JPMC
6/15/2022
(1,136,552)
USD
17,631,106
SGD
24,026,000
CITI
6/15/2022
(95,445)
USD
17,631,084
SGD
24,026,000
JPMC
6/15/2022
(95,467)
USD
1,697,595
ZAR
25,542,500
CITI
6/15/2022
(34,003)
USD
1,697,593
ZAR
25,542,500
JPMC
6/15/2022
(34,005)
Total
unrealized
depreciation
(51,161,907)
Net
unrealized
appreciation
$
11,976,851
**
Non-deliverable
forward.
128
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.30%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
03/25/2024
$6,342,503
$(7,239)
$210,470
$203,231
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.55%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
03/18/2024
$3,874,691
$55,194
$60,010
$115,204
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.30%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/24/2026
-
03/26/2027
$133,969,375
$(645,076)
$218,539
$(426,537)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Asics
Corp.
53,700
1,036,240
135,288
(31.7)
Disco
Corp.
2,800
782,985
104,341
(24.5)
Hoya
Corp.
6,900
786,309
25,642
(6.0)
Inpex
Corp.
113,600
1,335,634
103,307
(24.2)
Japan
Post
Insurance
Co.
Ltd.
56,700
987,440
84,575
(19.8)
Japan
Tobacco,
Inc.
76,000
1,297,896
27,420
(6.4)
Kyushu
Electric
Power
Co.,
Inc.
153,600
1,028,415
(20,010)
4.7
129
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
MISUMI
Group,
Inc.
37,600
1,119,383
65,969
(15.5)
Mitsubishi
Electric
Corp.
109,900
1,260,427
113,931
(26.7)
Nabtesco
Corp.
38,900
1,027,059
104,752
(24.6)
Nagoya
Railroad
Co.
Ltd.
63,300
1,120,125
81,644
(19.1)
Olympus
Corp.
42,300
801,695
71,969
(16.9)
Recruit
Holdings
Co.
Ltd.
38,300
1,664,022
113,194
(26.5)
Shimadzu
Corp.
24,000
825,468
67,056
(15.7)
Shimamura
Co.
Ltd.
8,800
782,134
46,562
(10.9)
Sumitomo
Corp.
51,900
898,838
94,873
(22.2)
Takeda
Pharmaceutical
Co.
Ltd.
28,500
812,028
43,882
(10.3)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
239,800
791,577
132,035
(31.0)
Yamada
Holdings
Co.
Ltd.
242,300
753,283
10,840
(2.5)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(50,300)
(1,072,522)
(348)
0.1
Astellas
Pharma,
Inc.
(48,200)
(753,120)
(42,600)
10.0
Bridgestone
Corp.
(23,400)
(908,289)
(80,148)
18.8
Central
Japan
Railway
Co.
(10,200)
(1,330,013)
(98,761)
23.2
Concordia
Financial
Group
Ltd.
(250,600)
(932,647)
(46,335)
10.9
Daiwa
Securities
Group,
Inc.
(154,100)
(871,699)
(43,478)
10.2
Denso
Corp.
(12,200)
(778,361)
(116,032)
27.2
East
Japan
Railway
Co.
(26,100)
(1,510,603)
(148,973)
34.9
Honda
Motor
Co.
Ltd.
(44,500)
(1,261,390)
(98,398)
23.1
Isuzu
Motors
Ltd.
(73,100)
(944,307)
(38,188)
9.0
ITOCHU
Corp.
(24,300)
(821,971)
(64,435)
15.1
Japan
Airlines
Co.
Ltd.
(47,100)
(878,100)
(159,003)
37.3
KDDI
Corp.
(31,200)
(1,022,943)
1,623
(0.4)
Kobe
Bussan
Co.
Ltd.
(29,200)
(898,622)
8,975
(2.1)
Lasertec
Corp.
(12,400)
(2,062,915)
(294,391)
69.0
M3,
Inc.
(22,200)
(801,775)
(30,415)
7.1
Mitsubishi
Corp.
(22,800)
(855,610)
(104,709)
24.5
MonotaRO
Co.
Ltd.
(47,500)
(1,019,461)
(102,870)
24.1
Nidec
Corp.
(12,000)
(947,797)
(86,407)
20.3
Nippon
Paint
Holdings
Co.
Ltd.
(111,100)
(973,385)
(122,571)
28.7
Nitori
Holdings
Co.
Ltd.
(6,900)
(868,108)
49,460
(11.6)
Oriental
Land
Co.
Ltd.
(13,600)
(2,603,113)
(245,639)
57.6
Rakuten
Group,
Inc.
(145,400)
(1,143,240)
(68,223)
16.0
Seven
&
i
Holdings
Co.
Ltd.
(55,100)
(2,627,014)
(150,656)
35.3
SMC
Corp.
(1,700)
(950,290)
(85,144)
20.0
SoftBank
Corp.
(105,900)
(1,235,124)
29,855
(7.0)
Sony
Group
Corp.
(9,900)
(1,018,470)
(133,089)
31.2
Tokyo
Electron
Ltd.
(2,900)
(1,489,327)
(262,232)
61.5
Toyota
Motor
Corp.
(122,200)
(2,204,244)
(290,960)
68.2
Yaskawa
Electric
Corp.
(25,900)
(1,009,451)
(103,401)
24.2
Z
Holdings
Corp.
(176,800)
(764,323)
(40,576)
9.5
130
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.33%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/26/2027
$654,378,011
$(2,460,745)
$(747,338)
$(3,208,083)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Abbott
Laboratories
17,298
2,047,391
(1,935)
0.1
Alphabet,
Inc.
602
1,674,373
33,336
(1.0)
Apple,
Inc.
9,882
1,725,496
82,135
(2.6)
Autodesk,
Inc.
8,758
1,877,277
96,910
(3.0)
Boeing
Co.
(The)
10,627
2,035,070
127,000
(4.0)
Coca-Cola
Co.
(The)
27,607
1,711,634
83,925
(2.6)
DuPont
de
Nemours,
Inc.
24,014
1,766,950
18,941
(0.6)
Emerson
Electric
Co.
17,092
1,675,871
62,557
(1.9)
Gartner,
Inc.
6,560
1,951,338
93,546
(2.9)
General
Dynamics
Corp.
7,194
1,735,049
31,438
(1.0)
Gilead
Sciences,
Inc.
28,350
1,685,408
28,713
(0.9)
Halliburton
Co.
47,864
1,812,610
145,028
(4.5)
International
Paper
Co.
39,026
1,801,050
155,323
(4.8)
IQVIA
Holdings,
Inc.
10,074
2,329,210
116,052
(3.6)
Johnson
&
Johnson
15,430
2,734,659
121,434
(3.8)
JPMorgan
Chase
&
Co.
18,490
2,520,557
37,096
(1.2)
KLA
Corp.
5,388
1,972,331
129,409
(4.0)
McDonald's
Corp.
11,446
2,830,367
169,500
(5.3)
Meta
Platforms,
Inc.
7,385
1,642,129
175,251
(5.5)
Microchip
Technology,
Inc.
23,376
1,756,473
80,726
(2.5)
Microsoft
Corp.
9,739
3,002,631
147,462
(4.6)
OGE
Energy
Corp.
39,067
1,593,152
77,743
(2.4)
Pfizer,
Inc.
63,114
3,267,412
147,863
(4.6)
SS&C
Technologies
Holdings,
Inc.
26,156
1,962,223
(7,933)
0.2
UnitedHealth
Group,
Inc.
5,209
2,656,434
65,599
(2.0)
Verizon
Communications,
Inc.
36,150
1,841,481
(65,019)
2.0
Short
Positions
Common
Stocks
United
States
American
Express
Co.
(13,672)
(2,556,664)
(165,594)
5.2
Amgen,
Inc.
(6,700)
(1,620,194)
(73,353)
2.3
Atmos
Energy
Corp.
(13,886)
(1,659,238)
(97,353)
3.0
Avangrid
,
Inc.
(35,554)
(1,661,794)
(55,464)
1.7
BorgWarner,
Inc.
(45,297)
(1,762,053)
(58,707)
1.8
CarMax,
Inc.
(16,576)
(1,599,252)
82,869
(2.6)
131
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Dollar
General
Corp.
(8,749)
(1,947,790)
(134,822)
4.2
Hewlett
Packard
Enterprise
Co.
(132,137)
(2,208,009)
(20,620)
0.6
Hormel
Foods
Corp.
(52,567)
(2,709,303)
(85,684)
2.7
Illinois
Tool
Works,
Inc.
(13,727)
(2,874,434)
(12,387)
0.4
Insulet
Corp.
(6,946)
(1,850,345)
(129,799)
4.0
Jazz
Pharmaceuticals
plc
(12,412)
(1,932,176)
(20,232)
0.6
M&T
Bank
Corp.
(11,851)
(2,008,744)
90,609
(2.8)
McCormick
&
Co.,
Inc.
(Non-Voting)
(17,226)
(1,719,155)
(28,871)
0.9
MillerKnoll
,
Inc.
(59,653)
(2,061,608)
29,289
(0.9)
Norwegian
Cruise
Line
Holdings
Ltd.
(76,465)
(1,673,054)
(320,118)
10.0
PepsiCo,
Inc.
(9,900)
(1,657,062)
(98,802)
3.1
Performance
Food
Group
Co.
(34,131)
(1,737,609)
(81,393)
2.5
Progressive
Corp.
(The)
(14,271)
(1,626,751)
(136,047)
4.2
Royal
Caribbean
Cruises
Ltd.
(19,153)
(1,604,638)
(301,085)
9.4
Stanley
Black
&
Decker,
Inc.
(12,606)
(1,762,193)
92,245
(2.9)
STERIS
plc
(9,642)
(2,331,146)
(130,254)
4.1
Sysco
Corp.
(23,191)
(1,893,545)
(48,078)
1.5
T-Mobile
US,
Inc.
(17,931)
(2,301,444)
(96,779)
3.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-0.30%
to
0.30%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
03/25/2024
$44,556,655
$(215,762)
$34,604
$(181,158)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
102,182
1,014,659
(6,025)
3.3
Ampol
Ltd.
43,343
984,659
14,633
(8.1)
Aristocrat
Leisure
Ltd.
41,309
1,121,209
(10,654)
5.9
Aurizon
Holdings
Ltd.
394,424
1,084,132
6,816
(3.8)
Australia
&
New
Zealand
Banking
Group
Ltd.
14,617
299,517
(2,476)
1.4
BHP
Group
Ltd.
25,241
972,977
33,034
(18.2)
BlueScope
Steel
Ltd.
73,911
1,149,323
(37,574)
20.7
Brambles
Ltd.
67,273
496,451
8,686
(4.8)
Coles
Group
Ltd.
68,906
920,960
(429)
0.2
Incitec
Pivot
Ltd.
336,036
951,224
(19,497)
10.8
JB
Hi-Fi
Ltd.
42,978
1,737,179
(24,381)
13.5
Medibank
Pvt
Ltd.
118,884
273,139
943
(0.5)
Mineral
Resources
Ltd.
18,602
733,296
55,624
(30.7)
Origin
Energy
Ltd.
147,236
685,343
(17,598)
9.7
QBE
Insurance
Group
Ltd.
58,148
498,637
2,648
(1.5)
132
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
REA
Group
Ltd.
4,233
424,356
(6,800)
3.8
Santos
Ltd.
45,125
261,626
(6,482)
3.6
Sonic
Healthcare
Ltd.
39,001
1,029,714
3,940
(2.2)
South32
Ltd.
372,461
1,415,829
(5,692)
3.1
Suncorp
Group
Ltd.
55,307
458,478
(3,388)
1.9
Telstra
Corp.
Ltd.
627,333
1,853,430
22,682
(12.5)
Woodside
Petroleum
Ltd.
15,431
370,829
(17,059)
9.4
Worley
Ltd.
43,381
419,077
2,569
(1.4)
United
States
James
Hardie
Industries
plc
18,669
560,035
(42,247)
23.3
Short
Positions
Common
Stocks
Australia
APA
Group
(171,965)
(1,366,751)
(33,748)
18.6
Atlas
Arteria
Ltd.
(121,567)
(591,652)
14,232
(7.9)
carsales.com
Ltd.
(31,076)
(481,097)
(4,440)
2.5
Cochlear
Ltd.
(9,443)
(1,576,613)
(1,920)
1.1
Commonwealth
Bank
of
Australia
(4,045)
(318,553)
2,045
(1.1)
Computershare
Ltd.
(26,696)
(490,648)
(5,458)
3.0
CSL
Ltd.
(6,928)
(1,383,123)
(10,418)
5.8
Evolution
Mining
Ltd.
(356,897)
(1,177,942)
34,582
(19.1)
IDP
Education
Ltd.
(46,600)
(1,090,631)
(19,925)
11.0
Insurance
Australia
Group
Ltd.
(128,702)
(421,214)
9,302
(5.1)
Lendlease
Corp.
Ltd.
(129,141)
(1,076,510)
(28,092)
15.5
National
Australia
Bank
Ltd.
(44,041)
(1,060,282)
(16,958)
9.4
Newcrest
Mining
Ltd.
(46,939)
(948,515)
(3,727)
2.1
NEXTDC
Ltd.
(113,390)
(976,865)
(38,650)
21.3
Northern
Star
Resources
Ltd.
(129,357)
(1,043,613)
(169)
0.1
Orica
Ltd.
(84,728)
(1,008,090)
(655)
0.4
Pro
Medicus
Ltd.
(20,786)
(753,010)
(35,803)
19.8
Qantas
Airways
Ltd.
(113,593)
(439,221)
(4,897)
2.7
Reece
Ltd.
(18,914)
(266,301)
6,670
(3.7)
SEEK
Ltd.
(41,167)
(906,603)
21,816
(12.0)
Seven
Group
Holdings
Ltd.
(47,543)
(750,662)
6,018
(3.3)
Transurban
Group
(114,096)
(1,152,821)
(25,873)
14.3
Wesfarmers
Ltd.
(20,113)
(754,732)
3,301
(1.8)
Westpac
Banking
Corp.
(53,422)
(965,153)
(15,814)
8.7
Woolworths
Group
Ltd.
(41,156)
(1,142,689)
(26,060)
14.4
New
Zealand
Xero
Ltd.
(6,751)
(511,643)
15,757
(8.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-2.24%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-25
months
maturity
ranging
from
11/25/2022
-
03/25/2024
$71,499,182
$(268,483)
$(356,824)
$(625,307)
133
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
53,777
720,095
(31,804)
5.1
Bank
of
Montreal
5,492
646,265
(8,973)
1.4
Canadian
Natural
Resources
Ltd.
25,735
1,593,526
(40,071)
6.4
Canadian
Tire
Corp.
Ltd.
4,447
671,452
8,379
(1.3)
CI
Financial
Corp.
45,432
721,737
(19,970)
3.2
Empire
Co.
Ltd.
31,738
1,125,675
30,713
(4.9)
Enbridge,
Inc.
19,190
883,402
(3,672)
0.6
Fairfax
Financial
Holdings
Ltd.
3,341
1,822,711
82,977
(13.3)
Finning
International,
Inc.
34,219
1,030,279
(12,312)
2.0
iA
Financial
Corp.,
Inc.
13,090
795,881
4,294
(0.7)
Imperial
Oil
Ltd.
31,273
1,513,432
39,821
(6.4)
Intact
Financial
Corp.
4,126
609,651
(725)
0.1
Loblaw
Cos.
Ltd.
10,089
905,319
21,854
(3.5)
Magna
International,
Inc.
12,675
813,739
10,600
(1.7)
National
Bank
of
Canada
21,866
1,676,134
(27,957)
4.5
Nutrien
Ltd.
6,501
671,967
(30,671)
4.9
Onex
Corp.
10,401
697,033
(2,641)
0.4
Pembina
Pipeline
Corp.
25,004
939,438
(8,764)
1.4
SNC-Lavalin
Group,
Inc.
27,690
666,695
5,082
(0.8)
Stantec
,
Inc.
17,177
861,632
(3,990)
0.6
Suncor
Energy,
Inc.
53,326
1,736,086
(72,789)
11.6
TFI
International,
Inc.
6,958
741,077
9,540
(1.5)
Thomson
Reuters
Corp.
7,785
845,225
23,028
(3.7)
Toromont
Industries
Ltd.
7,372
698,841
23,178
(3.7)
Toronto-Dominion
Bank
(The)
13,340
1,058,429
(27,965)
4.5
Tourmaline
Oil
Corp.
28,732
1,323,812
(3,652)
0.6
Whitecap
Resources,
Inc.
80,734
667,752
(32,261)
5.2
Chile
Lundin
Mining
Corp.
79,212
802,796
(19,007)
3.0
Short
Positions
Common
Stocks
Canada
Air
Canada
(74,017)
(1,435,758)
(26,610)
4.3
Algonquin
Power
&
Utilities
Corp.
(172,356)
(2,673,265)
(20,619)
3.3
Ballard
Power
Systems,
Inc.
(140,933)
(1,640,263)
13,589
(2.2)
Barrick
Gold
Corp.
(36,216)
(888,199)
(2,064)
0.3
BCE,
Inc.
(43,505)
(2,411,628)
(48,010)
7.7
CAE,
Inc.
(71,587)
(1,863,329)
(46,951)
7.5
Canadian
Imperial
Bank
of
Commerce
(13,812)
(1,676,576)
67,723
(10.8)
Canadian
Pacific
Railway
Ltd.
(24,512)
(2,023,076)
2,716
(0.4)
Canadian
Utilities
Ltd.
(36,583)
(1,121,354)
(26,350)
4.2
Emera
,
Inc.
(30,829)
(1,528,195)
(36,018)
5.8
Fortis,
Inc.
(19,282)
(953,650)
(23,144)
3.7
Keyera
Corp.
(24,460)
(620,036)
(17,647)
2.8
Kinaxis
,
Inc.
(4,967)
(650,082)
2,803
(0.4)
Lightspeed
Commerce,
Inc.
(20,854)
(636,054)
(32,518)
5.2
Northland
Power,
Inc.
(19,444)
(646,397)
(9,503)
1.5
Restaurant
Brands
International,
Inc.
(16,132)
(942,512)
(21,695)
3.5
Ritchie
Bros
Auctioneers,
Inc.
(12,481)
(737,189)
(4,068)
0.7
Rogers
Communications,
Inc.
(27,694)
(1,567,514)
(59,178)
9.5
134
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Royal
Bank
of
Canada
(11,487)
(1,264,705)
33,449
(5.3)
Shopify,
Inc.
(1,825)
(1,234,238)
1,931
(0.3)
SSR
Mining,
Inc.
(34,121)
(741,838)
7,844
(1.3)
TC
Energy
Corp.
(27,588)
(1,555,997)
41,084
(6.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.65%
to
0.30%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
03/25/2024
$33,326,674
$(332,718)
$356,062
$23,344
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
19,512
632,983
(38,022)
(162.9)
Adecco
Group
AG
(Registered)
13,514
613,016
(20,578)
(88.2)
Baloise
Holding
AG
(Registered)
3,696
660,093
11,616
49.8
Barry
Callebaut
AG
(Registered)
186
436,068
10,820
46.4
Belimo
Holding
AG
(Registered)
741
392,448
9,822
42.1
BKW
AG
4,305
539,211
8,012
34.3
Bucher
Industries
AG
(Registered)
928
375,106
(5,847)
(25.0)
Credit
Suisse
Group
AG
(Registered)
19,916
156,781
(6,125)
(26.2)
DKSH
Holding
AG
5,494
462,716
(3,557)
(15.2)
dormakaba
Holding
AG
342
175,418
1,590
6.8
Geberit
AG
(Registered)
1,785
1,100,375
16,640
71.3
Georg
Fischer
AG
(Registered)
219
261,676
(4,309)
(18.5)
Julius
Baer
Group
Ltd.
6,177
357,614
7,050
30.2
Kuehne
+
Nagel
International
AG
(Registered)
8,174
2,320,837
(94,536)
(405.0)
Lonza
Group
AG
(Registered)
2,091
1,515,147
33,510
143.5
Novartis
AG
(Registered)
11,373
998,453
4,991
21.4
OC
Oerlikon
Corp.
AG
(Registered)
14,860
118,419
(782)
(3.4)
Partners
Group
Holding
AG
453
560,906
9,085
38.9
Schindler
Holding
AG
1,662
356,117
(8,136)
(34.9)
SGS
SA
(Registered)
33
91,745
(3,053)
(13.1)
Swatch
Group
AG
(The)
261
74,000
2,713
11.6
Swiss
Life
Holding
AG
(Registered)
191
122,394
587
2.5
Swisscom
AG
(Registered)
1,170
702,943
(9,457)
(40.5)
Tecan
Group
AG
(Registered)
690
272,785
10,370
44.4
135
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Temenos
AG
(Registered)
13,672
1,315,106
(83,159)
(356.2)
UBS
Group
AG
(Registered)
33,014
645,137
5,498
23.6
United
States
Swiss
Re
AG
4,824
459,216
4,822
20.7
Short
Positions
Common
Stocks
Austria
ams
-OSRAM
AG
(76,080)
(1,164,557)
6,117
26.2
Switzerland
Alcon,
Inc.
(7,659)
(606,791)
(21,239)
(91.0)
Bachem
Holding
AG
(Registered)
(1,135)
(624,639)
(18,070)
(77.4)
Banque
Cantonale
Vaudoise
(Registered)
(6,277)
(543,079)
(9,113)
(39.0)
Cie
Financiere
Richemont
SA
(2,773)
(351,491)
(7,346)
(31.5)
Dufry
AG
(Registered)
(51,283)
(2,157,873)
(16,670)
(71.4)
Flughafen
Zurich
AG
(Registered)
(6,365)
(1,142,434)
21,746
93.2
Givaudan
SA
(Registered)
(528)
(2,182,190)
(14,395)
(61.7)
Helvetia
Holding
AG
(Registered)
(957)
(124,938)
483
2.1
Holcim
Ltd.
(10,656)
(518,273)
(3,750)
(16.1)
Idorsia
Ltd.
(68,596)
(1,370,305)
(56,119)
(240.4)
Logitech
International
SA
(Registered)
(5,762)
(428,302)
15,791
67.6
Nestle
SA
(Registered)
(17,170)
(2,232,420)
(17,179)
(73.6)
Roche
Holding
AG
(1,856)
(734,348)
18,235
78.1
SIG
Combibloc
Group
AG
(51,029)
(1,286,434)
(24,585)
(105.3)
Sika
AG
(Registered)
(3,187)
(1,054,431)
(16,350)
(70.0)
Sonova
Holding
AG
(Registered)
(1,378)
(575,643)
(43,918)
(188.1)
Straumann
Holding
AG
(Registered)
(71)
(113,365)
(4,684)
(20.1)
Sulzer
AG
(Registered)
(3,683)
(305,931)
1,456
6.2
VAT
Group
AG
(243)
(92,520)
(2,693)
(11.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
03/25/2024
$12,235,823
$(123,757)
$(66,099)
$(189,856)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
1,063
3,194,276
(36,815)
19.4
Carlsberg
A/S
4,922
604,232
31,003
(16.3)
136
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Denmark
(continued)
Danske
Bank
A/S
27,250
453,306
(4,482)
2.4
DSV
A/S
1,128
216,188
(2,035)
1.1
Genmab
A/S
262
94,622
2,123
(1.1)
ISS
A/S
25,376
450,971
17,509
(9.2)
Jyske
Bank
A/S
(Registered)
1,501
81,586
(378)
0.2
Novo
Nordisk
A/S
3,205
355,486
13,464
(7.1)
Pandora
A/S
2,585
246,258
4,172
(2.2)
Royal
Unibrew
A/S
1,868
174,519
(381)
0.2
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(4,486)
(66,039)
(2,745)
1.4
Chr
Hansen
Holding
A/S
(6,463)
(474,559)
(15,312)
8.1
Coloplast
A/S
(799)
(120,999)
(6,363)
3.4
Demant
A/S
(5,866)
(265,465)
(18,524)
9.8
GN
Store
Nord
A/S
(5,057)
(247,876)
(16,045)
8.5
Novozymes
A/S
(9,782)
(670,695)
(35,512)
18.7
Orsted
A/S
(1,922)
(240,580)
(15,926)
8.4
ROCKWOOL
International
A/S
(2,549)
(841,450)
35,506
(18.7)
SimCorp
A/S
(10,599)
(777,230)
3,790
(2.0)
Tryg
A/S
(30,107)
(732,042)
(9,934)
5.2
Vestas
Wind
Systems
A/S
(65,705)
(1,927,444)
(66,872)
35.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-10.00%
to
0.30%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
03/25/2024
$154,340,904
$(825,449)
$714,987
$(110,462)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Ageas
SA/NV
20,509
1,036,797
(4,224)
3.8
Finland
Nokian
Renkaat
OYJ
67,979
1,103,285
(38,829)
35.2
France
Cie
de
Saint-Gobain
25,620
1,524,400
(31,128)
28.2
Hermes
International
824
1,166,246
50,469
(45.7)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
2,315
1,652,445
48,926
(44.3)
Orange
SA
178,449
2,113,068
(19,061)
17.3
137
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
(continued)
Renault
SA
42,237
1,104,078
29,439
(26.7)
Rexel
SA
51,359
1,096,403
25,801
(23.4)
TotalEnergies
SE
24,871
1,258,462
(50,916)
46.1
Germany
Bayerische
Motoren
Werke
AG
18,861
1,629,922
4,357
(3.9)
Deutsche
Bank
AG
(Registered)
78,355
986,818
(23,950)
21.7
Deutsche
Post
AG
(Registered)
28,411
1,356,679
(34,595)
31.3
Italy
Buzzi
Unicem
SpA
60,377
1,117,286
49,742
(45.0)
Davide
Campari-Milano
NV
89,023
1,032,584
22,600
(20.5)
Eni
SpA
130,786
1,907,282
(40,317)
36.5
Luxembourg
ArcelorMittal
SA
40,308
1,291,231
(100,780)
91.2
Eurofins
Scientific
SE
10,959
1,084,095
13,495
(12.2)
Netherlands
ASML
Holding
NV
2,760
1,844,292
(50,101)
45.4
ASR
Nederland
NV
32,071
1,497,264
18,603
(16.8)
Koninklijke
Ahold
Delhaize
NV
49,145
1,580,774
27,287
(24.7)
OCI
NV
31,546
1,113,715
(68,084)
61.6
Spain
Acerinox
SA
97,855
1,071,833
(45,337)
41.0
Repsol
SA
180,344
2,362,362
(63,809)
57.8
Short
Positions
Common
Stocks
China
Prosus
NV
(49,119)
(2,648,882)
(35,133)
31.8
Finland
Orion
OYJ
(24,669)
(1,120,388)
(25,332)
22.9
UPM-
Kymmene
OYJ
(31,479)
(1,027,948)
54,816
(49.6)
France
Accor
SA
(30,647)
(987,424)
(27,250)
24.7
Aeroports
de
Paris
(8,022)
(1,199,595)
23,782
(21.5)
Air
Liquide
SA
(6,004)
(1,050,363)
(2,204)
2.0
Alstom
SA
(75,032)
(1,755,666)
(6,765)
6.1
Edenred
(20,757)
(1,026,326)
3,093
(2.8)
L'Oreal
SA
(4,440)
(1,773,537)
(57,439)
52.0
Safran
SA
(10,210)
(1,202,080)
(22,173)
20.1
Germany
Allianz
SE
(Registered)
(5,280)
(1,260,907)
(14,802)
13.4
Deutsche
Telekom
AG
(Registered)
(82,887)
(1,543,698)
8,548
(7.7)
Fresenius
Medical
Care
AG
&
Co.
KGaA
(39,695)
(2,659,995)
(19,583)
17.7
Hannover
Rueck
SE
(7,039)
(1,195,774)
(22,215)
20.1
Siemens
AG
(Registered)
(12,588)
(1,743,027)
45,343
(41.0)
Italy
Intesa
Sanpaolo
SpA
(509,167)
(1,165,364)
(20,155)
18.2
Nexi
SpA
(138,086)
(1,593,474)
68,115
(61.7)
Netherlands
ABN
AMRO
Bank
NV
(104,519)
(1,334,690)
13,959
(12.6)
Argenx
SE
(4,371)
(1,367,560)
(43,326)
39.2
Saudi
Arabia
Delivery
Hero
SE
(36,364)
(1,584,882)
(86,238)
78.1
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(41,996)
(1,132,189)
11,824
(10.7)
Aena
SME
SA
(9,695)
(1,616,160)
(40,182)
36.4
Amadeus
IT
Group
SA
(31,141)
(2,024,729)
(74,533)
67.5
CaixaBank
SA
(293,446)
(995,335)
(12,381)
11.2
138
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Spain
(continued)
Ferrovial
SA
(55,452)
(1,474,738)
35,080
(31.8)
United
Kingdom
CNH
Industrial
NV
(88,353)
(1,391,629)
80,124
(72.5)
United
States
Schneider
Electric
SE
(14,076)
(2,363,225)
(91,125)
82.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-2.00%
to
0.30%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
03/25/2024
$51,325,877
$(1,348,591)
$1,610,682
$262,091
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
229,205
1,491,370
(31,974)
(12.2)
Rio
Tinto
plc
33,639
2,689,322
71,031
27.1
Chile
Antofagasta
plc
32,764
711,927
(34,772)
(13.3)
Netherlands
Shell
plc
65,256
1,788,583
(20,425)
(7.8)
South
Africa
Anglo
American
plc
21,465
1,115,373
(6,483)
(2.5)
United
Kingdom
Ashtead
Group
plc
13,609
856,883
(61,976)
(23.6)
Barclays
plc
401,304
777,918
(103,853)
(39.6)
BP
plc
257,744
1,263,560
(62,514)
(23.9)
British
American
Tobacco
plc
23,395
982,525
(31,595)
(12.1)
DCC
plc
4,582
354,803
4,707
1.8
Diageo
plc
20,639
1,046,905
11,961
4.6
DS
Smith
plc
118,631
498,928
(947)
(0.4)
Howden
Joinery
Group
plc
66,535
667,016
(11,641)
(4.4)
Inchcape
plc
49,550
433,571
(16,581)
(6.3)
Johnson
Matthey
plc
19,062
466,194
7,171
2.7
Lloyds
Banking
Group
plc
581,040
353,835
(18,289)
(7.0)
M&G
plc
234,992
677,090
(14,419)
(5.5)
Man
Group
plc
333,399
1,017,411
37,063
14.1
National
Grid
plc
36,140
555,407
20,515
7.8
NatWest
Group
plc
199,576
563,670
(14,464)
(5.5)
Rotork
plc
122,945
523,503
(12,085)
(4.6)
Royal
Mail
plc
108,444
465,946
(47,021)
(17.9)
Spectris
plc
19,875
674,053
(2,519)
(1.0)
139
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Spirax-Sarco
Engineering
plc
3,805
622,044
9,178
3.5
SSE
plc
31,733
725,069
26,773
10.2
Travis
Perkins
plc
32,292
520,733
(20,616)
(7.9)
Unilever
plc
29,087
1,320,631
26,470
10.1
Short
Positions
Common
Stocks
United
Kingdom
Abcam
plc
(24,456)
(442,044)
(5,700)
(2.2)
ASOS
plc
(40,229)
(846,363)
(24,855)
(9.5)
AstraZeneca
plc
(27,630)
(3,664,098)
(91,242)
(34.8)
AVEVA
Group
plc
(42,493)
(1,357,254)
(14,543)
(5.5)
BAE
Systems
plc
(72,473)
(680,627)
38,048
14.5
Berkeley
Group
Holdings
plc
(9,709)
(473,571)
16,090
6.1
boohoo
Group
plc
(703,444)
(814,932)
(24,020)
(9.2)
BT
Group
plc
(397,074)
(946,748)
22,467
8.6
Compass
Group
plc
(24,783)
(533,333)
5,189
2.0
Croda
International
plc
(5,610)
(577,110)
(29,147)
(11.1)
easyJet
plc
(81,095)
(588,318)
(38,021)
(14.5)
Informa
plc
(94,438)
(739,924)
(2,943)
(1.1)
Investec
plc
(55,728)
(368,671)
(11,676)
(4.5)
JD
Sports
Fashion
plc
(204,200)
(393,476)
9,519
3.6
Ocado
Group
plc
(143,588)
(2,192,536)
(160,516)
(61.2)
Prudential
plc
(47,891)
(707,028)
(36,555)
(13.9)
Reckitt
Benckiser
Group
plc
(10,500)
(801,003)
(49,138)
(18.7)
Rentokil
Initial
plc
(72,260)
(497,762)
1,926
0.7
Severn
Trent
plc
(39,227)
(1,581,016)
(68,512)
(26.1)
Taylor
Wimpey
plc
(457,502)
(779,088)
16,409
6.3
Tesco
plc
(123,721)
(447,908)
286
0.1
United
Utilities
Group
plc
(35,566)
(523,728)
(25,869)
(9.9)
Whitbread
plc
(22,439)
(835,486)
(20,294)
(7.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-16.00%
to
0.23%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
03/25/2024
$14,018,689
$(84,015)
$(129,376)
$(213,391)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
140
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
378,500
1,424,214
39,911
(18.7)
SITC
International
Holdings
Co.
Ltd.
209,000
730,812
(6,897)
3.2
Hong
Kong
ASM
Pacific
Technology
Ltd.
122,100
1,229,235
(34,108)
16.0
CLP
Holdings
Ltd.
26,000
252,977
(440)
0.2
HKT
Trust
&
HKT
Ltd.
134,000
183,735
(2,384)
1.1
Hong
Kong
&
China
Gas
Co.
Ltd.
436,000
526,653
(14,364)
6.7
Kerry
Properties
Ltd.
30,000
84,513
2,941
(1.4)
New
World
Development
Co.
Ltd.
16,000
64,914
(1,366)
0.6
Swire
Properties
Ltd.
136,400
337,072
(17,288)
8.1
Xinyi
Glass
Holdings
Ltd.
118,000
282,925
(6,297)
3.0
Macau
Sands
China
Ltd.
58,400
138,932
5,787
(2.7)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
107,000
782,428
(13,242)
6.2
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(419,400)
(1,107,486)
(20,644)
9.7
Chow
Tai
Fook
Jewellery
Group
Ltd.
(371,600)
(671,151)
(16,533)
7.7
ESR
Cayman
Ltd.
(199,600)
(618,539)
7,017
(3.3)
Hong
Kong
Hang
Lung
Properties
Ltd.
(165,000)
(332,570)
(183)
0.1
Henderson
Land
Development
Co.
Ltd.
(91,000)
(377,743)
12,592
(5.9)
Man
Wah
Holdings
Ltd.
(66,000)
(71,394)
52
(0.0)
MTR
Corp.
Ltd.
(222,000)
(1,195,529)
(3,815)
1.8
Power
Assets
Holdings
Ltd.
(12,500)
(81,463)
319
(0.1)
Techtronic
Industries
Co.
Ltd.
(109,500)
(1,754,351)
(2,861)
1.3
Wharf
Real
Estate
Investment
Co.
Ltd.
(135,000)
(667,205)
596
(0.3)
Macau
Galaxy
Entertainment
Group
Ltd.
(95,000)
(562,152)
(3,077)
1.4
SJM
Holdings
Ltd.
(329,000)
(161,542)
1,416
(0.7)
Wynn
Macau
Ltd.
(523,200)
(379,154)
(11,147)
5.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.30%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
03/25/2024
$24,060,240
$(305,605)
$754,707
$449,102
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
141
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
14,620
150,469
(1,229)
(0.3)
Sweden
Atlas
Copco
AB
3,814
197,969
855
0.2
Axfood
AB
19,506
635,235
13,916
3.1
BillerudKorsnas
AB
52,349
775,758
(10,722)
(2.4)
Boliden
AB
10,677
538,604
(18,440)
(4.1)
Electrolux
AB
7,848
118,760
(2,444)
(0.5)
Elekta
AB
11,818
93,077
(1,301)
(0.3)
Getinge
AB
26,699
1,063,661
47,894
10.7
H
&
M
Hennes
&
Mauritz
AB
52,671
707,247
(81,956)
(18.2)
Hexpol
AB
16,704
163,044
1,337
0.3
Husqvarna
AB
18,832
196,450
2,810
0.6
Indutrade
AB
18,004
452,786
28,068
6.2
Saab
AB
25,640
926,108
(70,337)
(15.7)
Securitas
AB
79,338
895,038
(18,050)
(4.0)
Skanska
AB
8,379
187,457
(7,866)
(1.8)
SKF
AB
3,809
62,109
1,758
0.4
SSAB
AB
138,340
921,146
(66,977)
(14.9)
SSAB
AB
20,408
141,802
(20,042)
(4.5)
Svenska
Cellulosa
AB
SCA
16,538
321,130
2,019
0.4
Svenska
Handelsbanken
AB
41,950
385,749
(9,437)
(2.1)
Swedbank
AB
26,658
398,154
(40,787)
(9.1)
Swedish
Match
AB
29,271
220,119
(5,359)
(1.2)
Tele2
AB
24,122
364,623
19,966
4.4
Telefonaktiebolaget
LM
Ericsson
139,397
1,270,679
(11,867)
(2.6)
Telia
Co.
AB
227,689
912,967
15,195
3.4
Trelleborg
AB
11,188
259,029
2,888
0.6
Volvo
AB
29,841
556,694
(6,095)
(1.4)
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(12,315)
(312,640)
(12,202)
(2.7)
Sweden
AAK
AB
(17,785)
(329,605)
(15,839)
(3.5)
Alfa
Laval
AB
(8,505)
(292,550)
(18,512)
(4.1)
Assa
Abloy
AB
(17,525)
(471,065)
(3,231)
(0.7)
Beijer
Ref
AB
(32,656)
(591,448)
(28,191)
(6.3)
Embracer
Group
AB
(155,708)
(1,299,718)
14,606
3.3
Epiroc
AB
(31,134)
(665,921)
(25,981)
(5.8)
EQT
AB
(28,207)
(1,100,025)
(87,518)
(19.5)
Essity
AB
(64,354)
(1,518,692)
(59,907)
(13.3)
Evolution
AB
(1,148)
(116,791)
10,640
2.4
Hexagon
AB
(113,296)
(1,587,368)
1,984
0.4
Holmen
AB
(10,108)
(564,214)
10,097
2.2
Lifco
AB
(5,459)
(138,580)
(7,805)
(1.7)
Nibe
Industrier
AB
(25,990)
(288,088)
(24,107)
(5.4)
Sandvik
AB
(30,879)
(655,957)
10,096
2.2
Sinch
AB
(114,286)
(775,141)
169,396
37.7
Skandinaviska
Enskilda
Banken
AB
(26,351)
(284,877)
4,024
0.9
Sweco
AB
(10,434)
(151,696)
(6,952)
(1.5)
142
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
95.4%
INVESTMENT
COMPANIES
-
25.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(a)(b)
6,924,757
6,924,757
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(a)
14,765,856
14,758,473
TOTAL
INVESTMENT
COMPANIES
(Cost
$21,682,503)
21,683,230
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
69.7%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(c)
$
947,000
946,977
0.05%,
4/14/2022
(c)
59,000
58,997
0.06%,
4/21/2022
(c)
643,000
642,956
0.06%,
4/28/2022
(c)
842,000
841,933
0.06%,
5/5/2022
(c)
955,000
954,867
0.16%,
6/23/2022
(c)(d)
326,000
325,650
0.22%,
7/7/2022
(c)
473,000
472,267
0.28%,
7/14/2022
(c)(d)
2,955,000
2,949,814
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
69.7%
(continued)
0.37%,
7/21/2022
(c)
$
1,081,000
1,078,800
0.38%,
7/28/2022
(c)(d)
4,006,000
3,996,086
0.50%,
8/4/2022
(c)(d)
5,698,000
5,682,218
0.77%,
8/18/2022
(c)
4,449,000
4,434,513
0.71%,
8/25/2022
(c)(d)
1,885,000
1,878,147
0.67%,
9/1/2022
(c)
14,016,000
13,961,704
0.70%,
9/8/2022
(c)(d)
3,381,000
3,367,228
0.82%,
9/15/2022
(c)(d)
4,918,000
4,896,749
0.87%,
9/22/2022
(c)
6,065,000
6,037,200
1.06%,
9/29/2022
(c)
6,412,000
6,379,542
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$58,944,515)
58,905,648
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$80,627,018)
80,588,878
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.4%
(Cost
$80,627,018)
80,588,878
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.6%
(e)
3,854,135
NET
ASSETS
-
100.0%
84,443,013
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(724,750)
$
7,847
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
724,750
9,189
17,036
Cocoa
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(26,500)
(725)
Cocoa
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
26,500
(3)
Cocoa
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(26,870)
(14)
143
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
(6,597,000)
$
(10,949)
HSCEI
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
(1,880,250)
(608)
iBovespa
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/13/2022
BRL
(3,611,370)
(34,410)
Lean
Hogs
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/14/2022
USD
(48,250)
(581)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(877,600)
(23,099)
Live
Cattle
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
109,700
(754)
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
06/17/2022
CHF
(1,323,740)
(69,020)
(140,163)
$
(123,127)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
11
4/2022
USD
$
1,151,810
$
8,684
LME
Aluminum
Base
Metal
1
4/2022
USD
87,032
13,172
LME
Aluminum
Base
Metal
1
4/2022
USD
87,052
12,998
LME
Aluminum
Base
Metal
1
4/2022
USD
87,045
12,988
LME
Aluminum
Base
Metal
1
4/2022
USD
87,028
13,776
LME
Aluminum
Base
Metal
1
4/2022
USD
87,167
10,832
LME
Aluminum
Base
Metal
1
4/2022
USD
87,028
14,240
LME
Aluminum
Base
Metal
1
4/2022
USD
87,131
10,222
LME
Aluminum
Base
Metal
2
4/2022
USD
174,197
20,375
LME
Aluminum
Base
Metal
2
4/2022
USD
174,168
25,124
LME
Aluminum
Base
Metal
2
4/2022
USD
174,277
19,947
LME
Aluminum
Base
Metal
2
4/2022
USD
174,314
19,449
LME
Aluminum
Base
Metal
5
4/2022
USD
435,451
50,309
LME
Copper
Base
Metal
1
4/2022
USD
259,198
21,570
LME
Lead
Base
Metal
1
4/2022
USD
60,594
1,454
LME
Lead
Base
Metal
1
4/2022
USD
60,638
3,730
LME
Nickel
Base
Metal
1
4/2022
USD
192,670
56,864
LME
Nickel
Base
Metal
1
4/2022
USD
192,662
61,109
LME
Nickel
Base
Metal
1
4/2022
USD
192,690
50,444
LME
Nickel
Base
Metal
1
4/2022
USD
192,690
50,187
LME
Nickel
Base
Metal
1
4/2022
USD
192,686
60,888
144
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
1
4/2022
USD
$
192,650
$
58,337
LME
Zinc
Base
Metal
1
4/2022
USD
105,188
14,435
LME
Zinc
Base
Metal
1
4/2022
USD
105,556
17,328
LME
Zinc
Base
Metal
1
4/2022
USD
105,170
14,637
LME
Zinc
Base
Metal
1
4/2022
USD
105,813
16,562
LME
Zinc
Base
Metal
1
4/2022
USD
105,179
14,576
LME
Zinc
Base
Metal
1
4/2022
USD
105,313
14,660
LME
Zinc
Base
Metal
1
4/2022
USD
105,294
15,491
LME
Zinc
Base
Metal
2
4/2022
USD
210,625
33,771
Natural
Gas
10
4/2022
USD
564,200
78,611
NY
Harbor
ULSD
10
4/2022
USD
1,411,578
(4,910)
RBOB
Gasoline
8
4/2022
USD
1,058,702
(27,931)
WTI
Crude
Oil
12
4/2022
USD
1,203,360
(189,719)
Canola
37
5/2022
CAD
669,117
56,773
Copper
10
5/2022
USD
1,187,750
25,113
Corn
28
5/2022
USD
1,048,250
4,357
Cotton
No.
2
17
5/2022
USD
1,153,365
118,867
Ethanol
5
5/2022
USD
510,300
(4,208)
FCOJ-A
7
5/2022
USD
159,548
12,782
KC
HRW
Wheat
5
5/2022
USD
257,438
10,885
LME
Aluminum
Base
Metal
1
5/2022
USD
87,091
7,588
LME
Aluminum
Base
Metal
1
5/2022
USD
87,072
7,003
LME
Aluminum
Base
Metal
1
5/2022
USD
87,081
5,078
LME
Aluminum
Base
Metal
2
5/2022
USD
174,202
7,797
LME
Aluminum
Base
Metal
2
5/2022
USD
174,212
19,206
LME
Aluminum
Base
Metal
2
5/2022
USD
174,168
1,062
LME
Aluminum
Base
Metal
2
5/2022
USD
174,356
11,398
LME
Aluminum
Base
Metal
3
5/2022
USD
261,627
34,190
LME
Aluminum
Base
Metal
3
5/2022
USD
261,332
23,873
LME
Aluminum
Base
Metal
4
5/2022
USD
348,436
19,801
LME
Aluminum
Base
Metal
4
5/2022
USD
348,436
8,824
LME
Copper
Base
Metal
1
5/2022
USD
259,295
10,142
LME
Copper
Base
Metal
1
5/2022
USD
259,313
18,335
LME
Copper
Base
Metal
1
5/2022
USD
259,288
11,085
LME
Copper
Base
Metal
1
5/2022
USD
259,346
7,843
LME
Lead
Base
Metal
1
5/2022
USD
60,550
1,885
LME
Lead
Base
Metal
1
5/2022
USD
60,572
3,590
LME
Lead
Base
Metal
1
5/2022
USD
60,557
2,258
LME
Lead
Base
Metal
1
5/2022
USD
60,630
4,560
LME
Lead
Base
Metal
1
5/2022
USD
60,484
1,681
LME
Lead
Base
Metal
1
5/2022
USD
60,475
1,298
LME
Lead
Base
Metal
1
5/2022
USD
60,587
3,766
LME
Lead
Base
Metal
2
5/2022
USD
121,129
5,370
LME
Lead
Base
Metal
2
5/2022
USD
120,988
3,839
LME
Nickel
Base
Metal
1
5/2022
USD
192,643
55,510
LME
Nickel
Base
Metal
1
5/2022
USD
192,497
46,709
LME
Nickel
Base
Metal
1
5/2022
USD
192,610
51,175
LME
Zinc
Base
Metal
1
5/2022
USD
105,152
14,718
LME
Zinc
Base
Metal
1
5/2022
USD
105,134
15,131
LME
Zinc
Base
Metal
1
5/2022
USD
104,909
14,157
LME
Zinc
Base
Metal
2
5/2022
USD
210,322
30,103
LME
Zinc
Base
Metal
2
5/2022
USD
210,161
30,656
Low
Sulphur
Gasoil
13
5/2022
USD
1,310,400
(38,176)
Milk
1
5/2022
USD
47,360
(1,255)
Milling
Wheat
No.
2
18
5/2022
EUR
367,883
63,581
Mont
Belvieu
10
5/2022
USD
574,875
36,881
145
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Natural
Gas
10
5/2022
USD
$
688,540
$
28,620
Rough
Rice
4
5/2022
USD
128,080
3,439
SGX
Iron
Ore
14
5/2022
USD
223,496
12,833
Silver
1
5/2022
USD
125,665
(8,469)
Soybean
16
5/2022
USD
1,294,600
(26,654)
Soybean
Meal
16
5/2022
USD
748,000
(29,661)
Soybean
Oil
8
5/2022
USD
335,712
(24,161)
Wheat
4
5/2022
ZAR
90,470
2,933
100
oz
Gold
9
6/2022
USD
1,758,600
1,036
Crude
Palm
Oil
10
6/2022
MYR
339,200
(21,430)
LME
Aluminum
Base
Metal
1
6/2022
USD
87,257
(2,546)
LME
Aluminum
Base
Metal
1
6/2022
USD
87,275
(603)
LME
Aluminum
Base
Metal
2
6/2022
USD
174,547
4,963
LME
Aluminum
Base
Metal
2
6/2022
USD
174,356
(19,734)
LME
Aluminum
Base
Metal
2
6/2022
USD
174,250
3,494
LME
Aluminum
Base
Metal
2
6/2022
USD
174,436
4,205
LME
Aluminum
Base
Metal
3
6/2022
USD
261,496
(14,750)
LME
Aluminum
Base
Metal
7
6/2022
USD
610,332
(21,964)
LME
Aluminum
Base
Metal
23
6/2022
USD
2,007,613
48,500
LME
Copper
Base
Metal
1
6/2022
USD
259,363
1,228
LME
Copper
Base
Metal
1
6/2022
USD
259,375
886
LME
Copper
Base
Metal
2
6/2022
USD
518,750
7,057
LME
Copper
Base
Metal
2
6/2022
USD
518,825
3,570
LME
Copper
Base
Metal
5
6/2022
USD
1,297,188
31,508
LME
Lead
Base
Metal
1
6/2022
USD
60,406
2,004
LME
Lead
Base
Metal
1
6/2022
USD
60,583
(44)
LME
Lead
Base
Metal
1
6/2022
USD
60,571
6
LME
Lead
Base
Metal
1
6/2022
USD
60,394
1,111
LME
Lead
Base
Metal
1
6/2022
USD
60,388
1,469
LME
Lead
Base
Metal
2
6/2022
USD
120,888
7,295
LME
Lead
Base
Metal
2
6/2022
USD
120,988
8,032
LME
Lead
Base
Metal
16
6/2022
USD
969,000
30,733
LME
Nickel
Base
Metal
1
6/2022
USD
192,642
(3,141)
LME
Nickel
Base
Metal
2
6/2022
USD
385,194
(2,472)
LME
Nickel
Base
Metal
3
6/2022
USD
577,764
46,277
LME
Nickel
Base
Metal
5
6/2022
USD
962,640
(439,734)
LME
Nickel
Base
Metal
12
6/2022
USD
2,311,200
543,714
LME
Zinc
Base
Metal
1
6/2022
USD
104,795
1,983
LME
Zinc
Base
Metal
1
6/2022
USD
104,838
11,698
LME
Zinc
Base
Metal
1
6/2022
USD
104,550
10,422
LME
Zinc
Base
Metal
1
6/2022
USD
104,809
822
LME
Zinc
Base
Metal
1
6/2022
USD
104,400
3,169
LME
Zinc
Base
Metal
1
6/2022
USD
104,375
2,288
LME
Zinc
Base
Metal
2
6/2022
USD
209,532
14,551
LME
Zinc
Base
Metal
2
6/2022
USD
209,647
10,842
LME
Zinc
Base
Metal
8
6/2022
USD
837,700
46,051
Milk
1
6/2022
USD
48,940
436
S&P/TSX
60
Index
3
6/2022
CAD
632,132
1,229
SPI
200
Index
6
6/2022
AUD
839,480
22,210
Rapeseed
10
7/2022
EUR
435,033
8,695
Robusta
Coffee
11
7/2022
USD
236,720
2,524
White
Maize
13
7/2022
ZAR
347,853
14,493
White
Sugar
29
7/2022
USD
769,515
(1,402)
Yellow
Maize
14
7/2022
ZAR
389,461
17,402
WTI
Crude
Oil
9
8/2022
JPY
267,693
(3,097)
3
Month
SARON
2
12/2022
CHF
543,748
(409)
146
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
ECX
Emission
2
12/2022
EUR
$
169,212
$
(7,015)
3
Month
SARON
1
3/2023
CHF
270,778
(377)
1,695,506
Short
Contracts
CAC
40
10
Euro
Index
(1)
4/2022
EUR
(73,649)
(1,215)
IBEX
35
Index
(1)
4/2022
EUR
(93,101)
662
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,028)
(14,780)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,052)
(12,842)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,028)
(12,906)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,032)
(13,710)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,045)
(12,923)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,167)
(10,333)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,131)
(10,283)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,314)
(18,629)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,168)
(24,922)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,197)
(19,652)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,277)
(18,991)
LME
Aluminum
Base
Metal
(5)
4/2022
USD
(435,451)
(54,214)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,198)
(20,910)
LME
Lead
Base
Metal
(1)
4/2022
USD
(60,638)
(4,058)
LME
Lead
Base
Metal
(1)
4/2022
USD
(60,594)
(1,593)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,690)
(48,707)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,650)
(58,454)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,670)
(57,373)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,686)
(61,288)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,690)
(51,441)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,662)
(60,694)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,179)
(14,749)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,813)
(17,490)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,556)
(17,032)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,188)
(14,351)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,313)
(14,406)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,294)
(16,649)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,170)
(14,588)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(210,625)
(35,173)
MSCI
Singapore
Index
(14)
4/2022
SGD
(345,881)
(4,965)
OMXS30
Index
(13)
4/2022
SEK
(288,277)
4,673
SGX
FTSE
China
A50
Index
(32)
4/2022
USD
(439,968)
(11,709)
SGX
FTSE
Taiwan
Index
(11)
4/2022
USD
(679,360)
(3,624)
Sugar
No.
11
(12)
4/2022
USD
(261,946)
(3,608)
Feeder
Cattle
(7)
5/2022
USD
(582,925)
(4,947)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,072)
(7,574)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,091)
(7,956)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,081)
(5,352)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,168)
(2,846)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,202)
(7,607)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,212)
(18,634)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,356)
(10,771)
LME
Aluminum
Base
Metal
(3)
5/2022
USD
(261,627)
(34,541)
LME
Aluminum
Base
Metal
(3)
5/2022
USD
(261,332)
(21,910)
LME
Aluminum
Base
Metal
(4)
5/2022
USD
(348,436)
(20,248)
LME
Aluminum
Base
Metal
(4)
5/2022
USD
(348,436)
(6,028)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,346)
(9,318)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,288)
(10,954)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,313)
(18,521)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,295)
(9,798)
147
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(1)
5/2022
USD
$
(60,475)
$
(1,440)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,550)
(1,778)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,484)
(82)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,572)
(3,600)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,557)
(2,310)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,630)
(4,578)
LME
Lead
Base
Metal
(1)
5/2022
USD
(60,587)
(3,589)
LME
Lead
Base
Metal
(2)
5/2022
USD
(121,129)
(5,384)
LME
Lead
Base
Metal
(2)
5/2022
USD
(120,988)
(3,468)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,643)
(56,260)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,610)
(51,817)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,497)
(47,480)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(104,909)
(14,112)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,152)
(14,660)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,134)
(14,653)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,322)
(30,117)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,161)
(30,475)
Wheat
(3)
5/2022
USD
(150,900)
(4,585)
Australia
10
Year
Bond
(44)
6/2022
AUD
(4,184,522)
145,623
Australia
3
Year
Bond
(146)
6/2022
AUD
(11,998,844)
183,519
Canada
10
Year
Bond
(61)
6/2022
CAD
(6,362,269)
235,689
DAX
Index
(1)
6/2022
EUR
(399,163)
(4,777)
DJIA
CBOT
E-Mini
Index
(4)
6/2022
USD
(692,360)
(28,133)
EURO
STOXX
50
Index
(1)
6/2022
EUR
(42,292)
353
Euro-Bobl
(40)
6/2022
EUR
(5,705,153)
120,366
Euro-BTP
(26)
6/2022
EUR
(3,984,182)
153,756
Euro-Bund
(17)
6/2022
EUR
(2,983,800)
60,672
Euro-Buxl
(5)
6/2022
EUR
(1,027,264)
26,322
Euro-OAT
(19)
6/2022
EUR
(3,182,449)
157,080
Euro-Schatz
(114)
6/2022
EUR
(13,970,112)
54,631
FTSE
100
Index
(4)
6/2022
GBP
(393,359)
(15,943)
FTSE/MIB
Index
(2)
6/2022
EUR
(269,991)
(9,683)
Japan
10
Year
Bond
(10)
6/2022
JPY
(12,313,948)
28,796
KOSPI
200
Index
(16)
6/2022
KRW
(1,206,881)
(48,233)
Lean
Hogs
(2)
6/2022
USD
(96,500)
(1,171)
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,275)
449
LME
Aluminum
Base
Metal
(1)
6/2022
USD
(87,257)
2,636
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,436)
256
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,250)
(2,025)
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,356)
26,639
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,547)
(4,553)
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,496)
13,558
LME
Aluminum
Base
Metal
(7)
6/2022
USD
(610,332)
9,348
LME
Aluminum
Base
Metal
(20)
6/2022
USD
(1,745,750)
(2,726)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,363)
(1,371)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(1,655)
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,750)
(7,880)
LME
Copper
Base
Metal
(2)
6/2022
USD
(518,825)
(5,101)
LME
Copper
Base
Metal
(4)
6/2022
USD
(1,037,750)
(16,123)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,583)
(891)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,394)
(1,096)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,388)
(1,515)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,406)
(2,059)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,571)
(144)
LME
Lead
Base
Metal
(2)
6/2022
USD
(120,888)
(7,474)
LME
Lead
Base
Metal
(2)
6/2022
USD
(120,988)
(8,000)
148
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(7)
6/2022
USD
$
(423,938)
$
(17,446)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,642)
3,326
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,194)
(11,135)
LME
Nickel
Base
Metal
(3)
6/2022
USD
(577,764)
(62,041)
LME
Nickel
Base
Metal
(5)
6/2022
USD
(962,640)
436,902
LME
Nickel
Base
Metal
(11)
6/2022
USD
(2,118,600)
393,868
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,795)
(1,048)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,400)
(5,403)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,375)
(2,378)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,838)
(12,153)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,809)
88
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,550)
(9,411)
LME
Zinc
Base
Metal
(2)
6/2022
USD
(209,647)
(10,302)
LME
Zinc
Base
Metal
(2)
6/2022
USD
(209,532)
(13,524)
LME
Zinc
Base
Metal
(4)
6/2022
USD
(418,850)
(39,255)
Long
Gilt
(25)
6/2022
GBP
(3,988,241)
27,573
MSCI
EAFE
E-Mini
Index
(8)
6/2022
USD
(857,760)
(46,742)
MSCI
Emerging
Markets
E-Mini
Index
(20)
6/2022
USD
(1,125,500)
(81,437)
NASDAQ
100
E-Mini
Index
(1)
6/2022
USD
(297,375)
(24,653)
Nikkei
225
Index
(4)
6/2022
JPY
(914,408)
(79,789)
Russell
2000
E-Mini
Index
(9)
6/2022
USD
(929,880)
(29,386)
S&P
500
E-Mini
Index
(4)
6/2022
USD
(906,150)
(35,878)
S&P
Midcap
400
E-Mini
Index
(2)
6/2022
USD
(537,840)
(4,699)
TOPIX
Index
(4)
6/2022
JPY
(639,560)
(49,706)
U.S.
Treasury
10
Year
Note
(51)
6/2022
USD
(6,260,250)
158,294
U.S.
Treasury
2
Year
Note
(127)
6/2022
USD
(26,896,218)
338,677
U.S.
Treasury
5
Year
Note
(79)
6/2022
USD
(9,047,969)
215,849
U.S.
Treasury
Long
Bond
(19)
6/2022
USD
(2,854,156)
47,401
U.S.
Treasury
Ultra
Bond
(15)
6/2022
USD
(2,655,938)
67,107
Cocoa
(4)
7/2022
GBP
(94,373)
(371)
Cocoa
(23)
7/2022
USD
(618,010)
(4,634)
Platinum
(3)
7/2022
USD
(149,370)
3,320
Rubber
(3)
8/2022
JPY
(31,727)
(512)
3
Month
Canadian
Bankers
Acceptance
(33)
9/2022
CAD
(6,431,918)
40,890
3
Month
Euro
Euribor
(27)
9/2022
EUR
(7,473,908)
7,088
ASX
90
Day
Bank
Accepted
Bill
(19)
9/2022
AUD
(14,166,351)
13,709
3
Month
Canadian
Bankers
Acceptance
(15)
12/2022
CAD
(2,912,051)
20,976
3
Month
Euro
Euribor
(25)
12/2022
EUR
(6,895,395)
19,251
3
Month
SOFR
(33)
12/2022
USD
(8,085,000)
41,868
3
Month
SONIA
(14)
12/2022
GBP
(4,511,337)
17,889
ASX
90
Day
Bank
Accepted
Bill
(13)
12/2022
AUD
(9,679,212)
13,019
3
Month
Euro
Euribor
(21)
3/2023
EUR
(5,767,448)
30,747
3
Month
SOFR
(35)
3/2023
USD
(8,538,250)
59,137
3
Month
SONIA
(13)
3/2023
GBP
(4,178,639)
33,513
3
Month
Euro
Euribor
(18)
6/2023
EUR
(4,927,099)
40,557
3
Month
SOFR
(33)
6/2023
USD
(8,022,713)
66,836
3
Month
SONIA
(11)
6/2023
GBP
(3,528,727)
31,495
3
Month
Euro
Euribor
(17)
9/2023
EUR
(4,643,968)
49,505
3
Month
SOFR
(33)
9/2023
USD
(8,010,750)
68,006
3
Month
SONIA
(23)
9/2023
GBP
(7,370,315)
69,681
3
Month
Euro
Euribor
(20)
12/2023
EUR
(5,460,173)
59,446
3
Month
SOFR
(38)
12/2023
USD
(9,224,975)
74,163
3
Month
SONIA
(29)
12/2023
GBP
(9,293,006)
86,774
3
Month
Euro
Euribor
(26)
3/2024
EUR
(7,097,147)
59,840
3
Month
SOFR
(42)
3/2024
USD
(10,204,950)
74,484
3
Month
SONIA
(24)
3/2024
GBP
(7,695,887)
64,526
149
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SOFR
(42)
6/2024
USD
$
(10,215,975)
$
88,846
3
Month
SONIA
(19)
6/2024
GBP
(6,100,689)
37,108
2,128,676
$
3,824,182
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
6,361,000
USD
4,658,113
CITI
6/15/2022
$
107,843
AUD
6,361,000
USD
4,658,119
JPMC
6/15/2022
107,837
BRL
2,073,500
USD
410,707
CITI
**
6/15/2022
15,695
BRL
2,073,500
USD
410,707
JPMC
**
6/15/2022
15,694
CAD
10,852,000
USD
8,540,558
CITI
6/15/2022
138,400
CAD
10,852,000
USD
8,540,569
JPMC
6/15/2022
138,389
CHF
123,000
USD
132,109
CITI
6/15/2022
1,423
CHF
123,000
USD
132,109
JPMC
6/15/2022
1,423
CLP
414,849,507
USD
507,217
CITI
**
6/15/2022
13,464
CLP
414,849,493
USD
507,218
JPMC
**
6/15/2022
13,463
COP
598,013,996
USD
152,969
CITI
**
6/15/2022
3,896
COP
598,013,996
USD
152,969
JPMC
**
6/15/2022
3,896
EUR
8,350,000
USD
9,237,052
CITI
6/15/2022
26,300
EUR
8,350,000
USD
9,237,063
JPMC
6/15/2022
26,287
GBP
100,500
USD
131,272
CITI
6/15/2022
712
GBP
100,500
USD
131,272
JPMC
6/15/2022
712
IDR
998,583,500
USD
69,370
CITI
**
6/15/2022
80
IDR
998,583,500
USD
69,371
JPMC
**
6/15/2022
80
ILS
153,002
USD
47,462
CITI
6/15/2022
592
ILS
152,998
USD
47,461
JPMC
6/15/2022
592
INR
80,927,500
USD
1,049,303
CITI
**
6/15/2022
6,325
INR
80,927,500
USD
1,049,304
JPMC
**
6/15/2022
6,325
JPY
431,817,000
USD
3,542,301
CITI
6/15/2022
11,668
JPY
431,817,000
USD
3,542,306
JPMC
6/15/2022
11,663
KRW
2,026,822,500
USD
1,658,613
CITI
**
6/15/2022
8,645
KRW
2,026,822,500
USD
1,658,615
JPMC
**
6/15/2022
8,643
MXN
60,682,505
USD
2,922,348
CITI
6/15/2022
88,465
MXN
60,682,503
USD
2,922,351
JPMC
6/15/2022
88,462
NOK
44,929,000
USD
5,030,882
CITI
6/15/2022
70,008
NOK
44,929,000
USD
5,030,889
JPMC
6/15/2022
70,002
NZD
7,841,500
USD
5,317,411
CITI
6/15/2022
110,253
NZD
7,841,500
USD
5,317,417
JPMC
6/15/2022
110,246
PHP
3,102,500
USD
58,588
CITI
**
6/15/2022
993
PHP
3,102,500
USD
58,588
JPMC
**
6/15/2022
993
PLN
12,144,338
USD
2,770,221
CITI
6/15/2022
99,019
PLN
12,144,337
USD
2,770,224
JPMC
6/15/2022
99,016
SEK
27,615,500
USD
2,903,797
CITI
6/15/2022
38,785
SEK
27,615,501
USD
2,903,801
JPMC
6/15/2022
38,782
SGD
1,682,000
USD
1,238,783
CITI
6/15/2022
2,208
SGD
1,682,000
USD
1,238,785
JPMC
6/15/2022
2,206
TWD
4,803,000
USD
167,703
CITI
**
6/15/2022
584
TWD
4,803,000
USD
167,703
JPMC
**
6/15/2022
584
USD
616,572
CAD
769,500
CITI
6/15/2022
1,160
150
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
616,572
CAD
769,500
JPMC
6/15/2022
$
1,159
USD
22,758,090
EUR
20,146,504
CITI
6/15/2022
407,892
USD
22,758,056
EUR
20,146,499
JPMC
6/15/2022
407,865
USD
3,852,401
GBP
2,898,500
CITI
6/15/2022
45,883
USD
3,852,396
GBP
2,898,500
JPMC
6/15/2022
45,878
USD
46,345
HUF
15,457,000
CITI
6/15/2022
280
USD
46,345
HUF
15,457,000
JPMC
6/15/2022
280
USD
3,003,005
INR
228,851,744
CITI
**
6/15/2022
17,834
USD
3,003,002
INR
228,851,740
JPMC
**
6/15/2022
17,830
USD
33,910,497
JPY
3,923,370,576
CITI
6/15/2022
1,620,113
USD
33,910,454
JPY
3,923,370,572
JPMC
6/15/2022
1,620,071
USD
3,213,006
KRW
3,856,110,127
CITI
**
6/15/2022
40,981
USD
3,213,002
KRW
3,856,110,120
JPMC
**
6/15/2022
40,977
USD
1,339,898
PHP
69,402,816
CITI
**
6/15/2022
7,077
USD
1,339,897
PHP
69,402,808
JPMC
**
6/15/2022
7,075
USD
1,670,466
SEK
15,521,000
CITI
6/15/2022
16,619
USD
1,670,464
SEK
15,521,000
JPMC
6/15/2022
16,616
USD
447,294
SGD
606,000
CITI
6/15/2022
183
USD
447,294
SGD
606,000
JPMC
6/15/2022
183
USD
2,734,790
TWD
76,133,504
CITI
**
6/15/2022
67,228
USD
2,734,786
TWD
76,133,496
JPMC
**
6/15/2022
67,224
ZAR
69,550,502
USD
4,512,175
CITI
6/15/2022
202,850
ZAR
69,550,498
USD
4,512,181
JPMC
6/15/2022
202,844
Total
unrealized
appreciation
6,346,755
AUD
1,444,500
USD
1,086,114
CITI
6/15/2022
(3,828)
AUD
1,444,500
USD
1,086,116
JPMC
6/15/2022
(3,829)
CHF
576,001
USD
628,200
CITI
6/15/2022
(2,881)
CHF
575,999
USD
628,199
JPMC
6/15/2022
(2,882)
COP
311,095,500
USD
81,810
CITI
**
6/15/2022
(206)
COP
311,095,500
USD
81,810
JPMC
**
6/15/2022
(206)
EUR
6,492,000
USD
7,290,942
CITI
6/15/2022
(88,825)
EUR
6,492,000
USD
7,290,951
JPMC
6/15/2022
(88,833)
GBP
5,799,002
USD
7,781,757
CITI
6/15/2022
(166,090)
GBP
5,798,996
USD
7,781,759
JPMC
6/15/2022
(166,100)
HUF
1,130,910,984
USD
3,471,587
CITI
6/15/2022
(101,293)
HUF
1,130,910,984
USD
3,471,591
JPMC
6/15/2022
(101,297)
INR
74,669,000
USD
975,998
CITI
**
6/15/2022
(2,006)
INR
74,669,000
USD
975,999
JPMC
**
6/15/2022
(2,008)
JPY
1,054,304,500
USD
9,181,374
CITI
6/15/2022
(504,168)
JPY
1,054,304,500
USD
9,181,385
JPMC
6/15/2022
(504,179)
KRW
473,162,500
USD
391,026
CITI
**
6/15/2022
(1,804)
KRW
473,162,500
USD
391,027
JPMC
**
6/15/2022
(1,805)
NOK
51,000
USD
5,804
CITI
6/15/2022
(14)
NOK
51,000
USD
5,804
JPMC
6/15/2022
(14)
PHP
1,005,500
USD
19,409
CITI
**
6/15/2022
(99)
PHP
1,005,500
USD
19,409
JPMC
**
6/15/2022
(100)
PLN
19,469,663
USD
4,764,211
CITI
6/15/2022
(164,278)
PLN
19,469,663
USD
4,764,217
JPMC
6/15/2022
(164,285)
SEK
12,941,500
USD
1,386,512
CITI
6/15/2022
(7,524)
SEK
12,941,499
USD
1,386,514
JPMC
6/15/2022
(7,527)
SGD
1,327,500
USD
984,953
CITI
6/15/2022
(5,515)
SGD
1,327,500
USD
984,955
JPMC
6/15/2022
(5,515)
TWD
25,853,500
USD
910,087
CITI
**
6/15/2022
(4,233)
TWD
25,853,500
USD
910,088
JPMC
**
6/15/2022
(4,234)
USD
2,850,184
AUD
3,932,001
CITI
6/15/2022
(95,854)
USD
2,850,179
AUD
3,931,999
JPMC
6/15/2022
(95,857)
USD
711,375
BRL
3,734,502
CITI
**
6/15/2022
(56,600)
USD
711,373
BRL
3,734,498
JPMC
**
6/15/2022
(56,601)
151
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,814,274
CAD
2,304,000
CITI
6/15/2022
$
(28,365)
USD
1,814,272
CAD
2,304,000
JPMC
6/15/2022
(28,367)
USD
332,002
CLP
270,031,039
CITI
**
6/15/2022
(6,916)
USD
332,002
CLP
270,031,025
JPMC
**
6/15/2022
(6,917)
USD
10,124,705
EUR
9,228,500
CITI
6/15/2022
(113,239)
USD
10,124,692
EUR
9,228,500
JPMC
6/15/2022
(113,253)
USD
1,538,209
GBP
1,173,000
CITI
6/15/2022
(2,260)
USD
1,538,207
GBP
1,173,000
JPMC
6/15/2022
(2,262)
USD
2,681,445
HUF
954,125,500
CITI
6/15/2022
(162,000)
USD
2,681,441
HUF
954,125,500
JPMC
6/15/2022
(162,003)
USD
84,263
IDR
1,214,861,344
CITI
**
6/15/2022
(230)
USD
84,263
IDR
1,214,861,344
JPMC
**
6/15/2022
(230)
USD
838,871
ILS
2,727,002
CITI
6/15/2022
(17,611)
USD
838,869
ILS
2,726,998
JPMC
6/15/2022
(17,612)
USD
2,623,153
INR
201,605,744
CITI
**
6/15/2022
(6,618)
USD
2,623,149
INR
201,605,740
JPMC
**
6/15/2022
(6,621)
USD
1,183,416
KRW
1,459,821,000
CITI
**
6/15/2022
(17,427)
USD
1,183,415
KRW
1,459,821,000
JPMC
**
6/15/2022
(17,429)
USD
1,300,983
MXN
27,481,500
CITI
6/15/2022
(62,534)
USD
1,300,982
MXN
27,481,500
JPMC
6/15/2022
(62,536)
USD
4,675,938
NZD
6,988,000
CITI
6/15/2022
(160,958)
USD
4,675,932
NZD
6,988,000
JPMC
6/15/2022
(160,963)
USD
189,518
PHP
9,914,688
CITI
**
6/15/2022
(885)
USD
189,518
PHP
9,914,688
JPMC
**
6/15/2022
(885)
USD
6,911,515
PLN
30,835,000
CITI
6/15/2022
(373,610)
USD
6,911,506
PLN
30,835,000
JPMC
6/15/2022
(373,619)
USD
2,172,544
SEK
21,250,500
CITI
6/15/2022
(91,812)
USD
2,172,542
SEK
21,250,500
JPMC
6/15/2022
(91,814)
USD
1,851,446
SGD
2,520,500
CITI
6/15/2022
(8,196)
USD
1,851,444
SGD
2,520,500
JPMC
6/15/2022
(8,199)
Total
unrealized
depreciation
(4,515,861)
Net
unrealized
appreciation
$
1,830,894
**
Non-deliverable
forward.
152
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NOWA
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/31/2027
$659,055
$31,226
$(907)
$30,319
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.08%
to
0.04%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-60
months
maturity
ranging
from
09/21/2026
-
02/25/2027
$495,414
$292
$(2,382)
$(2,090)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.13%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/30/2027
$3,746,467
$(15,774)
$6,334
$(9,440)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
7,816
77,612
4,277
(45.3)
Alumina
Ltd.
13,649
20,492
497
(5.3)
Ampol
Ltd.
4,025
91,439
5,930
(62.8)
Aristocrat
Leisure
Ltd.
3,634
98,634
1,219
(12.9)
Aurizon
Holdings
Ltd.
27,095
74,475
3,852
(40.8)
BHP
Group
Ltd.
2,285
88,081
10,769
(114.1)
BlueScope
Steel
Ltd.
6,616
102,879
8,239
(87.3)
153
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Brambles
Ltd.
3,581
26,427
503
(5.3)
Coles
Group
Ltd.
3,848
51,430
1,553
(16.5)
Incitec
Pivot
Ltd.
32,229
91,231
4,341
(46.0)
JB
Hi-Fi
Ltd.
4,009
162,045
12,962
(137.3)
Macquarie
Group
Ltd.
131
19,812
508
(5.4)
Mineral
Resources
Ltd.
1,534
60,471
6,436
(68.2)
Origin
Energy
Ltd.
11,297
52,584
3,105
(32.9)
QBE
Insurance
Group
Ltd.
3,261
27,964
2,636
(27.9)
Sonic
Healthcare
Ltd.
2,921
77,121
3,566
(37.8)
South32
Ltd.
35,737
135,846
5,966
(63.2)
Suncorp
Group
Ltd.
2,348
19,464
1,403
(14.9)
Telstra
Corp.
Ltd.
50,136
148,125
1,031
(10.9)
Woodside
Petroleum
Ltd.
955
22,950
(742)
7.9
Worley
Ltd.
6,352
61,363
1,658
(17.6)
United
States
James
Hardie
Industries
plc
1,887
56,606
(6,290)
66.6
Short
Positions
Common
Stocks
Australia
APA
Group
(13,885)
(110,356)
(7,853)
83.2
Atlas
Arteria
Ltd.
(7,400)
(36,015)
(501)
5.3
carsales.com
Ltd.
(2,218)
(34,338)
(1,176)
12.5
Cochlear
Ltd.
(878)
(146,592)
(4,533)
48.0
Computershare
Ltd.
(1,887)
(34,681)
(5,154)
54.6
CSL
Ltd.
(661)
(131,964)
(4,660)
49.4
Evolution
Mining
Ltd.
(35,416)
(116,891)
1,979
(21.0)
IDP
Education
Ltd.
(4,752)
(111,216)
(9,091)
96.3
Insurance
Australia
Group
Ltd.
(13,320)
(43,594)
591
(6.3)
Lendlease
Corp.
Ltd.
(11,503)
(95,888)
(5,096)
54.0
National
Australia
Bank
Ltd.
(3,377)
(81,301)
(7,928)
84.0
Newcrest
Mining
Ltd.
(5,342)
(107,948)
(2,208)
23.4
NEXTDC
Ltd.
(9,760)
(84,083)
(3,966)
42.0
Northern
Star
Resources
Ltd.
(11,145)
(89,914)
1,274
(13.5)
Orica
Ltd.
(7,518)
(89,449)
(9,034)
95.7
Pro
Medicus
Ltd.
(1,894)
(68,614)
(4,285)
45.4
Qantas
Airways
Ltd.
(8,843)
(34,193)
(3,286)
34.8
Reece
Ltd.
(1,382)
(19,458)
421
(4.5)
SEEK
Ltd.
(3,315)
(73,005)
(4,931)
52.2
Seven
Group
Holdings
Ltd.
(4,984)
(78,693)
2,704
(28.6)
Transurban
Group
(10,667)
(107,779)
(5,281)
55.9
Treasury
Wine
Estates
Ltd.
(4,262)
(36,815)
(232)
2.5
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(2,078)
(44,322)
(5,306)
56.2
Wesfarmers
Ltd.
(1,056)
(39,626)
(957)
10.1
Westpac
Banking
Corp.
(2,488)
(44,950)
(3,972)
42.1
WiseTech
Global
Ltd.
(472)
(17,766)
(707)
7.5
Woolworths
Group
Ltd.
(4,205)
(116,751)
(2,043)
21.6
New
Zealand
Xero
Ltd.
(584)
(44,260)
(1,842)
19.5
154
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CORRA
plus
or
minus
a
specified
spread
(-0.57%
to
0.02%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/29/2027
$7,648,833
$23,505
$(879)
$22,626
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
5,905
79,070
6,537
28.9
Canadian
Natural
Resources
Ltd.
2,839
175,792
7,164
31.7
CI
Financial
Corp.
4,513
71,694
(1,178)
(5.2)
Empire
Co.
Ltd.
2,807
99,558
979
4.3
Enbridge,
Inc.
2,242
103,209
1,879
8.3
Fairfax
Financial
Holdings
Ltd.
342
186,581
24,834
109.8
Finning
International,
Inc.
3,291
99,087
2,426
10.7
Imperial
Oil
Ltd.
3,533
170,977
10,394
45.9
Intact
Financial
Corp.
514
75,948
(713)
(3.1)
Loblaw
Cos.
Ltd.
1,088
97,630
(322)
(1.4)
Magna
International,
Inc.
1,303
83,653
4,160
18.4
National
Bank
of
Canada
2,296
175,999
(4,698)
(20.8)
Nutrien
Ltd.
753
77,833
4,453
19.7
Pembina
Pipeline
Corp.
3,214
120,755
2,863
12.7
SNC-Lavalin
Group,
Inc.
3,619
87,135
(1,523)
(6.7)
Stantec,
Inc.
1,495
74,992
(1,632)
(7.2)
Suncor
Energy,
Inc.
6,028
196,248
4,280
18.9
TFI
International,
Inc.
668
71,147
5,706
25.2
Thomson
Reuters
Corp.
771
83,708
1,082
4.8
Toromont
Industries
Ltd.
863
81,809
2,046
9.0
Toronto-Dominion
Bank
(The)
1,925
152,734
1,068
4.7
Tourmaline
Oil
Corp.
3,032
139,698
16,754
74.0
Whitecap
Resources,
Inc.
10,443
86,374
8,226
36.4
Chile
Lundin
Mining
Corp.
7,758
78,626
(1,206)
(5.3)
Short
Positions
Common
Stocks
Canada
Air
Canada
(7,648)
(148,353)
(19,849)
(87.7)
Algonquin
Power
&
Utilities
Corp.
(14,880)
(230,791)
(2,100)
(9.3)
Ballard
Power
Systems,
Inc.
(15,012)
(174,719)
2,744
12.1
Bank
of
Nova
Scotia
(The)
(1,304)
(93,460)
2,297
10.2
Barrick
Gold
Corp.
(3,023)
(74,139)
1,185
5.2
BCE,
Inc.
(3,483)
(193,074)
(334)
(1.5)
Boralex,
Inc.
(2,133)
(69,135)
(1,223)
(5.4)
155
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
CAE,
Inc.
(6,553)
(170,567)
3,165
14.0
Canadian
Imperial
Bank
of
Commerce
(1,247)
(151,368)
7,569
33.5
Canadian
Pacific
Railway
Ltd.
(2,622)
(216,404)
(9,055)
(40.0)
Canadian
Utilities
Ltd.
(3,312)
(101,520)
(5,925)
(26.2)
Constellation
Software,
Inc.
(40)
(68,376)
(2,261)
(10.0)
Emera,
Inc.
(3,111)
(154,212)
(3,729)
(16.5)
Fortis,
Inc.
(2,290)
(113,259)
(3,378)
(14.9)
GFL
Environmental,
Inc.
(2,185)
(71,065)
(6,776)
(29.9)
Keyera
Corp.
(2,947)
(74,703)
(3,769)
(16.7)
Lightspeed
Commerce,
Inc.
(2,373)
(72,377)
(15,756)
(69.6)
Northland
Power,
Inc.
(2,123)
(70,577)
97
0.4
Pan
American
Silver
Corp.
(2,591)
(70,715)
671
3.0
Restaurant
Brands
International,
Inc.
(1,632)
(95,350)
479
2.1
Ritchie
Bros
Auctioneers,
Inc.
(1,495)
(88,302)
(5)
(0.0)
Rogers
Communications,
Inc.
(2,701)
(152,880)
(5,560)
(24.6)
Royal
Bank
of
Canada
(956)
(105,254)
135
0.6
Shopify,
Inc.
(198)
(133,906)
(14,965)
(66.1)
SSR
Mining,
Inc.
(3,251)
(70,681)
1,090
4.8
TC
Energy
Corp.
(3,321)
(187,308)
2,121
9.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.07%
to
0.03%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/30/2027
$3,919,153
$(52,060)
$4,959
$(47,101)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
3,038
98,555
(4,436)
9.4
Adecco
Group
AG
(Registered)
1,484
67,317
1,231
(2.6)
Baloise
Holding
AG
(Registered)
341
60,901
5,988
(12.7)
Barry
Callebaut
AG
(Registered)
24
56,267
1,826
(3.9)
Belimo
Holding
AG
(Registered)
77
40,781
3,470
(7.4)
BKW
AG
406
50,852
(536)
1.1
Bucher
Industries
AG
(Registered)
114
46,080
119
(0.3)
Chocoladefabriken
Lindt
&
Spruengli
AG
1
11,902
(181)
0.4
Credit
Suisse
Group
AG
(Registered)
2,594
20,420
423
(0.9)
DKSH
Holding
AG
601
50,618
845
(1.8)
dormakaba
Holding
AG
36
18,465
235
(0.5)
EMS-Chemie
Holding
AG
(Registered)
8
7,774
450
(1.0)
Geberit
AG
(Registered)
191
117,743
3,576
(7.6)
156
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Georg
Fischer
AG
(Registered)
22
26,287
1,087
(2.3)
Julius
Baer
Group
Ltd.
940
54,421
1,601
(3.4)
Kuehne
+
Nagel
International
AG
(Registered)
786
223,168
(2,890)
6.1
Lonza
Group
AG
(Registered)
265
192,020
9,431
(20.0)
Novartis
AG
(Registered)
1,043
91,567
6,098
(12.9)
OC
Oerlikon
Corp.
AG
(Registered)
1,961
15,627
385
(0.8)
Partners
Group
Holding
AG
55
68,101
564
(1.2)
Schindler
Holding
AG
179
38,354
(1,789)
3.8
SGS
SA
(Registered)
7
19,461
454
(1.0)
Swatch
Group
AG
(The)
68
19,280
638
(1.4)
Swiss
Life
Holding
AG
(Registered)
25
16,020
1,715
(3.6)
Swisscom
AG
(Registered)
159
95,528
391
(0.8)
Tecan
Group
AG
(Registered)
58
22,930
(239)
0.5
Temenos
AG
(Registered)
1,530
147,170
3,333
(7.1)
UBS
Group
AG
(Registered)
3,777
73,808
9,554
(20.3)
United
States
Swiss
Re
AG
562
53,499
4,136
(8.8)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(7,688)
(117,680)
(8,077)
17.1
Switzerland
Alcon,
Inc.
(1,064)
(84,296)
(4,087)
8.7
Bachem
Holding
AG
(Registered)
(137)
(75,397)
5,647
(12.0)
Banque
Cantonale
Vaudoise
(Registered)
(577)
(49,921)
(3,864)
8.2
Cie
Financiere
Richemont
SA
(351)
(44,491)
(1,336)
2.8
Dufry
AG
(Registered)
(5,494)
(231,175)
(9,572)
20.3
Flughafen
Zurich
AG
(Registered)
(558)
(100,154)
(6,578)
14.0
Givaudan
SA
(Registered)
(68)
(281,040)
(13,601)
28.9
Helvetia
Holding
AG
(Registered)
(295)
(38,513)
(4,197)
8.9
Holcim
Ltd.
(1,490)
(72,469)
(188)
0.4
Idorsia
Ltd.
(7,381)
(147,446)
(8,814)
18.7
Logitech
International
SA
(Registered)
(811)
(60,283)
(755)
1.6
Nestle
SA
(Registered)
(1,929)
(250,806)
(10,077)
21.4
Roche
Holding
AG
(240)
(94,959)
(2,969)
6.3
SIG
Combibloc
Group
AG
(5,217)
(131,520)
(9,765)
20.7
Sika
AG
(Registered)
(421)
(139,289)
(7,516)
16.0
Sonova
Holding
AG
(Registered)
(216)
(90,231)
(10,496)
22.3
Straumann
Holding
AG
(Registered)
(8)
(12,774)
(1,163)
2.5
Sulzer
AG
(Registered)
(371)
(30,817)
(2,321)
4.9
Vifor
Pharma
AG
(342)
(60,976)
190
(0.4)
157
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Denmark
Tomorrow/Next
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/31/2027
$1,427,660
$4,441
$24,492
$28,933
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
113
339,561
(11,596)
(40.1)
Carlsberg
A/S
816
100,173
95
0.3
Danske
Bank
A/S
3,175
52,816
(1,786)
(6.2)
DSV
A/S
248
47,531
3,313
11.5
Genmab
A/S
40
14,446
336
1.2
H
Lundbeck
A/S
358
8,249
(284)
(1.0)
ISS
A/S
3,452
61,347
1,519
5.2
Jyske
Bank
A/S
(Registered)
230
12,502
865
3.0
Novo
Nordisk
A/S
512
56,789
959
3.3
Pandora
A/S
261
24,864
1,602
5.5
Royal
Unibrew
A/S
400
37,370
21
0.1
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(544)
(8,008)
887
3.1
Chr
Hansen
Holding
A/S
(569)
(41,780)
(2,169)
(7.5)
Demant
A/S
(994)
(44,983)
(6,066)
(21.0)
GN
Store
Nord
A/S
(766)
(37,547)
255
0.9
Novozymes
A/S
(829)
(56,840)
(6,893)
(23.8)
Orsted
A/S
(201)
(25,159)
1,324
4.6
ROCKWOOL
International
A/S
(300)
(99,033)
3,126
10.8
SimCorp
A/S
(1,175)
(86,163)
7,808
27.0
Tryg
A/S
(2,815)
(68,446)
(9,139)
(31.6)
Vestas
Wind
Systems
A/S
(6,956)
(204,053)
20,264
70.0
158
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.10%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/30/2027
$17,440,792
$30,212
$14,012
$44,224
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nokian
Renkaat
OYJ
7,872
127,761
(17,949)
(40.6)
France
Atos
SE
4,042
110,373
(8,042)
(18.2)
Cie
de
Saint-Gobain
2,187
130,127
(2,807)
(6.3)
Hermes
International
85
120,305
7,413
16.8
LVMH
Moet
Hennessy
Louis
Vuitton
SE
286
204,147
12,781
28.9
Orange
SA
19,380
229,484
3,551
8.0
Renault
SA
4,742
123,956
(1,590)
(3.6)
Sanofi
1,081
110,521
(2,110)
(4.8)
TotalEnergies
SE
2,602
131,660
(2,287)
(5.2)
Vinci
SA
1,113
113,718
391
0.9
Germany
Bayerische
Motoren
Werke
AG
2,298
198,588
3,156
7.1
Deutsche
Bank
AG
(Registered)
9,168
115,464
10,597
24.0
Deutsche
Post
AG
(Registered)
2,908
138,862
(5,052)
(11.4)
Merck
KGaA
575
120,080
6,029
13.6
Uniper
SE
4,410
113,929
1,001
2.3
Italy
Buzzi
Unicem
SpA
6,637
122,819
(3,552)
(8.0)
Eni
SpA
13,688
199,615
1,069
2.4
Luxembourg
ArcelorMittal
SA
4,288
137,362
3,845
8.7
Eurofins
Scientific
SE
1,296
128,204
6,871
15.5
Netherlands
ASML
Holding
NV
294
196,457
15,202
34.4
ASR
Nederland
NV
3,270
152,663
10,909
24.7
Koninklijke
Ahold
Delhaize
NV
5,509
177,200
6,205
14.0
OCI
NV
3,463
122,259
16,294
36.8
Spain
Acerinox
SA
10,678
116,959
1,547
3.5
Repsol
SA
18,818
246,501
5,297
12.0
159
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
China
Prosus
NV
(5,411)
(291,804)
24,330
55.0
Finland
UPM-Kymmene
OYJ
(3,885)
(126,865)
(4,764)
(10.8)
France
Air
Liquide
SA
(982)
(171,795)
(9,459)
(21.4)
Alstom
SA
(6,951)
(162,646)
(3,640)
(8.2)
L'Oreal
SA
(593)
(236,871)
(2,381)
(5.4)
Safran
SA
(1,092)
(128,567)
(2,349)
(5.3)
Germany
Allianz
SE
(Registered)
(762)
(181,972)
(1,244)
(2.8)
Deutsche
Telekom
AG
(Registered)
(12,304)
(229,151)
(4,888)
(11.1)
Fresenius
Medical
Care
AG
&
Co.
KGaA
(4,343)
(291,028)
(13,403)
(30.3)
Hannover
Rueck
SE
(684)
(116,197)
(1,354)
(3.1)
Siemens
AG
(Registered)
(1,360)
(188,316)
3,918
8.9
Italy
Intesa
Sanpaolo
SpA
(58,348)
(133,545)
1,194
2.7
Nexi
SpA
(14,724)
(169,911)
2,016
4.6
Netherlands
ABN
AMRO
Bank
NV
(11,380)
(145,321)
(2,991)
(6.8)
Argenx
SE
(397)
(124,210)
(13,375)
(30.2)
Portugal
EDP
-
Energias
de
Portugal
SA
(28,795)
(141,726)
(4,028)
(9.1)
Saudi
Arabia
Delivery
Hero
SE
(3,916)
(170,674)
18,264
41.3
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(5,485)
(147,873)
(9,950)
(22.5)
Aena
SME
SA
(806)
(134,360)
(14,547)
(32.9)
Amadeus
IT
Group
SA
(3,153)
(205,002)
(17,260)
(39.0)
CaixaBank
SA
(37,969)
(128,786)
5,040
11.4
Cellnex
Telecom
SA
(2,502)
(120,407)
(5,589)
(12.6)
Ferrovial
SA
(5,190)
(138,027)
826
1.9
United
Kingdom
CNH
Industrial
NV
(10,148)
(159,839)
(6,450)
(14.6)
United
States
Schneider
Electric
SE
(1,698)
(285,078)
(4,878)
(11.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.03%
to
0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/18/2027
$5,521,506
$(15,177)
$29,435
$14,258
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
160
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
19,615
127,629
6,626
46.5
Rio
Tinto
plc
3,284
262,545
12,070
84.7
Chile
Antofagasta
plc
3,222
70,011
6,627
46.5
Netherlands
Shell
plc
7,095
194,465
7,766
54.5
South
Africa
Anglo
American
plc
2,078
107,978
5,599
39.3
United
Kingdom
Ashtead
Group
plc
645
40,612
(963)
(6.8)
Aviva
plc
8,174
48,365
4,346
30.5
Barclays
plc
45,779
88,742
(8,583)
(60.2)
BP
plc
26,043
127,673
2,320
16.3
British
American
Tobacco
plc
2,592
108,857
4,426
31.0
Diageo
plc
2,358
119,609
7,924
55.6
DS
Smith
plc
10,362
43,580
504
3.5
Howden
Joinery
Group
plc
6,053
60,682
(593)
(4.2)
Inchcape
plc
5,161
45,160
(2,228)
(15.6)
Johnson
Matthey
plc
2,504
61,240
(429)
(3.0)
Lloyds
Banking
Group
plc
76,475
46,571
(5,799)
(40.7)
M&G
plc
20,483
59,018
218
1.5
Man
Group
plc
30,184
92,110
13,529
94.9
National
Grid
plc
5,034
77,364
2,687
18.8
NatWest
Group
plc
25,410
71,766
(555)
(3.9)
Rotork
plc
10,272
43,738
2,291
16.1
Royal
Mail
plc
13,099
56,282
(3,623)
(25.4)
Spectris
plc
1,748
59,283
(1,391)
(9.8)
Spirax-Sarco
Engineering
plc
336
54,930
4,910
34.4
SSE
plc
2,954
67,496
2,310
16.2
Travis
Perkins
plc
3,132
50,506
(2,158)
(15.1)
Unilever
plc
2,505
113,734
717
5.0
Vodafone
Group
plc
39,768
65,211
1,702
11.9
United
States
GlaxoSmithKline
plc
2,467
53,378
2,995
21.0
Short
Positions
Common
Stocks
United
Kingdom
ASOS
plc
(4,621)
(97,220)
7,637
53.6
AstraZeneca
plc
(2,951)
(391,341)
(37,718)
(264.5)
AVEVA
Group
plc
(4,826)
(154,146)
9,025
63.3
BAE
Systems
plc
(7,634)
(71,694)
744
5.2
boohoo
Group
plc
(71,405)
(82,722)
(8,652)
(60.7)
BT
Group
plc
(39,828)
(94,962)
(5,451)
(38.2)
Compass
Group
plc
(3,533)
(76,030)
(366)
(2.6)
Croda
International
plc
(1,032)
(106,164)
(9,419)
(66.1)
Dechra
Pharmaceuticals
plc
(799)
(42,421)
(190)
(1.3)
easyJet
plc
(10,035)
(72,801)
(5,065)
(35.5)
Informa
plc
(12,032)
(94,271)
(2,360)
(16.6)
Investec
plc
(8,455)
(55,934)
(6,332)
(44.4)
Ocado
Group
plc
(15,073)
(230,159)
5,025
35.2
Prudential
plc
(4,252)
(62,773)
(483)
(3.4)
Reckitt
Benckiser
Group
plc
(1,312)
(100,087)
998
7.0
Rentokil
Initial
plc
(7,063)
(48,653)
(4,988)
(35.0)
161
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Severn
Trent
plc
(3,362)
(135,503)
(7,755)
(54.4)
Taylor
Wimpey
plc
(44,793)
(76,279)
2,542
17.8
United
Utilities
Group
plc
(2,943)
(43,337)
(1,690)
(11.9)
Weir
Group
plc
(The)
(2,174)
(46,393)
6,560
46.0
Whitbread
plc
(2,325)
(86,568)
(5,337)
(37.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-0.13%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/18/2027
$1,285,536
$(18,099)
$(2,536)
$(20,635)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
29,500
111,002
10,468
(50.7)
SITC
International
Holdings
Co.
Ltd.
30,000
104,901
(10,544)
51.1
Hong
Kong
ASM
Pacific
Technology
Ltd.
12,000
120,809
5,081
(24.6)
CLP
Holdings
Ltd.
1,500
14,595
(236)
1.1
HKT
Trust
&
HKT
Ltd.
9,000
12,340
323
(1.6)
Hong
Kong
&
China
Gas
Co.
Ltd.
33,000
39,861
(8,084)
39.2
Kerry
Properties
Ltd.
2,500
7,043
326
(1.6)
New
World
Development
Co.
Ltd.
2,000
8,114
507
(2.5)
Sun
Hung
Kai
Properties
Ltd.
1,500
17,846
896
(4.3)
Swire
Properties
Ltd.
10,200
25,206
79
(0.4)
Xinyi
Glass
Holdings
Ltd.
6,000
14,386
250
(1.2)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
8,500
62,155
4,770
(23.1)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(32,600)
(86,085)
6,926
(33.6)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(35,600)
(64,298)
811
(3.9)
ESR
Cayman
Ltd.
(18,200)
(56,400)
(3,472)
16.8
Hong
Kong
Hang
Lung
Properties
Ltd.
(11,000)
(22,171)
154
(0.7)
Henderson
Land
Development
Co.
Ltd.
(6,000)
(24,906)
(859)
4.2
Man
Wah
Holdings
Ltd.
(9,600)
(10,385)
(1,321)
6.4
MTR
Corp.
Ltd.
(21,000)
(113,091)
(5,865)
28.4
162
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
(continued)
Power
Assets
Holdings
Ltd.
(1,500)
(9,776)
(96)
0.5
Techtronic
Industries
Co.
Ltd.
(12,000)
(192,258)
(1,878)
9.1
WH
Group
Ltd.
(55,500)
(34,852)
1,066
(5.2)
Wharf
Real
Estate
Investment
Co.
Ltd.
(10,000)
(49,423)
(6,541)
31.7
Macau
Galaxy
Entertainment
Group
Ltd.
(9,000)
(53,256)
(6,341)
30.7
SJM
Holdings
Ltd.
(17,000)
(8,347)
(1,718)
8.3
Wynn
Macau
Ltd.
(30,400)
(22,030)
(2,801)
13.6
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.05%
to
0.03%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
09/21/2026
-
03/18/2027
$2,691,567
$13,962
$10,979
$24,941
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
974
10,024
(1,209)
(4.8)
Sweden
Axfood
AB
1,845
60,085
11,120
44.6
BillerudKorsnas
AB
5,879
87,121
6,250
25.1
Boliden
AB
1,472
74,255
6,641
26.6
Electrolux
AB
679
10,275
(969)
(3.9)
Elekta
AB
1,373
10,814
(357)
(1.4)
Getinge
AB
2,854
113,700
9,882
39.6
H
&
M
Hennes
&
Mauritz
AB
6,956
93,403
(14,715)
(59.0)
Hexpol
AB
2,845
27,769
(1,222)
(4.9)
Husqvarna
AB
2,293
23,920
(2,735)
(11.0)
Indutrade
AB
1,674
42,100
6,407
25.7
Lifco
AB
1,060
26,909
1,953
7.8
Saab
AB
2,697
97,415
8,158
32.7
Securitas
AB
8,689
98,023
(6,743)
(27.0)
Skanska
AB
888
19,867
(667)
(2.7)
SKF
AB
378
6,164
(393)
(1.6)
SSAB
AB
15,362
102,289
9,614
38.5
Svenska
Cellulosa
AB
SCA
2,016
39,146
4,888
19.6
Svenska
Handelsbanken
AB
4,435
40,782
(756)
(3.0)
Swedbank
AB
3,142
46,928
(728)
(2.9)
Swedish
Match
AB
4,168
31,344
339
1.4
Tele2
AB
2,397
36,233
4,051
16.2
Telefonaktiebolaget
LM
Ericsson
14,630
133,360
4,884
19.6
163
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Telia
Co.
AB
28,111
112,717
5,066
20.3
Trelleborg
AB
1,771
41,003
5,204
20.9
Volvo
AB
4,236
79,024
(137)
(0.6)
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(1,709)
(43,386)
(2,252)
(9.0)
Sweden
AAK
AB
(2,664)
(49,371)
(2,686)
(10.8)
Alfa
Laval
AB
(1,366)
(46,987)
(590)
(2.4)
Assa
Abloy
AB
(3,059)
(82,225)
1,879
7.5
Atlas
Copco
AB
(332)
(17,233)
(379)
(1.5)
Beijer
Ref
AB
(3,093)
(56,019)
(7,121)
(28.6)
Embracer
Group
AB
(12,492)
(104,273)
(5,704)
(22.9)
Epiroc
AB
(3,204)
(68,530)
(1,668)
(6.7)
EQT
AB
(2,827)
(110,248)
(24,153)
(96.8)
Essity
AB
(5,558)
(131,163)
3,849
15.4
Evolution
AB
(150)
(15,260)
278
1.1
Hexagon
AB
(13,092)
(183,429)
(10,585)
(42.4)
Holmen
AB
(1,468)
(81,942)
(4,464)
(17.9)
Nibe
Industrier
AB
(3,841)
(42,576)
(2,307)
(9.2)
Sandvik
AB
(3,654)
(77,621)
2,674
10.7
Sinch
AB
(9,740)
(66,061)
13,700
54.9
Skandinaviska
Enskilda
Banken
AB
(3,699)
(39,989)
74
0.3
Sweco
AB
(728)
(10,584)
(409)
(1.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-1.00%
to
0.30%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-13
months
maturity
ranging
from
10/19/2022
-
05/02/2023
$15,053,722
$(22,380)
$25,707
$3,327
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Asics
Corp.
6,000
115,781
6,145
184.7
Dai-ichi
Life
Holdings,
Inc.
4,200
85,347
(623)
(18.7)
Disco
Corp.
300
83,891
6,317
189.9
Hoya
Corp.
900
102,562
505
15.2
Inpex
Corp.
11,800
138,737
11,101
333.7
164
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Japan
Post
Insurance
Co.
Ltd.
5,300
92,300
179
5.4
Japan
Tobacco,
Inc.
8,800
150,283
3,437
103.3
Kyushu
Electric
Power
Co.,
Inc.
13,300
89,049
(5,773)
(173.5)
MISUMI
Group,
Inc.
4,000
119,083
(2,940)
(88.4)
Mitsubishi
Electric
Corp.
12,100
138,773
1,599
48.0
Mitsui
&
Co.
Ltd.
3,300
89,579
5,436
163.4
Murata
Manufacturing
Co.
Ltd.
1,400
92,222
2,084
62.6
Nabtesco
Corp.
4,600
121,452
3,556
106.9
Olympus
Corp.
5,100
96,658
4,894
147.1
Recruit
Holdings
Co.
Ltd.
4,300
186,822
899
27.0
Shimadzu
Corp.
2,800
96,305
4,761
143.1
Sumitomo
Corp.
5,600
96,984
4,147
124.6
Takeda
Pharmaceutical
Co.
Ltd.
3,000
85,477
(1,229)
(36.9)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
25,600
84,505
7,350
220.9
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(5,200)
(110,877)
3,295
99.0
Bridgestone
Corp.
(3,200)
(124,211)
(6,398)
(192.3)
Central
Japan
Railway
Co.
(1,000)
(130,393)
2,902
87.2
Concordia
Financial
Group
Ltd.
(25,600)
(95,274)
3,652
109.8
East
Japan
Railway
Co.
(2,200)
(127,331)
(3,594)
(108.0)
Fast
Retailing
Co.
Ltd.
(200)
(102,531)
(4,173)
(125.4)
Honda
Motor
Co.
Ltd.
(6,000)
(170,075)
(4,385)
(131.8)
Isuzu
Motors
Ltd.
(9,000)
(116,262)
2,840
85.4
ITOCHU
Corp.
(5,400)
(182,660)
(6,306)
(189.6)
Japan
Airlines
Co.
Ltd.
(6,300)
(117,453)
(889)
(26.7)
KDDI
Corp.
(4,100)
(134,425)
(811)
(24.4)
Kobe
Bussan
Co.
Ltd.
(2,900)
(89,247)
1,108
33.3
Kubota
Corp.
(4,700)
(88,098)
(4,167)
(125.2)
Lasertec
Corp.
(1,400)
(232,910)
(13,419)
(403.4)
Mercari,
Inc.
(3,300)
(85,186)
(1,994)
(59.9)
MonotaRO
Co.
Ltd.
(5,200)
(111,604)
(1,395)
(41.9)
Nidec
Corp.
(1,100)
(86,881)
(290)
(8.7)
Nippon
Paint
Holdings
Co.
Ltd.
(12,000)
(105,136)
133
4.0
Nitori
Holdings
Co.
Ltd.
(800)
(100,650)
8,941
268.8
Oriental
Land
Co.
Ltd.
(1,500)
(287,108)
(3,115)
(93.6)
Rakuten
Group,
Inc.
(16,700)
(131,308)
(41)
(1.2)
Sekisui
House
Ltd.
(4,900)
(94,782)
1,098
33.0
Seven
&
i
Holdings
Co.
Ltd.
(6,200)
(295,599)
(12,504)
(375.8)
SMC
Corp.
(200)
(111,799)
(1,380)
(41.5)
SoftBank
Corp.
(13,400)
(156,286)
8,758
263.2
Sony
Group
Corp.
(1,100)
(113,163)
(2,334)
(70.1)
Sumitomo
Mitsui
Financial
Group,
Inc.
(3,100)
(97,924)
9,451
284.1
Tokyo
Electron
Ltd.
(300)
(154,068)
(11,545)
(347.0)
Toyota
Motor
Corp.
(14,700)
(265,159)
(19,272)
(579.2)
Yaskawa
Electric
Corp.
(2,300)
(89,642)
(1,106)
(33.3)
Z
Holdings
Corp.
(19,800)
(85,597)
357
10.7
165
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-7.45%
to
0.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-13
months
maturity
ranging
from
10/19/2022
-
04/26/2023
$68,544,077
$(439,315)
$(92,624)
$(531,939)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Abbott
Laboratories
1,934
228,908
(5,137)
1.0
Alphabet,
Inc.
65
180,788
3,473
(0.7)
Apple,
Inc.
1,093
190,849
11,440
(2.2)
Autodesk,
Inc.
947
202,989
2,557
(0.5)
Boeing
Co.
(The)
1,155
221,182
1,513
(0.3)
Bristol-Myers
Squibb
Co.
2,374
173,373
5,959
(1.1)
DuPont
de
Nemours,
Inc.
2,626
193,221
(5,856)
1.1
Emerson
Electric
Co.
2,274
222,966
5,821
(1.1)
EOG
Resources,
Inc.
1,441
171,810
1,960
(0.4)
Gartner,
Inc.
705
209,709
5,192
(1.0)
Gilead
Sciences,
Inc.
3,050
181,322
763
(0.1)
Halliburton
Co.
4,958
187,759
9,817
(1.8)
International
Paper
Co.
4,128
190,507
4,871
(0.9)
IQVIA
Holdings,
Inc.
1,099
254,100
8,759
(1.6)
Johnson
&
Johnson
1,536
272,225
660
(0.1)
KLA
Corp.
582
213,047
7,828
(1.5)
McDonald's
Corp.
1,306
322,948
12,749
(2.4)
Medtronic
plc
1,511
167,645
1,828
(0.3)
Meta
Platforms,
Inc.
784
174,330
11,384
(2.1)
Microchip
Technology,
Inc.
2,518
189,203
(705)
0.1
Microsoft
Corp.
1,058
326,192
11,660
(2.2)
Pfizer,
Inc.
6,551
339,145
(16,181)
3.0
SS&C
Technologies
Holdings,
Inc.
2,671
200,378
(9,135)
1.7
UnitedHealth
Group,
Inc.
575
293,233
1,769
(0.3)
Verizon
Communications,
Inc.
4,117
209,720
(5,846)
1.1
Short
Positions
Common
Stocks
Taiwan
Sea
Ltd.,
ADR
(1,430)
(171,300)
(7,951)
1.5
United
States
American
Express
Co.
(1,455)
(272,085)
(44)
0.0
Amgen,
Inc.
(847)
(204,822)
(5,048)
0.9
Atmos
Energy
Corp.
(1,555)
(185,807)
(7,806)
1.5
BorgWarner,
Inc.
(4,712)
(183,297)
(2,629)
0.5
CarMax,
Inc.
(1,834)
(176,944)
12,497
(2.3)
166
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Caterpillar,
Inc.
(778)
(173,354)
(871)
0.2
Dollar
General
Corp.
(821)
(182,779)
(566)
0.1
General
Mills,
Inc.
(3,033)
(205,395)
(13,649)
2.6
Hewlett
Packard
Enterprise
Co.
(14,923)
(249,363)
740
(0.1)
Hormel
Foods
Corp.
(4,736)
(244,093)
(8,714)
1.6
Illinois
Tool
Works,
Inc.
(1,526)
(319,544)
3,021
(0.6)
Insulet
Corp.
(738)
(196,596)
(13,373)
2.5
Jazz
Pharmaceuticals
plc
(1,182)
(184,002)
2,275
(0.4)
McCormick
&
Co.,
Inc.
(Non-Voting)
(1,942)
(193,812)
(5,651)
1.1
MillerKnoll,
Inc.
(6,348)
(219,387)
2,610
(0.5)
Norwegian
Cruise
Line
Holdings
Ltd.
(8,234)
(180,160)
(18,126)
3.4
PepsiCo,
Inc.
(1,155)
(193,324)
(7,438)
1.4
Performance
Food
Group
Co.
(3,645)
(185,567)
2,129
(0.4)
Progressive
Corp.
(The)
(1,556)
(177,368)
(6,955)
1.3
Stanley
Black
&
Decker,
Inc.
(1,427)
(199,480)
11,532
(2.2)
STERIS
plc
(1,043)
(252,166)
(10,180)
1.9
Sysco
Corp.
(2,434)
(198,736)
(4,625)
0.9
T-Mobile
US,
Inc.
(2,054)
(263,631)
1,232
(0.2)
Visa,
Inc.
(770)
(170,763)
(6,406)
1.2
167
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
128.0%
COMMON
STOCKS
-
55.0%
Australia
-
1.3%
Ampol
Ltd.
(2)
1,485
33,736
Aristocrat
Leisure
Ltd.
(2)(a)
3,313
89,921
Aurizon
Holdings
Ltd.
(2)
75,327
207,048
Australia
&
New
Zealand
Banking
Group
Ltd.
(2)
2,347
48,092
BHP
Group
Ltd.
(2)(a)
4,720
181,944
BlueScope
Steel
Ltd.
(2)
17,250
268,240
Boral
Ltd.
(2)
2,490
6,422
Brambles
Ltd.
(2)(a)
1,554
11,468
carsales.com
Ltd.
(2)
760
11,766
CSL
Ltd.
(2)(a)
173
34,538
Harvey
Norman
Holdings
Ltd.
(2)
24,069
95,915
Incitec
Pivot
Ltd.
(2)
39,147
110,814
JB
Hi-Fi
Ltd.
(2)
5,729
231,568
Magellan
Financial
Group
Ltd.
(2)
3,981
47,095
Origin
Energy
Ltd.
(2)
1,384
6,442
QBE
Insurance
Group
Ltd.
(2)
2,690
23,068
Rio
Tinto
plc
(2)(a)
2,435
194,670
Sonic
Healthcare
Ltd.
(2)
2,862
75,563
South32
Ltd.
(2)
38,696
147,094
Suncorp
Group
Ltd.
(2)
4,894
40,570
Telstra
Corp.
Ltd.
(2)
5,813
17,174
Woodside
Petroleum
Ltd.
(2)
1,828
43,929
Worley
Ltd.
(2)
1,061
10,250
1,937,327
Austria
-
0.0%
(b)
Mondi
plc
(2)
332
6,453
Belgium
-
0.2%
Ageas
SA/NV
(2)
1,598
80,784
Etablissements
Franz
Colruyt
NV
(2)
858
35,516
Proximus
SADP
(2)
6,952
129,456
Umicore
SA
(2)
1,014
43,833
289,589
Brazil
-
0.1%
Yara
International
ASA
(2)
3,907
195,383
Canada
-
2.9%
Agnico
Eagle
Mines
Ltd.
(a)
314
19,214
AltaGas
Ltd.
395
8,847
Bank
of
Montreal
(a)
53
6,237
Bank
of
Nova
Scotia
(The)
(a)
489
35,047
Barrick
Gold
Corp.
(a)
5,936
145,581
Canadian
National
Railway
Co.
(a)
534
71,633
Canadian
Natural
Resources
Ltd.
3,075
190,406
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
1,109
167,448
Cenovus
Energy,
Inc.
1,336
22,271
CGI,
Inc.
*
1,459
116,228
Empire
Co.
Ltd.,
Class
A
357
12,662
Enbridge,
Inc.
(a)
616
28,357
Fairfax
Financial
Holdings
Ltd.
496
270,597
Gildan
Activewear,
Inc.
1,324
49,660
IGM
Financial,
Inc.
839
29,643
Imperial
Oil
Ltd.
5,085
246,084
INVESTMENTS
SHARES
VALUE
($)
Canada
-
2.9%
(continued)
Intact
Financial
Corp.
85
12,559
Kinross
Gold
Corp.
48,704
285,956
Loblaw
Cos.
Ltd.
964
86,503
Magna
International,
Inc.
1,815
116,524
Manulife
Financial
Corp.
14,699
313,463
National
Bank
of
Canada
149
11,422
Nutrien
Ltd.
(a)
65
6,719
Nuvei
Corp.
*(c)
138
10,376
Onex
Corp.
5,835
391,038
Open
Text
Corp.
1,705
72,297
Parkland
Corp.
2,113
62,487
Pembina
Pipeline
Corp.
481
18,072
Quebecor,
Inc.,
Class
B
3,676
87,625
Ritchie
Bros
Auctioneers,
Inc.
(a)
1,598
94,386
Shaw
Communications,
Inc.,
Class
B
964
29,919
Shopify,
Inc.,
Class
A
*(a)
82
55,456
Suncor
Energy,
Inc.
16,453
535,644
TC
Energy
Corp.
152
8,573
Teck
Resources
Ltd.,
Class
B
2,334
94,245
TFI
International,
Inc.
(a)
437
46,544
Thomson
Reuters
Corp.
(a)
525
57,000
Toromont
Industries
Ltd.
1,601
151,769
Toronto-Dominion
Bank
(The)
(a)
555
44,035
Tourmaline
Oil
Corp.
872
40,177
West
Fraser
Timber
Co.
Ltd.
1,303
107,208
4,159,912
Chile
-
0.0%
(b)
Lundin
Mining
Corp.
2,630
26,654
China
-
0.1%
BOC
Hong
Kong
Holdings
Ltd.
(2)
2,000
7,526
NXP
Semiconductors
NV
343
63,482
SITC
International
Holdings
Co.
Ltd.
(2)
29,000
101,405
172,413
Denmark
-
0.4%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
120
360,596
Genmab
A/S
(2)*
218
78,731
H
Lundbeck
A/S
(2)
375
8,640
ISS
A/S
(2)*
3,710
65,933
Novo
Nordisk
A/S,
Class
B
(2)(a)
521
57,787
Pandora
A/S
(2)
451
42,964
614,651
Finland
-
0.2%
Huhtamaki
OYJ
(2)
626
21,777
Neste
OYJ
(2)
1,858
84,712
Nokia
OYJ
(2)*
10,568
58,198
Nokian
Renkaat
OYJ
(2)
5,926
96,179
260,866
France
-
1.4%
Airbus
SE
(2)*(a)
537
64,799
Atos
SE
(2)
4,169
113,841
AXA
SA
(2)
1,278
37,413
BioMerieux
(2)
103
10,993
BNP
Paribas
SA
(2)
836
47,773
168
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
1.4%
(continued)
Bouygues
SA
(2)
1,573
54,904
Carrefour
SA
(2)
11,675
254,072
Casino
Guichard
Perrachon
SA
(2)*
604
11,120
Cie
de
Saint-Gobain
(2)(a)
3,460
205,871
CNP
Assurances
(2)
875
21,065
Eiffage
SA
(2)
152
15,600
Electricite
de
France
SA
(2)
3,532
33,152
Eutelsat
Communications
SA
(2)
6,108
66,351
Ipsen
SA
(2)
1,024
128,179
La
Francaise
des
Jeux
SAEM
(2)(c)
767
30,429
Orange
SA
(2)
12,469
147,649
Publicis
Groupe
SA
(2)
1,843
111,858
Renault
SA
(2)*
692
18,089
Rexel
SA
(2)*
6,810
145,379
Rubis
SCA
(2)
2,075
60,990
Sanofi
(2)(a)
836
85,472
SEB
SA
(2)(a)
994
138,624
Societe
BIC
SA
(2)
546
27,586
Sodexo
SA
(2)
322
26,203
Thales
SA
(2)(a)
122
15,279
TotalEnergies
SE
(2)(a)
2,730
138,137
2,010,828
Germany
-
1.3%
Allianz
SE
(Registered)
(2)(a)
415
99,105
Aurubis
AG
(2)
1,392
165,706
BASF
SE
(2)(a)
1,883
107,445
Bayer
AG
(Registered)
(2)
502
34,336
Bayerische
Motoren
Werke
AG
(2)
1,077
93,072
Brenntag
SE
(2)
472
38,058
Covestro
AG
(2)(c)
1,294
65,160
Deutsche
Bank
AG
(Registered)
(2)*
18,575
233,937
Deutsche
Post
AG
(Registered)
(2)
(a)
4,412
210,681
Freenet
AG
(2)
926
24,781
GEA
Group
AG
(2)
1,433
58,735
HelloFresh
SE
(2)*
618
27,738
HOCHTIEF
AG
(2)
978
65,881
METRO
AG
(2)
8,552
75,799
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)
324
86,618
ProSiebenSat.1
Media
SE
(2)
8,038
102,386
Rheinmetall
AG
(2)
288
60,874
SAP
SE
(2)(a)
1,733
192,065
Uniper
SE
(2)
575
14,855
Volkswagen
AG
(Preference)
(2)(a)
306
52,587
1,809,819
Hong
Kong
-
0.3%
CK
Asset
Holdings
Ltd.
(2)
1,915
13,090
CLP
Holdings
Ltd.
(2)
2,500
24,325
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
800
37,499
Sun
Hung
Kai
Properties
Ltd.
(2)
17,000
202,257
Swire
Pacific
Ltd.,
Class
A
(2)
10,000
60,811
WH
Group
Ltd.
(2)(c)
74,500
46,783
INVESTMENTS
SHARES
VALUE
($)
Hong
Kong
-
0.3%
(continued)
Xinyi
Glass
Holdings
Ltd.
(2)
32,000
76,725
461,490
Italy
-
0.6%
Banco
BPM
SpA
(2)
4,531
13,347
Buzzi
Unicem
SpA
(2)
7,283
134,773
Enel
SpA
(2)(a)
1,952
13,033
Eni
SpA
(2)
19,480
284,080
Italgas
SpA
(2)
1,537
9,861
Leonardo
SpA
(2)*
8,615
85,609
Mediobanca
Banca
di
Credito
Finanziario
SpA
(2)
9,042
91,374
Poste
Italiane
SpA
(2)(c)
687
7,791
Prysmian
SpA
(2)
445
15,102
Telecom
Italia
SpA
(2)
9,170
3,367
UniCredit
SpA
(2)
8,440
91,049
Unipol
Gruppo
SpA
(2)
22,837
125,260
874,646
Japan
-
3.3%
Advantest
Corp.
(2)
200
15,615
AGC,
Inc.
(2)
600
23,973
Aisin
Corp.
(2)
800
27,342
Alfresa
Holdings
Corp.
(2)
1,500
20,792
Amada
Co.
Ltd.
(2)
2,400
21,100
Asics
Corp.
(2)
1,300
25,086
BIPROGY,
Inc.
(2)
1,300
32,982
Brother
Industries
Ltd.
(2)
3,500
63,649
Chugai
Pharmaceutical
Co.
Ltd.
(2)
400
13,347
COMSYS
Holdings
Corp.
(2)
400
8,710
CyberAgent,
Inc.
(2)
3,700
45,786
Dai-ichi
Life
Holdings,
Inc.
(2)
4,200
85,347
Dentsu
Group,
Inc.
(2)
300
12,260
Eisai
Co.
Ltd.
(2)
200
9,266
ENEOS
Holdings,
Inc.
(2)
14,900
55,707
Food
&
Life
Cos.
Ltd.
(2)
1,300
36,260
Fujitsu
Ltd.
(2)(a)
200
29,965
Fukuoka
Financial
Group,
Inc.
(2)
700
13,507
Haseko
Corp.
(2)
2,200
25,269
Hino
Motors
Ltd.
(2)
1,100
6,430
Hirose
Electric
Co.
Ltd.
(2)
100
14,495
Hitachi
Transport
System
Ltd.
(2)
900
49,377
Honda
Motor
Co.
Ltd.
(2)
1,100
31,180
Idemitsu
Kosan
Co.
Ltd.
(2)
300
8,270
Iida
Group
Holdings
Co.
Ltd.
(2)
3,700
63,791
Inpex
Corp.
(2)
11,300
132,858
Japan
Post
Holdings
Co.
Ltd.
(2)
6,200
45,534
Japan
Post
Insurance
Co.
Ltd.
(2)
7,800
135,839
Japan
Tobacco,
Inc.
(2)
2,300
39,278
JFE
Holdings,
Inc.
(2)
4,000
55,977
JTEKT
Corp.
(2)
3,000
23,471
Kajima
Corp.
(2)
10,800
131,401
Kamigumi
Co.
Ltd.
(2)
5,500
98,728
Kawasaki
Kisen
Kaisha
Ltd.
(2)
1,000
65,091
Kinden
Corp.
(2)
3,000
38,665
Kuraray
Co.
Ltd.
(2)
2,100
18,077
Marubeni
Corp.
(2)
9,600
111,477
Mazda
Motor
Corp.
(2)
16,400
120,550
McDonald's
Holdings
Co.
Japan
Ltd.
(2)
200
8,317
169
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
3.3%
(continued)
Mitsubishi
Electric
Corp.
(2)(a)
3,500
40,141
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)
1,100
18,621
Mitsubishi
HC
Capital,
Inc.
(2)
4,700
21,839
Mitsui
Chemicals,
Inc.
(2)
1,900
47,765
Mitsui
OSK
Lines
Ltd.
(2)(a)
1,200
33,335
Miura
Co.
Ltd.
(2)
300
7,392
Mizuho
Financial
Group,
Inc.
(2)
21,100
269,139
Nabtesco
Corp.
(2)
1,700
44,884
NGK
Insulators
Ltd.
(2)
800
11,412
NGK
Spark
Plug
Co.
Ltd.
(2)
4,500
72,454
Nikon
Corp.
(2)
1,800
19,220
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)
1,500
103,051
Nippon
Steel
Corp.
(2)
10,200
179,976
Nippon
Telegraph
&
Telephone
Corp.
(2)(a)
3,700
107,499
Nippon
Yusen
KK
(2)(a)
700
61,232
Nitto
Denko
Corp.
(2)
1,100
78,857
NOF
Corp.
(2)
200
8,172
Nomura
Holdings,
Inc.
(2)
10,100
42,478
Obayashi
Corp.
(2)
20,000
146,796
Ono
Pharmaceutical
Co.
Ltd.
(2)
1,000
25,065
ORIX
Corp.
(2)
500
9,966
Panasonic
Holdings
Corp.
(2)(a)
1,000
9,712
Recruit
Holdings
Co.
Ltd.
(2)(a)
1,300
56,481
Renesas
Electronics
Corp.
(2)*
5,300
61,411
Resona
Holdings,
Inc.
(2)
19,100
81,353
Rohm
Co.
Ltd.
(2)
100
7,764
Rohto
Pharmaceutical
Co.
Ltd.
(2)
1,200
36,224
SCREEN
Holdings
Co.
Ltd.
(2)
1,100
109,643
Shimamura
Co.
Ltd.
(2)
1,300
115,543
Shimizu
Corp.
(2)
7,700
46,209
SoftBank
Group
Corp.
(2)(a)
1,500
67,064
Sojitz
Corp.
(2)
6,580
108,216
Sompo
Holdings,
Inc.
(2)
300
13,182
Subaru
Corp.
(2)
3,300
52,414
Sumitomo
Forestry
Co.
Ltd.
(2)
800
14,096
Sumitomo
Heavy
Industries
Ltd.
(2)
900
20,624
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
600
18,953
Sumitomo
Pharma
Co.
Ltd.
(2)
1,800
17,758
Suzuken
Co.
Ltd.
(2)
700
20,735
Taisei
Corp.
(2)
4,900
141,460
Tokyo
Century
Corp.
(2)
200
7,332
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
60,900
201,031
Tosoh
Corp.
(2)
1,900
28,081
Toyo
Suisan
Kaisha
Ltd.
(2)
200
7,156
Toyota
Boshoku
Corp.
(2)
3,800
61,791
Toyota
Tsusho
Corp.
(2)
600
24,625
Yamada
Holdings
Co.
Ltd.
(2)
21,300
66,219
Yamaha
Motor
Co.
Ltd.
(2)
1,200
26,896
Yamato
Holdings
Co.
Ltd.
(2)(a)
3,500
65,381
Yamazaki
Baking
Co.
Ltd.
(2)
1,100
13,529
4,614,946
INVESTMENTS
SHARES
VALUE
($)
Luxembourg
-
0.1%
ArcelorMittal
SA
(2)
4,238
135,761
Eurofins
Scientific
SE
(2)
216
21,367
SES
SA,
Receipts
(2)
5,436
49,643
206,771
Macau
-
0.0%
(b)
Sands
China
Ltd.
(2)*
10,400
24,741
Netherlands
-
1.1%
Aegon
NV
(2)
11,558
61,270
ASML
Holding
NV
(2)
407
271,967
ASR
Nederland
NV
(2)
2,447
114,240
ING
Groep
NV
(2)
5,135
53,614
Koninklijke
Ahold
Delhaize
NV
(2)
12,314
396,087
Koninklijke
KPN
NV
(2)
8,880
30,813
Koninklijke
Vopak
NV
(2)
259
8,380
NN
Group
NV
(2)
3,489
176,818
OCI
NV
(2)*
1,105
39,011
Shell
plc
(2)
12,016
329,344
Signify
NV
(2)(c)
1,263
58,751
1,540,295
New
Zealand
-
0.0%
(b)
Xero
Ltd.
(2)*
120
9,095
Norway
-
0.1%
Equinor
ASA
(2)
4,929
184,032
Norsk
Hydro
ASA
(2)
2,014
19,568
203,600
Panama
-
0.0%
(b)
Copa
Holdings
SA,
Class
A
*
677
56,624
Russia
-
0.0%
(b)
Evraz
plc
(3)(d)
27,473
9,600
Raspadskaya
OJSC
(3)(d)
11,691
9,600
Singapore
-
0.2%
Singapore
Technologies
Engineering
Ltd.
(2)
24,700
74,818
STMicroelectronics
NV
(2)
4,556
198,021
272,839
South
Africa
-
0.0%
(b)
Anglo
American
plc
(2)
256
13,302
Spain
-
0.9%
Acerinox
SA
(2)
4,069
44,569
Banco
de
Sabadell
SA
(2)
81,650
66,721
Banco
Santander
SA
(2)
43,024
146,279
Enagas
SA
(2)
6,935
154,001
Endesa
SA
(2)
5,492
119,746
Fluidra
SA
(2)
1,282
37,094
Iberdrola
SA
(2)
4,164
45,512
Industria
de
Diseno
Textil
SA
(2)(a)
443
9,660
Mapfre
SA
(2)
52,038
108,843
Repsol
SA
(2)
26,772
350,691
Telefonica
SA
(2)
39,236
190,147
1,273,263
170
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
0.8%
Electrolux
AB,
Series
B
(2)
5,623
85,090
Evolution
AB
(2)(a)(c)
549
55,852
Getinge
AB,
Class
B
(2)
1,449
57,727
H
&
M
Hennes
&
Mauritz
AB,
Class
B
(2)(a)
3,522
47,292
Husqvarna
AB,
Class
B
(2)
7,630
79,594
Saab
AB,
Class
B
(2)
2,642
95,428
Securitas
AB,
Class
B
(2)(a)
2,221
25,056
Skanska
AB,
Class
B
(2)
652
14,587
SKF
AB,
Class
B
(2)
1,558
25,405
SSAB
AB,
Class
B
(2)*
15,567
103,654
Svenska
Handelsbanken
AB,
Class
A
(2)
25,945
238,575
Swedish
Orphan
Biovitrum
AB
(2)*
1,523
36,055
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)
19,782
180,324
Telia
Co.
AB
(2)
9,152
36,697
Trelleborg
AB,
Class
B
(2)
762
17,642
1,098,978
Switzerland
-
1.2%
Adecco
Group
AG
(Registered)
(2)
(a)
1,784
80,925
BKW
AG
(2)
497
62,250
DKSH
Holding
AG
(2)
839
70,662
dormakaba
Holding
AG
(2)
36
18,465
Galenica
AG
(2)(c)
1,397
107,550
Holcim
Ltd.
(2)*(a)
2,655
129,131
Nestle
SA
(Registered)
(2)(a)
140
18,203
Novartis
AG
(Registered)
(2)
4,770
418,765
OC
Oerlikon
Corp.
AG
(Registered)
(2)
1,426
11,364
Roche
Holding
AG
(2)
746
295,164
Swatch
Group
AG
(The)
(2)(a)
38
10,774
Swiss
Life
Holding
AG
(Registered)
(2)
108
69,207
Temenos
AG
(Registered)
(2)
1,561
150,152
UBS
Group
AG
(Registered)
(2)
10,332
201,901
Zurich
Insurance
Group
AG
(2)
75
37,043
1,681,556
Taiwan
-
0.0%
(b)
Sea
Ltd.,
ADR
*
90
10,781
United
Kingdom
-
1.7%
abrdn
plc
(2)
9,167
25,668
Aviva
plc
(2)
45,571
269,641
BAE
Systems
plc
(2)(a)
15,568
146,206
Barclays
plc
(2)
23,080
44,740
BP
plc
(2)
45,677
223,926
British
American
Tobacco
plc
(2)(a)
1,625
68,245
Bunzl
plc
(2)
1,003
38,897
CK
Hutchison
Holdings
Ltd.
(2)(a)
34,500
252,278
DCC
plc
(2)
2,233
172,910
Direct
Line
Insurance
Group
plc
(2)
4,135
14,900
Dunelm
Group
plc
(2)
1,588
22,628
Entain
plc
(2)*(a)
357
7,647
HSBC
Holdings
plc
(2)
5,324
36,366
IMI
plc
(2)
973
17,323
Imperial
Brands
plc
(2)
1,843
38,822
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
1.7%
(continued)
Inchcape
plc
(2)
12,432
108,782
InterContinental
Hotels
Group
plc
(2)(a)
695
47,006
JD
Sports
Fashion
plc
(2)(a)
12,133
23,379
Kingfisher
plc
(2)
31,443
104,946
Liberty
Global
plc,
Class
C
*
244
6,322
Linde
plc
(a)
171
54,623
Lloyds
Banking
Group
plc
(2)
87,680
53,394
M&G
plc
(2)
44,663
128,689
Man
Group
plc
(2)
30,187
92,120
Marks
&
Spencer
Group
plc
(2)*
3,636
7,339
Royal
Mail
plc
(2)
34,505
148,256
Sage
Group
plc
(The)
(2)
15,194
139,218
Standard
Chartered
plc
(2)
1,906
12,652
Tate
&
Lyle
plc
(2)
9,073
86,975
Vodafone
Group
plc
(2)
72,216
118,419
2,512,317
United
States
-
36.8%
3M
Co.
(a)
41
6,104
A
O
Smith
Corp.
1,039
66,382
Abbott
Laboratories
(a)
2,370
280,513
AbbVie,
Inc.
(a)
1,655
268,292
ABIOMED,
Inc.
*
32
10,600
Acadia
Healthcare
Co.,
Inc.
*
96
6,291
Accenture
plc,
Class
A
(a)
599
202,001
ACI
Worldwide,
Inc.
*
2,636
83,008
Activision
Blizzard,
Inc.
705
56,478
Acuity
Brands,
Inc.
179
33,885
Adaptive
Biotechnologies
Corp.
*
2,032
28,204
Adobe,
Inc.
*(a)
504
229,632
Advanced
Micro
Devices,
Inc.
*(a)
2,158
235,956
AECOM
301
23,120
AES
Corp.
(The)
2,692
69,265
AGCO
Corp.
696
101,637
Air
Lease
Corp.
262
11,698
Alaska
Air
Group,
Inc.
*(a)
2,146
124,489
Align
Technology,
Inc.
*
58
25,288
Alleghany
Corp.
*
48
40,656
Allegion
plc
1,360
149,301
ALLETE,
Inc.
149
9,980
Alliance
Data
Systems
Corp.
247
13,869
Allison
Transmission
Holdings,
Inc.
1,994
78,284
Allstate
Corp.
(The)
2,086
288,932
Ally
Financial,
Inc.
3,078
133,831
Alphabet,
Inc.,
Class
A
*(a)
349
970,690
Alphabet,
Inc.,
Class
C
*(a)
305
851,861
Altice
USA,
Inc.,
Class
A
*
6,857
85,575
Altria
Group,
Inc.
(a)
475
24,819
Amazon.com,
Inc.
*(a)
467
1,522,396
Amdocs
Ltd.
2,111
173,545
American
Electric
Power
Co.,
Inc.
895
89,294
American
International
Group,
Inc.
1,764
110,726
American
Tower
Corp.,
REIT
(a)
324
81,395
American
Water
Works
Co.,
Inc.
(a)
74
12,249
AmerisourceBergen
Corp.
172
26,610
Amkor
Technology,
Inc.
8,273
179,690
Anaplan,
Inc.
*
937
60,952
Anthem,
Inc.
(a)
473
232,347
APA
Corp.
4,230
174,826
171
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Apple,
Inc.
(a)
16,957
2,960,861
Applied
Materials,
Inc.
1,352
178,194
Arch
Capital
Group
Ltd.
*
1,142
55,296
Archer-Daniels-Midland
Co.
459
41,429
Arista
Networks,
Inc.
*
369
51,284
Armstrong
World
Industries,
Inc.
333
29,973
Arrow
Electronics,
Inc.
*
1,676
198,824
Arrowhead
Pharmaceuticals,
Inc.
*
138
6,347
Associated
Banc-Corp.
5,613
127,752
AT&T,
Inc.
(a)
7,170
169,427
Autodesk,
Inc.
*
613
131,397
Automatic
Data
Processing,
Inc.
(a)
42
9,557
AutoNation,
Inc.
*
1,832
182,431
AutoZone,
Inc.
*(a)
35
71,560
Avnet,
Inc.
1,015
41,199
Axis
Capital
Holdings
Ltd.
1,096
66,275
Axon
Enterprise,
Inc.
*
198
27,271
Baker
Hughes
Co.
1,682
61,242
Bank
of
America
Corp.
(a)
5,253
216,529
Bank
of
New
York
Mellon
Corp.
(The)
1,382
68,589
Bath
&
Body
Works,
Inc.
(a)
1,075
51,385
Bausch
Health
Cos.,
Inc.
*
657
15,009
Berkshire
Hathaway,
Inc.,
Class
B
*(a)
1,383
488,075
Best
Buy
Co.,
Inc.
(a)
571
51,904
Biogen,
Inc.
*
533
112,250
Bio-Rad
Laboratories,
Inc.,
Class
A
*
140
78,852
BJ's
Wholesale
Club
Holdings,
Inc.
*
383
25,895
BlackRock,
Inc.
(a)
91
69,539
Block,
Inc.
*(a)
432
58,579
Boeing
Co.
(The)
*(a)
743
142,285
BOK
Financial
Corp.
884
83,052
Booking
Holdings,
Inc.
*(a)
105
246,587
Booz
Allen
Hamilton
Holding
Corp.
(a)
650
57,096
Bristol-Myers
Squibb
Co.
(a)
3,015
220,185
Broadcom,
Inc.
410
258,169
Brunswick
Corp.
1,310
105,966
Builders
FirstSource,
Inc.
*
465
30,011
CACI
International,
Inc.,
Class
A
*(a)
204
61,457
Cadence
Design
Systems,
Inc.
*
347
57,068
Capital
One
Financial
Corp.
1,815
238,291
Cardinal
Health,
Inc.
1,758
99,679
Caterpillar,
Inc.
(a)
193
43,004
Cathay
General
Bancorp
1,416
63,366
Cboe
Global
Markets,
Inc.
385
44,052
CDW
Corp.
149
26,655
CF
Industries
Holdings,
Inc.
590
60,805
ChampionX
Corp.
*
2,465
60,343
Change
Healthcare,
Inc.
*
326
7,107
Chemours
Co.
(The)
1,858
58,490
Cheniere
Energy,
Inc.
670
92,896
Chevron
Corp.
(a)
2,125
346,014
Chubb
Ltd.
(a)
858
183,526
Cigna
Corp.
791
189,532
Cintas
Corp.
(a)
100
42,539
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Cisco
Systems,
Inc.
5,384
300,212
Citigroup,
Inc.
(a)
3,962
211,571
Citizens
Financial
Group,
Inc.
125
5,666
Clean
Harbors,
Inc.
*(a)
506
56,490
Cleveland-Cliffs,
Inc.
*
1,238
39,876
CMC
Materials,
Inc.
86
15,944
CMS
Energy
Corp.
784
54,833
Coca-Cola
Co.
(The)
(a)
4,731
293,322
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)
255
22,866
Colgate-Palmolive
Co.
700
53,081
Columbia
Sportswear
Co.
964
87,271
Comcast
Corp.,
Class
A
(a)
6,048
283,167
Comerica,
Inc.
809
73,158
Commercial
Metals
Co.
204
8,490
CommScope
Holding
Co.,
Inc.
*
3,049
24,026
CommVault
Systems,
Inc.
*
411
27,270
ConocoPhillips
(a)
1,140
114,000
Constellation
Brands,
Inc.,
Class
A
98
22,571
Copart,
Inc.
*(a)
74
9,285
Corning,
Inc.
308
11,368
Corteva,
Inc.
(a)
475
27,303
Costco
Wholesale
Corp.
(a)
212
122,080
Coterra
Energy,
Inc.
2,328
62,786
Coty,
Inc.,
Class
A
*
1,669
15,004
Cracker
Barrel
Old
Country
Store,
Inc.
594
70,526
Crane
Co.
75
8,121
Crocs,
Inc.
*
1,589
121,400
Crown
Castle
International
Corp.,
REIT
(a)
311
57,411
Cummins,
Inc.
(a)
435
89,223
CVS
Health
Corp.
(a)
1,717
173,778
Danaher
Corp.
(a)
618
181,278
Darling
Ingredients,
Inc.
*
1,174
94,366
Deckers
Outdoor
Corp.
*
104
28,472
Deere
&
Co.
(a)
69
28,667
Dell
Technologies,
Inc.,
Class
C
*
3,066
153,883
Delta
Air
Lines,
Inc.
*(a)
376
14,878
DENTSPLY
SIRONA,
Inc.
1,105
54,388
Devon
Energy
Corp.
958
56,647
Digital
Realty
Trust,
Inc.,
REIT
191
27,084
Digital
Turbine,
Inc.
*
681
29,835
Discover
Financial
Services
173
19,063
DocuSign,
Inc.
*
1,543
165,286
Dolby
Laboratories,
Inc.,
Class
A
772
60,386
Dominion
Energy,
Inc.
(a)
162
13,765
Donaldson
Co.,
Inc.
2,181
113,259
Dow,
Inc.
(a)
1,090
69,455
DR
Horton,
Inc.
(a)
805
59,981
Dropbox,
Inc.,
Class
A
*
2,862
66,542
Duke
Energy
Corp.
(a)
1,081
120,704
DuPont
de
Nemours,
Inc.
(a)
1,207
88,811
Dycom
Industries,
Inc.
*
685
65,253
Dynatrace,
Inc.
*
813
38,292
Eaton
Corp.
plc
(a)
396
60,097
Ecolab,
Inc.
(a)
122
21,540
Elastic
NV
*
355
31,577
Eli
Lilly
&
Co.
(a)
22
6,300
EMCOR
Group,
Inc.
714
80,418
172
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Emerson
Electric
Co.
(a)
1,913
187,570
Encompass
Health
Corp.
930
66,132
EOG
Resources,
Inc.
2,423
288,894
EPAM
Systems,
Inc.
*
392
116,271
EQT
Corp.
729
25,085
Equifax,
Inc.
(a)
170
40,307
Equinix,
Inc.,
REIT
61
45,239
Equitrans
Midstream
Corp.
5,473
46,192
Everbridge,
Inc.
*
734
32,032
Evercore,
Inc.,
Class
A
409
45,530
Everest
Re
Group
Ltd.
128
38,577
Expedia
Group,
Inc.
*(a)
537
105,075
Exxon
Mobil
Corp.
(a)
6,117
505,203
FactSet
Research
Systems,
Inc.
30
13,025
Fidelity
National
Financial,
Inc.
1,533
74,872
Fidelity
National
Information
Services,
Inc.
490
49,206
First
American
Financial
Corp.
2,128
137,937
First
Republic
Bank
148
23,991
FirstEnergy
Corp.
645
29,580
FleetCor
Technologies,
Inc.
*
106
26,400
Flowserve
Corp.
1,931
69,323
FNB
Corp.
4,104
51,095
Foot
Locker,
Inc.
659
19,546
Ford
Motor
Co.
14,750
249,423
Fortinet,
Inc.
*
81
27,681
Freeport-McMoRan,
Inc.
(a)
1,215
60,434
Frontdoor,
Inc.
*
1,392
41,551
Fulton
Financial
Corp.
10,575
175,757
Gartner,
Inc.
*
615
182,938
General
Dynamics
Corp.
(a)
375
90,443
General
Electric
Co.
(a)
1,129
103,304
General
Motors
Co.
*
3,771
164,944
Genuine
Parts
Co.
(a)
994
125,264
Gilead
Sciences,
Inc.
2,131
126,688
GlaxoSmithKline
plc
(2)(a)
2,260
48,900
Global
Payments,
Inc.
1,832
250,691
GoDaddy,
Inc.,
Class
A
*
1,269
106,215
Goldman
Sachs
Group,
Inc.
(The)
925
305,343
Goodyear
Tire
&
Rubber
Co.
(The)
*
3,709
53,002
Graham
Holdings
Co.,
Class
B
43
26,293
Grand
Canyon
Education,
Inc.
*
475
46,127
Halliburton
Co.
3,110
117,776
Hancock
Whitney
Corp.
219
11,421
Hartford
Financial
Services
Group,
Inc.
(The)
652
46,820
HCA
Healthcare,
Inc.
(a)
460
115,285
Henry
Schein,
Inc.
*
129
11,248
HF
Sinclair
Corp.
*
1,172
46,704
Hologic,
Inc.
*
2,486
190,975
Home
Depot,
Inc.
(The)
(a)
592
177,203
HP,
Inc.
834
30,274
HubSpot,
Inc.
*
73
34,671
Huntington
Ingalls
Industries,
Inc.
429
85,560
IAA,
Inc.
*
755
28,879
ICU
Medical,
Inc.
*
80
17,811
IDEXX
Laboratories,
Inc.
*
43
23,524
Incyte
Corp.
*
1,997
158,602
Intel
Corp.
(a)
5,449
270,052
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Intercontinental
Exchange,
Inc.
(a)
464
61,304
International
Bancshares
Corp.
3,558
150,183
International
Business
Machines
Corp.
(a)
717
93,224
International
Paper
Co.
1,558
71,902
Intuit,
Inc.
(a)
186
89,436
Intuitive
Surgical,
Inc.
*
200
60,336
Invesco
Ltd.
3,564
82,186
IQVIA
Holdings,
Inc.
*
321
74,218
Jabil,
Inc.
1,857
114,633
Jack
in
the
Box,
Inc.
508
47,452
Janus
Henderson
Group
plc
1,570
54,981
Jefferies
Financial
Group,
Inc.
2,793
91,750
JetBlue
Airways
Corp.
*
777
11,616
Johnson
&
Johnson
(a)
2,572
455,836
Johnson
Controls
International
plc
(a)
1,202
78,815
JPMorgan
Chase
&
Co.
3,430
467,578
Keurig
Dr
Pepper,
Inc.
415
15,729
Kinder
Morgan,
Inc.
6,768
127,983
KLA
Corp.
579
211,949
Knight-Swift
Transportation
Holdings,
Inc.
(a)
1,227
61,914
Kraft
Heinz
Co.
(The)
4,430
174,498
L3Harris
Technologies,
Inc.
(a)
218
54,166
Laboratory
Corp.
of
America
Holdings
*
231
60,905
Lam
Research
Corp.
317
170,422
Lattice
Semiconductor
Corp.
*
206
12,556
Lennar
Corp.,
Class
A
(a)
2,504
203,250
Lennox
International,
Inc.
680
175,345
Lithia
Motors,
Inc.
314
94,238
Live
Nation
Entertainment,
Inc.
*
771
90,700
Lockheed
Martin
Corp.
(a)
524
231,294
Louisiana-Pacific
Corp.
1,479
91,875
Lumen
Technologies,
Inc.
907
10,222
LyondellBasell
Industries
NV,
Class
A
(a)
1,697
174,486
Macy's,
Inc.
5,614
136,757
Manhattan
Associates,
Inc.
*
395
54,790
ManpowerGroup,
Inc.
1,410
132,427
Marathon
Oil
Corp.
5,782
145,186
Marathon
Petroleum
Corp.
1,110
94,905
Markel
Corp.
*
194
286,197
Marriott
International,
Inc.,
Class
A
*(a)
92
16,169
Marriott
Vacations
Worldwide
Corp.
182
28,701
Masco
Corp.
326
16,626
Masimo
Corp.
*
589
85,723
Mastercard,
Inc.,
Class
A
(a)
1,016
363,098
Mattel,
Inc.
*
4,924
109,362
Maximus,
Inc.
251
18,812
McDonald's
Corp.
(a)
635
157,023
McKesson
Corp.
200
61,226
Medpace
Holdings,
Inc.
*
343
56,111
Medtronic
plc
2,798
310,438
Merck
&
Co.,
Inc.
3,765
308,918
Meta
Platforms,
Inc.,
Class
A
*
3,814
848,080
MetLife,
Inc.
1,048
73,653
MGM
Resorts
International
(a)
683
28,645
173
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Microchip
Technology,
Inc.
1,787
134,275
Micron
Technology,
Inc.
(a)
1,568
122,132
Microsoft
Corp.
(a)
7,840
2,417,149
Minerals
Technologies,
Inc.
259
17,133
MKS
Instruments,
Inc.
147
22,050
Moderna,
Inc.
*
1,218
209,813
Mohawk
Industries,
Inc.
*
582
72,284
Molina
Healthcare,
Inc.
*
357
119,092
Mondelez
International,
Inc.,
Class
A
(a)
746
46,834
Monster
Beverage
Corp.
*
754
60,245
Morgan
Stanley
(a)
610
53,314
Mosaic
Co.
(The)
2,513
167,115
Motorola
Solutions,
Inc.
76
18,407
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
98
8,351
National
Instruments
Corp.
1,253
50,859
Navient
Corp.
524
8,929
Nektar
Therapeutics
*
1,222
6,587
Netflix,
Inc.
*
609
228,125
Newell
Brands,
Inc.
(a)
1,638
35,070
NewMarket
Corp.
259
84,014
Newmont
Corp.
(a)
206
16,367
Nexstar
Media
Group,
Inc.,
Class
A
287
54,094
NIKE,
Inc.,
Class
B
(a)
672
90,424
Nordson
Corp.
454
103,094
NRG
Energy,
Inc.
3,056
117,228
Nucor
Corp.
(a)
441
65,555
Nutanix,
Inc.,
Class
A
*
1,109
29,743
nVent
Electric
plc
3,582
124,582
NVIDIA
Corp.
1,962
535,350
NVR,
Inc.
*(a)
9
40,205
Occidental
Petroleum
Corp.
1,575
89,366
OGE
Energy
Corp.
1,050
42,819
Old
Republic
International
Corp.
5,308
137,318
Olin
Corp.
3,980
208,074
Omnicom
Group,
Inc.
834
70,790
ON
Semiconductor
Corp.
*
2,629
164,602
OneMain
Holdings,
Inc.
2,819
133,649
Option
Care
Health,
Inc.
*
665
18,992
Oracle
Corp.
(a)
3,029
250,589
O'Reilly
Automotive,
Inc.
*(a)
166
113,703
Organon
&
Co.
828
28,922
Otis
Worldwide
Corp.
(a)
828
63,715
Owens
Corning
1,779
162,779
PACCAR,
Inc.
(a)
1,243
109,471
PacWest
Bancorp
1,369
59,045
Paramount
Global,
Class
B
511
19,321
Paycom
Software,
Inc.
*
115
39,834
PayPal
Holdings,
Inc.
*(a)
889
102,813
Penn
National
Gaming,
Inc.
*
150
6,363
Penske
Automotive
Group,
Inc.
1,049
98,312
People's
United
Financial,
Inc.
2,475
49,475
PepsiCo,
Inc.
(a)
515
86,201
Pfizer,
Inc.
(a)
10,886
563,567
Philip
Morris
International,
Inc.
(a)
989
92,907
Phillips
66
461
39,826
Pinnacle
West
Capital
Corp.
83
6,482
Pinterest,
Inc.,
Class
A
*
2,300
56,603
Pioneer
Natural
Resources
Co.
246
61,507
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Popular,
Inc.
2,229
182,198
Procter
&
Gamble
Co.
(The)
(a)
1,835
280,388
Prologis,
Inc.,
REIT
(a)
514
83,001
Prosperity
Bancshares,
Inc.
1,880
130,434
Prudential
Financial,
Inc.
316
37,342
Public
Storage,
REIT
111
43,321
PulteGroup,
Inc.
(a)
3,123
130,854
Pure
Storage,
Inc.,
Class
A
*
1,310
46,256
PVH
Corp.
597
45,736
Qorvo,
Inc.
*
838
103,996
QUALCOMM,
Inc.
(a)
1,605
245,276
Quidel
Corp.
*
568
63,877
Qurate
Retail,
Inc.,
Series
A
12,044
57,329
Raytheon
Technologies
Corp.
(a)
980
97,089
Regeneron
Pharmaceuticals,
Inc.
*
269
187,875
Reinsurance
Group
of
America,
Inc.
105
11,493
Reliance
Steel
&
Aluminum
Co.
843
154,564
Republic
Services,
Inc.
(a)
182
24,115
Ross
Stores,
Inc.
(a)
1,472
133,157
Ryder
System,
Inc.
(a)
964
76,474
S&P
Global,
Inc.
(a)
87
35,686
Saia,
Inc.
*
140
34,135
salesforce.com,
Inc.
*(a)
1,175
249,476
Sanderson
Farms,
Inc.
67
12,562
Schlumberger
NV
1,131
46,722
Schneider
National,
Inc.,
Class
B
6,681
170,366
Science
Applications
International
Corp.
566
52,168
Seagate
Technology
Holdings
plc
368
33,083
Sealed
Air
Corp.
199
13,325
SEI
Investments
Co.
659
39,678
Sempra
Energy
903
151,812
Sensata
Technologies
Holding
plc
*
125
6,356
Sensient
Technologies
Corp.
428
35,931
ServiceNow,
Inc.
*(a)
227
126,414
Simon
Property
Group,
Inc.,
REIT
376
49,467
SiTime
Corp.
*
33
8,178
Six
Flags
Entertainment
Corp.
*
2,863
124,541
Skyworks
Solutions,
Inc.
535
71,305
SLM
Corp.
5,950
109,242
Smartsheet,
Inc.,
Class
A
*
719
39,387
Snap-on,
Inc.
216
44,384
SolarWinds
Corp.
4,338
57,739
Spirit
AeroSystems
Holdings,
Inc.,
Class
A
414
20,240
SS&C
Technologies
Holdings,
Inc.
3,099
232,487
STAAR
Surgical
Co.
*
151
12,066
Stanley
Black
&
Decker,
Inc.
125
17,474
Starbucks
Corp.
(a)
1,920
174,662
State
Street
Corp.
853
74,313
Steel
Dynamics,
Inc.
1,226
102,285
Stellantis
NV
(2)
8,396
135,927
Stifel
Financial
Corp.
538
36,530
Swiss
Re
AG
(2)
1,091
103,857
Synchrony
Financial
163
5,674
Syneos
Health,
Inc.
*
925
74,879
Synopsys,
Inc.
*
358
119,311
Tapestry,
Inc.
(a)
400
14,860
Targa
Resources
Corp.
864
65,206
Target
Corp.
(a)
236
50,084
174
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Taylor
Morrison
Home
Corp.
*
1,010
27,492
Teleflex,
Inc.
47
16,677
Tenet
Healthcare
Corp.
*
1,353
116,304
Teradata
Corp.
*
594
29,278
Terex
Corp.
1,294
46,144
Tesla,
Inc.
*(a)
861
927,813
Texas
Capital
Bancshares,
Inc.
*
464
26,592
Texas
Instruments,
Inc.
(a)
279
51,191
Texas
Roadhouse,
Inc.
2,520
211,000
Textron,
Inc.
1,286
95,653
Thermo
Fisher
Scientific,
Inc.
(a)
222
131,124
T-Mobile
US,
Inc.
*(a)
202
25,927
Toll
Brothers,
Inc.
2,618
123,098
Trade
Desk,
Inc.
(The),
Class
A
*
149
10,318
Travel
+
Leisure
Co.
1,613
93,457
Tri
Pointe
Homes,
Inc.
*
8,005
160,740
Tyson
Foods,
Inc.,
Class
A
2,289
205,163
Ulta
Beauty,
Inc.
*(a)
380
151,324
UMB
Financial
Corp.
2,058
199,955
Umpqua
Holdings
Corp.
6,966
131,379
United
Parcel
Service,
Inc.,
Class
B
(a)
174
37,316
United
Rentals,
Inc.
*(a)
139
49,374
United
States
Steel
Corp.
3,730
140,770
United
Therapeutics
Corp.
*
59
10,585
UnitedHealth
Group,
Inc.
(a)
798
406,956
Univar
Solutions,
Inc.
*
4,048
130,103
Universal
Display
Corp.
617
103,008
Urban
Outfitters,
Inc.
*
3,683
92,480
US
Bancorp
(a)
1,090
57,934
Vail
Resorts,
Inc.
(a)
192
49,972
Valero
Energy
Corp.
207
21,019
Veeva
Systems,
Inc.,
Class
A
*
42
8,923
VeriSign,
Inc.
*
393
87,427
Verizon
Communications,
Inc.
(a)
1,666
84,866
Vertex
Pharmaceuticals,
Inc.
*
192
50,106
Vertiv
Holdings
Co.
528
7,392
Viatris,
Inc.
2,494
27,135
Vicor
Corp.
*
773
54,535
Virtu
Financial,
Inc.,
Class
A
4,201
156,361
Visa,
Inc.,
Class
A
(a)
1,617
358,602
Vishay
Intertechnology,
Inc.
4,803
94,139
VMware,
Inc.,
Class
A
(a)
1,384
157,596
Vontier
Corp.
1,800
45,702
W
R
Berkley
Corp.
1,161
77,311
Walgreens
Boots
Alliance,
Inc.
798
35,726
Walmart,
Inc.
(a)
4,113
612,507
Walt
Disney
Co.
(The)
*(a)
875
120,015
WEC
Energy
Group,
Inc.
345
34,434
Wells
Fargo
&
Co.
7,365
356,908
Wendy's
Co.
(The)
1,395
30,648
Western
Digital
Corp.
*
3,582
177,846
Western
Union
Co.
(The)
2,772
51,947
Westlake
Corp.
1,461
180,287
Westrock
Co.
485
22,810
WEX,
Inc.
*
361
64,420
Whirlpool
Corp.
(a)
43
7,430
Williams-Sonoma,
Inc.
(a)
110
15,950
Workday,
Inc.,
Class
A
*
539
129,069
XPO
Logistics,
Inc.
*(a)
1,021
74,329
INVESTMENTS
SHARES
VALUE
($)
United
States
-
36.8%
(continued)
Yelp,
Inc.
*
496
16,919
YETI
Holdings,
Inc.
*
333
19,973
Yum!
Brands,
Inc.
(a)
561
66,495
Zebra
Technologies
Corp.,
Class
A
*
240
99,288
Zions
Bancorp
NA
1,040
68,182
Zoetis,
Inc.
(a)
207
39,038
Zoom
Video
Communications,
Inc.,
Class
A
*
650
76,200
Zscaler,
Inc.
*
65
15,683
52,969,208
TOTAL
COMMON
STOCKS
(Cost
$67,682,731)
79,317,947
PREFERRED
STOCKS
-
0.0%
(b)
United
States
-
0.0%
(b)
Qurate
Retail,
Inc.,
8.00%,
3/15/2031
(Cost
$16,834)
302
25,975
PRINCIPAL
AMOUNT
FOREIGN
GOVERNMENT
SECURITIES
-
10.4%
Federal
Republic
of
Germany
0.50%,
4/15/2030
(2)(e)(f)(g)
EUR
1,998,000
3,042,476
France
Government
Bond
3.40%,
7/25/2029
(2)(e)(f)(g)
400,000
845,107
French
Republic
0.10%,
3/1/2026
(2)(e)(f)(g)
500,000
649,451
1.85%,
7/25/2027
(2)(e)(f)(g)
1,000,000
1,621,806
0.10%,
3/1/2028
(2)(e)(f)(g)
700,000
939,913
0.10%,
3/1/2029
(2)(e)(f)(g)
700,000
950,007
0.70%,
7/25/2030
(2)(e)(f)(g)
1,400,000
2,111,461
0.10%,
7/25/2031
(2)(e)(f)(g)
600,000
824,914
United
Kingdom
Gilt
Inflation
Linked
0.13%,
8/10/2028
(2)(e)(f)(g)
GBP
300,000
550,415
0.13%,
3/22/2029
(2)(e)(f)(g)
300,000
654,610
0.13%,
8/10/2031
(2)(e)(f)(g)
200,000
372,428
1.25%,
11/22/2032
(2)(e)(f)(g)
400,000
1,141,716
0.75%,
3/22/2034
(2)(e)(f)(g)
500,000
1,310,567
Cost:
$15,084,125
$–
TOTAL
FOREIGN
GOVERNMENT
SECURITIES
(Cost
$15,084,125)
15,014,871
U.S.
TREASURY
OBLIGATIONS
-
10.8%
U.S.
Treasury
Inflation
Linked
Notes
0.13%,
1/15/2030
(2)
$
2,900,000
3,344,878
0.13%,
7/15/2030
(2)
3,300,000
3,837,322
0.13%,
1/15/2031
(2)(e)
3,500,000
4,000,340
0.13%,
7/15/2031
(2)(e)
3,800,000
4,239,227
0.13%,
1/15/2032
(2)(e)
200,000
215,718
Cost:
$15,937,450
$–
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$15,937,450)
15,637,485
175
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
SHORT-TERM
INVESTMENTS
-
51.8%
REPURCHASE
AGREEMENTS
-
2.8%
BANA,
0.69%,
dated
3/25/2022,
due
4/20/2022,
repurchase
price
GBP
140,933,
collateralized
by
United
Kingdom
Gilt
Inflation
Linked,
0.13%,
due
8/10/2031
(2)
GBP
140,863
185,045
BANA,
0.69%,
dated
3/25/2022,
due
4/20/2022,
repurchase
price
GBP
417,757,
collateralized
by
United
Kingdom
Gilt
Inflation
Linked,
0.13%,
due
8/10/2028
(2)
417,549
548,513
BANA,
0.69%,
dated
3/25/2022,
due
4/20/2022,
repurchase
price
GBP
649,734,
collateralized
by
United
Kingdom
Gilt
Inflation
Linked,
1.25%,
due
11/22/2032
(2)
649,410
853,097
BANA,
0.69%,
dated
3/25/2022,
due
4/20/2022,
repurchase
price
GBP
284,174,
collateralized
by
United
Kingdom
Gilt
Inflation
Linked,
0.13%,
due
3/22/2026
(2)
284,032
373,119
BANA,
0.75%,
dated
3/15/2022,
due
4/20/2022,
repurchase
price
GBP
220,075,
collateralized
by
United
Kingdom
Gilt
Inflation
Linked,
1.25%,
due
11/22/2032
(2)
219,910
288,885
BNPP,
0.23%,
dated
3/28/2022,
due
4/14/2022,
repurchase
price
$223,274,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
$
223,250
223,250
BNPP,
0.23%,
dated
3/22/2022,
due
4/14/2022,
repurchase
price
$112,016,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
112,000
112,000
BNPP,
0.25%,
dated
3/17/2022,
due
4/14/2022,
repurchase
price
$113,772,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
113,750
113,750
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
REPURCHASE
AGREEMENTS
-
2.8%
(continued)
BNPP,
0.25%,
dated
3/16/2022,
due
4/14/2022,
repurchase
price
$112,773,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
$
112,750
112,750
BNPP,
0.26%,
dated
3/15/2022,
due
4/14/2022,
repurchase
price
$114,275,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
114,250
114,250
CITI,
0.25%,
dated
3/23/2022,
due
4/14/2022,
repurchase
price
$115,018,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2031
(2)
115,000
115,000
CITI,
0.25%,
dated
3/15/2022,
due
4/14/2022,
repurchase
price
$351,448,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2031
(2)
351,375
351,375
JPMS,
(0.01)%,
dated
3/23/2022,
due
4/14/2022,
repurchase
price
$108,499,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2032
(2)
108,500
108,500
JPMS,
0.25%,
dated
3/10/2022,
due
4/14/2022,
repurchase
price
$222,054,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2032
(2)
222,000
222,000
JPMS,
0.23%,
dated
3/8/2022,
due
4/14/2022,
repurchase
price
$338,705,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2032
(2)
338,625
338,625
TOTAL
REPURCHASE
AGREEMENTS
(Cost
$4,066,214)
4,060,159
176
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
INVESTMENT
COMPANIES
-
20.5%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(h)(i)
1,415,332
1,415,332
Limited
Purpose
Cash
Investment
Fund,
0.18%
(h)
28,111,966
28,097,910
UBS
Select
Treasury
Preferred
Fund,
Class
I,
0.17%
(h)
25,371
25,371
TOTAL
INVESTMENT
COMPANIES
(Cost
$29,538,307)
29,538,613
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
28.5%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(2)(j)
$
1,652,000
1,651,960
0.06%,
4/28/2022
(2)(j)
2,540,000
2,539,798
0.07%,
5/12/2022
(2)(j)
3,100,000
3,099,324
0.07%,
5/19/2022
(2)(j)
7,861,000
7,858,388
0.07%,
5/26/2022
(2)(j)
1,198,000
1,197,474
0.11%,
6/9/2022
(2)(j)
2,266,000
2,264,371
0.13%,
6/16/2022
(2)(j)
1,393,000
1,391,780
0.28%,
7/14/2022
(2)(j)
2,862,000
2,856,977
0.37%,
7/21/2022
(2)(j)
578,000
576,824
0.38%,
7/28/2022
(2)(j)
431,000
429,933
0.49%,
8/4/2022
(2)(j)
755,000
752,909
0.70%,
9/8/2022
(2)(j)
3,000,000
2,987,780
0.82%,
9/15/2022
(2)(j)
6,503,000
6,474,900
0.87%,
9/22/2022
(2)(j)
623,000
620,144
1.06%,
9/29/2022
(2)(j)
6,550,000
6,516,843
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$41,234,010)
41,219,405
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$74,838,531)
74,818,177
TOTAL
LONG
POSITIONS
(Cost
$173,559,671)
184,814,455
SHARES
SHORT
POSITIONS
-
(13.0)%
COMMON
STOCKS
-
(13.0)%
Australia
-
(0.3)%
Cochlear
Ltd.
(2)
(184)
(30,721)
Crown
Resorts
Ltd.
(2)*
(3,576)
(34,053)
Domino's
Pizza
Enterprises
Ltd.
(2)
(278)
(18,096)
Evolution
Mining
Ltd.
(2)
(19,406)
(64,050)
IDP
Education
Ltd.
(2)
(3,632)
(85,003)
IGO
Ltd.
(2)
(1,094)
(11,436)
Insurance
Australia
Group
Ltd.
(2)
(1,828)
(5,983)
Lynas
Rare
Earths
Ltd.
(2)*
(4,150)
(33,086)
Northern
Star
Resources
Ltd.
(2)
(5,631)
(45,429)
OZ
Minerals
Ltd.
(2)
(4,967)
(99,056)
Pro
Medicus
Ltd.
(2)
(534)
(19,345)
Qantas
Airways
Ltd.
(2)*
(2,919)
(11,287)
Santos
Ltd.
(2)
(2,939)
(17,040)
WiseTech
Global
Ltd.
(2)
(558)
(21,002)
(495,587)
Austria
-
(0.1)%
ams-OSRAM
AG
(2)*
(5,440)
(83,270)
INVESTMENTS
SHARES
VALUE
($)
Belgium
-
0.0%
(b)
Elia
Group
SA/NV
(2)
(81)
(12,358)
Galapagos
NV
(2)*
(591)
(36,720)
(49,078)
Brazil
-
(0.1)%
Wheaton
Precious
Metals
Corp.
(2,425)
(115,319)
Canada
-
(1.0)%
Air
Canada
*
(8,813)
(170,952)
Algonquin
Power
&
Utilities
Corp.
(2,133)
(33,083)
Ballard
Power
Systems,
Inc.
*
(18,659)
(217,164)
BlackBerry
Ltd.
*
(11,806)
(87,543)
Brookfield
Asset
Management,
Inc.,
Class
A
(2,100)
(118,728)
CAE,
Inc.
*
(585)
(15,227)
Cameco
Corp.
(4,193)
(122,119)
Canopy
Growth
Corp.
*
(3,459)
(26,230)
Constellation
Software,
Inc.
(55)
(94,017)
Dollarama,
Inc.
(1,519)
(86,147)
Franco-Nevada
Corp.
(609)
(96,912)
Keyera
Corp.
(3,635)
(92,143)
Lightspeed
Commerce,
Inc.
*
(2,590)
(78,996)
Pan
American
Silver
Corp.
(1,939)
(52,921)
Restaurant
Brands
International,
Inc.
(2,701)
(157,806)
(1,449,988)
China
-
(0.1)%
Prosus
NV
(2)*
(1,523)
(82,132)
Denmark
-
(0.2)%
Ambu
A/S,
Class
B
(2)
(3,500)
(51,524)
Vestas
Wind
Systems
A/S
(2)
(6,153)
(180,497)
(232,021)
Faroe
Islands
-
0.0%
(b)
Bakkafrost
P/F
(2)
(980)
(65,732)
France
-
(0.6)%
Accor
SA
(2)*
(345)
(11,116)
Adevinta
ASA
(2)*
(11,966)
(109,240)
Aeroports
de
Paris
(2)*
(1,150)
(171,968)
Alstom
SA
(2)
(5,572)
(130,378)
Faurecia
SE
(2)
(1,143)
(29,728)
Hermes
International
(2)
(69)
(97,659)
Remy
Cointreau
SA
(2)
(42)
(8,662)
Safran
SA
(2)
(456)
(53,687)
SOITEC
(2)*
(557)
(104,485)
Valeo
(2)
(4,199)
(77,560)
(794,483)
Germany
-
(0.4)%
CTS
Eventim
AG
&
Co.
KGaA
(2)*
(1,923)
(130,604)
Deutsche
Lufthansa
AG
(Registered)
(2)*
(8,744)
(70,516)
Evotec
SE
(2)*
(2,600)
(78,241)
Fraport
AG
Frankfurt
Airport
Services
Worldwide
(2)*
(657)
(36,420)
Fresenius
Medical
Care
AG
&
Co.
KGaA
(2)
(1,065)
(71,367)
HUGO
BOSS
AG
(2)
(1,062)
(61,269)
MTU
Aero
Engines
AG
(2)
(184)
(42,556)
177
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
(0.4)%
(continued)
Rational
AG
(2)
(53)
(36,502)
TeamViewer
AG
(2)*(c)
(888)
(13,113)
thyssenkrupp
AG
(2)*
(701)
(5,992)
Zalando
SE
(2)*(c)
(507)
(25,672)
(572,252)
Italy
-
(0.2)%
Brembo
SpA
(2)
(590)
(6,568)
DiaSorin
SpA
(2)
(263)
(41,079)
Intesa
Sanpaolo
SpA
(2)
(23,710)
(54,267)
Moncler
SpA
(2)
(545)
(30,238)
Nexi
SpA
(2)*(c)
(10,183)
(117,508)
(249,660)
Japan
-
(0.8)%
Aeon
Co.
Ltd.
(2)
(900)
(19,190)
ANA
Holdings,
Inc.
(2)*
(900)
(18,813)
Asahi
Intecc
Co.
Ltd.
(2)
(400)
(7,803)
Azbil
Corp.
(2)
(400)
(13,276)
BayCurrent
Consulting,
Inc.
(2)
(100)
(36,198)
Benefit
One,
Inc.
(2)
(2,000)
(41,975)
Central
Japan
Railway
Co.
(2)
(600)
(78,236)
Cosmos
Pharmaceutical
Corp.
(2)
(100)
(12,120)
East
Japan
Railway
Co.
(2)
(900)
(52,090)
Fancl
Corp.
(2)
(300)
(6,683)
Harmonic
Drive
Systems,
Inc.
(2)
(1,500)
(51,514)
Japan
Airlines
Co.
Ltd.
(2)*
(4,500)
(83,895)
Japan
Airport
Terminal
Co.
Ltd.
(2)*
(300)
(13,664)
JSR
Corp.
(2)
(400)
(11,779)
Keio
Corp.
(2)
(1,000)
(38,981)
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
(200)
(16,025)
Kobe
Bussan
Co.
Ltd.
(2)
(200)
(6,155)
Lasertec
Corp.
(2)
(700)
(116,454)
Mercari,
Inc.
(2)*
(1,000)
(25,814)
MonotaRO
Co.
Ltd.
(2)
(3,300)
(70,826)
Nexon
Co.
Ltd.
(2)
(3,000)
(71,771)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(10,500)
(91,994)
Obic
Co.
Ltd.
(2)
(200)
(29,955)
Odakyu
Electric
Railway
Co.
Ltd.
(2)
(3,600)
(59,669)
Olympus
Corp.
(2)
(1,700)
(32,219)
Rakuten
Group,
Inc.
(2)
(8,800)
(69,192)
Sysmex
Corp.
(2)
(100)
(7,243)
Toho
Gas
Co.
Ltd.
(2)
(600)
(13,355)
West
Japan
Railway
Co.
(2)
(900)
(37,292)
Yaskawa
Electric
Corp.
(2)
(1,500)
(58,462)
(1,192,643)
Netherlands
-
(0.1)%
Adyen
NV
(2)*(c)
(18)
(35,653)
Argenx
SE
(2)*
(438)
(137,037)
ASM
International
NV
(2)
(59)
(21,484)
BE
Semiconductor
Industries
NV
(2)
(205)
(17,475)
(211,649)
Norway
-
0.0%
(b)
Salmar
ASA
(2)
(416)
(32,884)
INVESTMENTS
SHARES
VALUE
($)
Saudi
Arabia
-
(0.1)%
Delivery
Hero
SE
(2)*(c)
(2,756)
(120,117)
Spain
-
(0.3)%
ACS
Actividades
de
Construccion
y
Servicios
SA
(2)
(1,737)
(46,829)
Amadeus
IT
Group
SA
(2)*
(2,932)
(190,633)
Cellnex
Telecom
SA
(2)(c)
(3,150)
(151,592)
Siemens
Gamesa
Renewable
Energy
SA
(2)*
(4,985)
(87,433)
(476,487)
Sweden
-
(0.3)%
Beijer
Ref
AB
(2)
(2,591)
(46,927)
Embracer
Group
AB
(2)*
(13,264)
(110,717)
Epiroc
AB,
Class
A
(2)
(492)
(10,523)
EQT
AB
(2)
(2,501)
(97,535)
Hexagon
AB,
Class
B
(2)
(7,432)
(104,128)
Sinch
AB
(2)*(c)
(10,586)
(71,799)
(441,629)
Switzerland
-
(0.4)%
Bachem
Holding
AG
(Registered),
Class
B
(2)
(85)
(46,779)
Dufry
AG
(Registered)
(2)*
(5,136)
(216,111)
Flughafen
Zurich
AG
(Registered)
(2)*
(330)
(59,231)
Givaudan
SA
(Registered)
(2)
(11)
(45,462)
Idorsia
Ltd.
(2)*
(6,983)
(139,496)
SIG
Combibloc
Group
AG
(2)*
(1,558)
(39,277)
Sika
AG
(Registered)
(2)
(87)
(28,784)
(575,140)
United
Kingdom
-
(0.6)%
ASOS
plc
(2)*
(418)
(8,794)
AVEVA
Group
plc
(2)
(3,423)
(109,334)
boohoo
Group
plc
(2)*
(10,065)
(11,660)
BT
Group
plc
(2)
(33,778)
(80,537)
easyJet
plc
(2)*
(5,902)
(42,817)
Hiscox
Ltd.
(2)
(5,699)
(73,493)
Informa
plc
(2)*
(5,413)
(42,411)
Just
Eat
Takeaway.com
NV
(2)*(c)
(420)
(14,086)
Ocado
Group
plc
(2)*
(11,278)
(172,212)
Prudential
plc
(2)
(4,988)
(73,639)
Rolls-Royce
Holdings
plc
(2)*
(69,214)
(91,016)
St
James's
Place
plc
(2)
(2,357)
(44,437)
WH
Smith
plc
(2)*
(2,299)
(42,940)
(807,376)
United
States
-
(7.3)%
10X
Genomics,
Inc.,
Class
A
*
(1,202)
(91,436)
Advanced
Drainage
Systems,
Inc.
(294)
(34,930)
Alcoa
Corp.
(1,103)
(99,303)
AMC
Entertainment
Holdings,
Inc.,
Class
A
*
(6,797)
(167,478)
American
Airlines
Group,
Inc.
*
(6,861)
(125,213)
Aon
plc,
Class
A
(21)
(6,838)
Asana,
Inc.,
Class
A
*
(990)
(39,570)
Aspen
Technology,
Inc.
*
(246)
(40,681)
Assured
Guaranty
Ltd.
(188)
(11,968)
Avalara,
Inc.
*
(195)
(19,404)
Avis
Budget
Group,
Inc.
*
(100)
(26,330)
178
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(7.3)%
(continued)
AZEK
Co.,
Inc.
(The)
*
(307)
(7,626)
Azenta,
Inc.
(718)
(59,508)
Bentley
Systems,
Inc.,
Class
B
(1,701)
(75,150)
Bill.com
Holdings,
Inc.
*
(715)
(162,155)
BorgWarner,
Inc.
(1,308)
(50,881)
Boston
Beer
Co.,
Inc.
(The),
Class
A
*
(86)
(33,408)
Bright
Horizons
Family
Solutions,
Inc.
*
(872)
(115,706)
Brookfield
Renewable
Corp.
(1,939)
(84,685)
C3.ai,
Inc.,
Class
A
*
(4,533)
(102,899)
Cable
One,
Inc.
(31)
(45,391)
Cabot
Corp.
(510)
(34,889)
Caesars
Entertainment,
Inc.
*
(519)
(40,150)
Capri
Holdings
Ltd.
*
(968)
(49,746)
CarMax,
Inc.
*
(827)
(79,789)
Carnival
Corp.
*
(2,094)
(42,341)
Carvana
Co.
*
(289)
(34,475)
Cerence,
Inc.
*
(1,024)
(36,966)
Ceridian
HCM
Holding,
Inc.
*
(802)
(54,825)
Certara,
Inc.
*
(684)
(14,692)
CH
Robinson
Worldwide,
Inc.
(408)
(43,946)
ChargePoint
Holdings,
Inc.
*
(5,242)
(104,211)
Chegg,
Inc.
*
(181)
(6,567)
Chewy,
Inc.,
Class
A
*
(135)
(5,505)
Clarivate
plc
*
(8,508)
(142,594)
Cloudflare,
Inc.,
Class
A
*
(198)
(23,701)
CNX
Resources
Corp.
*
(4,483)
(92,888)
Commerce
Bancshares,
Inc.
(665)
(47,607)
Compass
Minerals
International,
Inc.
(396)
(24,865)
Coupa
Software,
Inc.
*
(577)
(58,641)
Crowdstrike
Holdings,
Inc.,
Class
A
*
(144)
(32,700)
Datadog,
Inc.,
Class
A
*
(152)
(23,023)
Dick's
Sporting
Goods,
Inc.
(436)
(43,609)
DISH
Network
Corp.,
Class
A
*
(808)
(25,573)
Dollar
General
Corp.
(470)
(104,636)
DoorDash,
Inc.,
Class
A
*
(387)
(45,353)
DraftKings,
Inc.,
Class
A
*
(721)
(14,038)
DT
Midstream,
Inc.
(199)
(10,798)
Duck
Creek
Technologies,
Inc.
*
(1,471)
(32,539)
Dun
&
Bradstreet
Holdings,
Inc.
*
(2,288)
(40,086)
Entegris,
Inc.
(329)
(43,185)
Envestnet,
Inc.
*
(740)
(55,086)
Envista
Holdings
Corp.
*
(202)
(9,839)
Erie
Indemnity
Co.,
Class
A
(50)
(8,807)
Etsy,
Inc.
*
(220)
(27,342)
Exact
Sciences
Corp.
*
(2,190)
(153,125)
Fastly,
Inc.,
Class
A
*
(1,356)
(23,567)
First
Citizens
BancShares,
Inc.,
Class
A
(85)
(56,576)
First
Financial
Bankshares,
Inc.
(4,327)
(190,907)
First
Solar,
Inc.
*
(170)
(14,236)
Five9,
Inc.
*
(1,135)
(125,304)
Fluor
Corp.
*
(2,338)
(67,077)
Fox
Factory
Holding
Corp.
*
(174)
(17,043)
Freshpet,
Inc.
*
(823)
(84,473)
FTI
Consulting,
Inc.
*
(438)
(68,862)
GameStop
Corp.,
Class
A
*
(1,638)
(272,859)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(7.3)%
(continued)
Generac
Holdings,
Inc.
*
(71)
(21,105)
Glacier
Bancorp,
Inc.
(448)
(22,525)
Graphic
Packaging
Holding
Co.
(1,959)
(39,258)
Grocery
Outlet
Holding
Corp.
*
(5,258)
(172,357)
Guardant
Health,
Inc.
*
(1,221)
(80,879)
Guidewire
Software,
Inc.
*
(299)
(28,291)
H&R
Block,
Inc.
(1,712)
(44,580)
Hasbro,
Inc.
(153)
(12,534)
HealthEquity,
Inc.
*
(1,688)
(113,839)
HEICO
Corp.
(84)
(12,897)
Helen
of
Troy
Ltd.
*
(453)
(88,716)
Horizon
Therapeutics
plc
*
(171)
(17,991)
Hormel
Foods
Corp.
(389)
(20,049)
IAC/InterActiveCorp
*
(698)
(69,995)
II-VI,
Inc.
*
(2,239)
(162,305)
Insulet
Corp.
*
(483)
(128,666)
Ionis
Pharmaceuticals,
Inc.
*
(1,923)
(71,228)
Iovance
Biotherapeutics,
Inc.
*
(3,289)
(54,762)
Jamf
Holding
Corp.
*
(3,224)
(112,227)
Jazz
Pharmaceuticals
plc
*
(898)
(139,792)
KBR,
Inc.
(151)
(8,264)
Kirby
Corp.
*
(290)
(20,935)
Las
Vegas
Sands
Corp.
*
(227)
(8,823)
Leggett
&
Platt,
Inc.
(855)
(29,754)
Leslie's,
Inc.
*
(2,084)
(40,346)
LivaNova
plc
*
(234)
(19,148)
LiveRamp
Holdings,
Inc.
*
(173)
(6,468)
Lululemon
Athletica,
Inc.
*
(132)
(48,210)
Lyft,
Inc.,
Class
A
*
(307)
(11,789)
M&T
Bank
Corp.
(155)
(26,273)
Maravai
LifeSciences
Holdings,
Inc.,
Class
A
*
(765)
(26,982)
Marvell
Technology,
Inc.
(266)
(19,075)
Match
Group,
Inc.
*
(668)
(72,638)
McCormick
&
Co.,
Inc.
(Non-Voting)
(443)
(44,211)
Mercury
Systems,
Inc.
*
(1,510)
(97,320)
Middleby
Corp.
(The)
*
(128)
(20,984)
MillerKnoll,
Inc.
(5,183)
(179,124)
Mirati
Therapeutics,
Inc.
*
(1,228)
(100,966)
MSA
Safety,
Inc.
(127)
(16,853)
Natera,
Inc.
*
(1,291)
(52,518)
nCino,
Inc.
*
(2,485)
(101,835)
New
Relic,
Inc.
*
(1,147)
(76,711)
New
York
Times
Co.
(The),
Class
A
(266)
(12,193)
Nordstrom,
Inc.
(1,590)
(43,105)
NortonLifeLock,
Inc.
(2,453)
(65,054)
Norwegian
Cruise
Line
Holdings
Ltd.
*
(5,413)
(118,436)
NOV,
Inc.
(642)
(12,590)
Oak
Street
Health,
Inc.
*
(403)
(10,833)
Okta,
Inc.
*
(61)
(9,209)
Ollie's
Bargain
Outlet
Holdings,
Inc.
*
(846)
(36,344)
Oshkosh
Corp.
(134)
(13,487)
Palantir
Technologies,
Inc.,
Class
A
*
(699)
(9,597)
Palo
Alto
Networks,
Inc.
*
(224)
(139,442)
Papa
John's
International,
Inc.
(111)
(11,686)
Peloton
Interactive,
Inc.,
Class
A
*
(5,197)
(137,305)
Penumbra,
Inc.
*
(114)
(25,323)
179
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(7.3)%
(continued)
PerkinElmer,
Inc.
(567)
(98,919)
PG&E
Corp.
*
(552)
(6,591)
Plug
Power,
Inc.
*
(4,485)
(128,316)
Pool
Corp.
(147)
(62,159)
Progyny,
Inc.
*
(2,635)
(135,439)
QuantumScape
Corp.
*
(5,355)
(107,046)
R1
RCM,
Inc.
*
(2,449)
(65,535)
Regal
Rexnord
Corp.
(626)
(93,136)
Repligen
Corp.
*
(96)
(18,057)
RH
*
(98)
(31,957)
RingCentral,
Inc.,
Class
A
*
(252)
(29,537)
Rocket
Cos.,
Inc.,
Class
A
(569)
(6,327)
Rockwell
Automation,
Inc.
(119)
(33,324)
Royal
Caribbean
Cruises
Ltd.
*
(1,936)
(162,198)
RPM
International,
Inc.
(488)
(39,743)
Sabre
Corp.
*
(9,852)
(112,608)
Sailpoint
Technologies
Holdings,
Inc.
*
(3,515)
(179,898)
Scotts
Miracle-Gro
Co.
(The)
(1,026)
(126,157)
Shift4
Payments,
Inc.,
Class
A
*
(1,716)
(106,272)
Signature
Bank
(314)
(92,156)
Silicon
Laboratories,
Inc.
*
(373)
(56,025)
SiteOne
Landscape
Supply,
Inc.
*
(202)
(32,661)
Skillz,
Inc.
*
(9,170)
(27,510)
Snap,
Inc.,
Class
A
*
(366)
(13,172)
SolarEdge
Technologies,
Inc.
*
(242)
(78,014)
Sotera
Health
Co.
*
(1,088)
(23,566)
Splunk,
Inc.
*
(464)
(68,955)
Sprouts
Farmers
Market,
Inc.
*
(2,587)
(82,732)
STERIS
plc
(389)
(94,049)
Sunrun,
Inc.
*
(311)
(9,445)
Switch,
Inc.,
Class
A
(2,185)
(67,342)
Sysco
Corp.
(405)
(33,068)
TD
SYNNEX
Corp.
(275)
(28,383)
Teledyne
Technologies,
Inc.
*
(25)
(11,816)
Thor
Industries,
Inc.
(1,085)
(85,390)
TopBuild
Corp.
*
(820)
(148,740)
Trex
Co.,
Inc.
*
(759)
(49,585)
Trinity
Industries,
Inc.
(2,705)
(92,944)
Twitter,
Inc.
*
(941)
(36,407)
Ultragenyx
Pharmaceutical,
Inc.
*
(1,509)
(109,584)
United
Airlines
Holdings,
Inc.
*
(1,082)
(50,162)
Unity
Software,
Inc.
*
(680)
(67,463)
VF
Corp.
(425)
(24,166)
Viasat,
Inc.
*
(607)
(29,622)
Virgin
Galactic
Holdings,
Inc.
*
(754)
(7,450)
Visteon
Corp.
*
(296)
(32,302)
Vroom,
Inc.
*
(9,924)
(26,398)
Wayfair,
Inc.,
Class
A
*
(49)
(5,428)
Webster
Financial
Corp.
(1,436)
(80,588)
White
Mountains
Insurance
Group
Ltd.
(56)
(63,629)
Wingstop,
Inc.
(1,142)
(134,014)
Wolfspeed,
Inc.
*
(1,063)
(121,033)
World
Wrestling
Entertainment,
Inc.,
Class
A
(397)
(24,789)
Worthington
Industries,
Inc.
(705)
(36,244)
Wynn
Resorts
Ltd.
*
(383)
(30,540)
(10,536,019)
INVESTMENTS
SHARES
VALUE
($)
Zambia
-
(0.1)%
First
Quantum
Minerals
Ltd.
(4,139)
(143,292)
TOTAL
COMMON
STOCKS
(Proceeds
$(21,268,793))
(18,726,758)
TOTAL
SHORT
POSITIONS
(Proceeds
$(21,268,793))
(18,726,758)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
115.0%
(Cost
$152,290,878)
166,087,697
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(15.0)%
(k)
(21,727,773)
NET
ASSETS
-
100.0%
144,359,924
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
4,258,606
2.9
%
Consumer
Discretionary
6,621,877
4.6
Consumer
Staples
2,767,418
1.9
Energy
5,382,874
3.7
Financials
10,931,214
7.6
Foreign
Government
Securities
15,014,871
10.4
Health
Care
5,523,109
3.8
Industrials
6,024,586
4.2
Information
Technology
13,071,503
9.1
Materials
4,016,484
2.8
Real
Estate
663,075
0.5
U.S.
Treasury
Obligations
15,637,485
10.8
Utilities
1,356,418
0.9
Short-Term
Investments
74,818,177
51.8
Total
Investments
In
Securities
At
Value
166,087,697
115.0
Liabilities
in
Excess
of
Other
Assets
(k
)
(21,727,773)
(15.0)
Net
Assets
$
144,359,924
100.0%
180
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$20,534,421.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$(166,848),
which
represents
approximately
(0.12)%
of
net
assets
of
the
fund.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$9,600,
which
represents
approximately
0.01%
of
net
assets
of
the
fund.
(e)
On
March
31,
2022,
securities
valued
at
$23,470,156
were
pledged
as
collateral
for
repurchase
and
reverse
repurchase
agreements
outstanding.
(f)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
March
31,
2022,
the
value
of
these
securities
amounted
to
$15,014,871
or
10.40%
of
net
assets.
(g)
Inflation
protected
security.
(h)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(i)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(j)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(k)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security.
(3)
Level
3
security.
Reverse
repurchase
agreements
at
March
31,
2022:
Over
the
Counter
COUNTERPARTY
TRADE
DATE
RATE
DUE
DATE
CURRENCY
PRINCIPAL
AMOUNT
AND
VALUE
OF
REVERSE
REPURCHASE
AGREEMENT
BANA
3/25/2022
0.79%
4/20/2022
GBP
$
259,392
BANA
3/25/2022
0.79%
4/20/2022
GBP
518,784
BANA
3/25/2022
0.79%
4/20/2022
GBP
216,944
BANA
3/25/2022
0.79%
4/20/2022
GBP
518,785
BANA
3/21/2022
0.84%
4/20/2022
GBP
218,984
BANA
3/11/2022
0.85%
4/20/2022
GBP
567,745
BANA
3/11/2022
0.85%
4/20/2022
GBP
219,989
BANA
3/11/2022
0.85%
4/20/2022
GBP
373,342
BANA
3/11/2022
0.85%
4/20/2022
GBP
1,109,275
BANA
3/11/2022
0.85%
4/20/2022
GBP
2,328,986
BNPP
3/29/2022
(0.64)%
4/20/2022
EUR
148,408
BNPP
3/14/2022
(0.63)%
4/20/2022
EUR
213,856
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
818,576
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
645,458
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
1,822,047
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
938,434
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
1,640,325
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
941,385
BNPP
3/11/2022
(0.61)%
4/20/2022
EUR
634,416
BNPP
3/24/2022
(0.61)%
4/20/2022
EUR
149,468
BNPP
3/7/2022
0.32%
4/14/2022
USD
4,480,125
BNPP
3/7/2022
0.32%
4/14/2022
USD
575,625
CITI
3/7/2022
0.32%
4/14/2022
USD
699,750
CITI
3/7/2022
0.32%
4/14/2022
USD
3,852,750
JPMS
3/11/2022
(0.65)%
4/20/2022
EUR
3,045,268
JPMS
3/31/2022
0.29%
4/14/2022
USD
216,250
JPMS
3/7/2022
0.33%
4/14/2022
USD
674,250
$
27,828,617
The
weighted
average
daily
balance
of
the
reverse
repurchase
agreements
during
the
period
ended
March
31,
2022
was
$25,110,419
at
a
net
weighted
average
interest
rate
of
(0.132)%.
181
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Corn
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
(1,198,000)
$
6,513
Corn
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/22/2022
USD
1,198,000
237,913
Corn
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
06/24/2022
USD
1,172,800
13,373
Cotton
No.
2
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/14/2022
USD
67,845
10,600
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
SOCG
04/01/2022
USD
(446,000)
2,581
Live
Cattle
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
54,850
1,704
Live
Cattle
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
SOCG
06/03/2022
USD
219,400
2,509
Soybean
Meal
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/22/2022
USD
(140,250)
3,080
Soybean
Meal
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
(93,500)
2,346
Soybean
Meal
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
93,500
12,717
Soybean
Meal
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/22/2022
USD
140,250
17,800
Soybean
Oil
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
SOCG
04/22/2022
USD
(209,820)
9,163
Soybean
Oil
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
SOCG
04/22/2022
USD
629,460
39,624
359,923
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(55,750)
(1,423)
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
55,750
(1,033)
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
SOCG
04/01/2022
USD
446,000
(11,271)
182
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
SOCG
06/03/2022
USD
(219,400)
$
(683)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(54,850)
(1,645)
Soybean
Meal
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/24/2022
USD
91,880
(2,515)
Soybean
Meal
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
06/24/2022
USD
137,820
(3,250)
Soybean
Oil
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
SOCG
06/24/2022
USD
82,368
(1,241)
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
06/17/2022
CHF
(2,166,120)
(100,408)
(123,469)
$
236,454
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
5
4/2022
EUR
$
800,936
$
7,749
LME
Aluminum
Base
Metal
1
4/2022
USD
87,052
12,874
LME
Aluminum
Base
Metal
1
4/2022
USD
87,147
9,644
LME
Aluminum
Base
Metal
1
4/2022
USD
87,028
13,136
LME
Aluminum
Base
Metal
2
4/2022
USD
174,090
25,759
LME
Aluminum
Base
Metal
2
4/2022
USD
174,181
21,166
LME
Aluminum
Base
Metal
2
4/2022
USD
174,197
19,646
LME
Aluminum
Base
Metal
2
4/2022
USD
174,031
32,543
LME
Aluminum
Base
Metal
2
4/2022
USD
174,077
24,105
LME
Aluminum
Base
Metal
3
4/2022
USD
261,083
43,017
LME
Aluminum
Base
Metal
3
4/2022
USD
261,096
40,368
LME
Aluminum
Base
Metal
4
4/2022
USD
348,335
44,721
LME
Copper
Base
Metal
1
4/2022
USD
259,275
10,397
LME
Copper
Base
Metal
1
4/2022
USD
259,325
15,322
LME
Copper
Base
Metal
1
4/2022
USD
259,188
17,935
LME
Copper
Base
Metal
1
4/2022
USD
259,313
11,760
LME
Copper
Base
Metal
1
4/2022
USD
259,207
18,780
LME
Copper
Base
Metal
1
4/2022
USD
259,238
19,235
LME
Copper
Base
Metal
1
4/2022
USD
259,256
12,553
LME
Nickel
Base
Metal
1
4/2022
USD
192,650
59,117
LME
Zinc
Base
Metal
1
4/2022
USD
105,170
14,342
Natural
Gas
4
4/2022
USD
225,680
37,383
NY
Harbor
ULSD
2
4/2022
USD
282,316
10,226
Brent
Crude
Oil
43
5/2022
USD
4,417,390
(159,063)
Cotton
No.
2
8
5/2022
USD
542,760
86,032
183
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
1
5/2022
USD
$
87,072
$
6,944
LME
Aluminum
Base
Metal
2
5/2022
USD
174,218
10,078
LME
Aluminum
Base
Metal
2
5/2022
USD
174,163
10,907
LME
Aluminum
Base
Metal
3
5/2022
USD
261,332
23,948
LME
Aluminum
Base
Metal
4
5/2022
USD
348,365
29,153
LME
Aluminum
Base
Metal
7
5/2022
USD
609,982
54,424
LME
Copper
Base
Metal
1
5/2022
USD
259,263
9,835
LME
Copper
Base
Metal
1
5/2022
USD
259,275
15,997
LME
Copper
Base
Metal
1
5/2022
USD
259,285
5,191
LME
Copper
Base
Metal
1
5/2022
USD
259,295
9,471
LME
Copper
Base
Metal
1
5/2022
USD
259,346
11,305
LME
Copper
Base
Metal
3
5/2022
USD
777,947
41,093
LME
Zinc
Base
Metal
1
5/2022
USD
104,909
14,157
LME
Zinc
Base
Metal
1
5/2022
USD
105,152
14,699
LME
Zinc
Base
Metal
1
5/2022
USD
105,107
13,204
LME
Zinc
Base
Metal
1
5/2022
USD
105,116
12,863
LME
Zinc
Base
Metal
2
5/2022
USD
210,322
29,966
LME
Zinc
Base
Metal
2
5/2022
USD
210,250
28,694
Natural
Gas
8
5/2022
USD
456,080
14,098
NY
Harbor
ULSD
3
5/2022
USD
403,313
(12,101)
RBOB
Gasoline
8
5/2022
USD
1,040,861
(15,259)
Silver
6
5/2022
USD
753,990
(2,012)
Soybean
Oil
1
5/2022
USD
41,964
(1,829)
100
oz
Gold
6
6/2022
USD
1,172,400
(1,015)
Australia
10
Year
Bond
94
6/2022
AUD
8,939,661
(320,030)
Australia
3
Year
Bond
31
6/2022
AUD
2,547,700
(41,125)
Canada
10
Year
Bond
51
6/2022
CAD
5,319,274
(167,222)
EURO
STOXX
50
Index
7
6/2022
EUR
296,044
8,236
Euro-Bobl
118
6/2022
EUR
16,830,200
(285,809)
Euro-BTP
20
6/2022
EUR
3,064,755
(117,184)
Euro-Bund
52
6/2022
EUR
9,126,917
(323,676)
Euro-Buxl
5
6/2022
EUR
1,027,264
(75,641)
Euro-OAT
24
6/2022
EUR
4,019,936
(169,004)
Euro-Schatz
7
6/2022
EUR
857,814
(9,393)
FTSE
100
Index
2
6/2022
GBP
196,680
(785)
FTSE/MIB
Index
7
6/2022
EUR
944,970
39,175
Japan
10
Year
Bond
21
6/2022
JPY
25,859,290
(104,533)
Lean
Hogs
5
6/2022
USD
241,250
12,582
Live
Cattle
3
6/2022
USD
164,550
(847)
LME
Aluminum
Base
Metal
2
6/2022
USD
174,436
3,683
LME
Aluminum
Base
Metal
2
6/2022
USD
174,356
(27,775)
LME
Aluminum
Base
Metal
3
6/2022
USD
261,821
7,403
LME
Aluminum
Base
Metal
3
6/2022
USD
261,825
(3,209)
LME
Aluminum
Base
Metal
30
6/2022
USD
2,618,625
259,670
LME
Copper
Base
Metal
1
6/2022
USD
259,394
(10,359)
LME
Copper
Base
Metal
1
6/2022
USD
259,375
(2,822)
LME
Copper
Base
Metal
4
6/2022
USD
1,037,500
2,489
LME
Copper
Base
Metal
16
6/2022
USD
4,151,000
199,917
LME
Lead
Base
Metal
1
6/2022
USD
60,444
3,479
LME
Lead
Base
Metal
4
6/2022
USD
242,250
12,514
LME
Nickel
Base
Metal
1
6/2022
USD
192,588
15,106
LME
Nickel
Base
Metal
1
6/2022
USD
192,597
(786)
LME
Nickel
Base
Metal
2
6/2022
USD
385,056
(192,379)
LME
Nickel
Base
Metal
2
6/2022
USD
385,194
(61,617)
LME
Nickel
Base
Metal
8
6/2022
USD
1,540,800
506,932
LME
Zinc
Base
Metal
1
6/2022
USD
104,823
4,683
184
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
1
6/2022
USD
$
104,809
$
(194)
LME
Zinc
Base
Metal
1
6/2022
USD
104,600
9,175
LME
Zinc
Base
Metal
16
6/2022
USD
1,675,400
260,328
Low
Sulphur
Gasoil
12
6/2022
USD
1,154,700
(45)
SPI
200
Index
11
6/2022
AUD
1,539,047
77,828
Sugar
No.
11
66
6/2022
USD
1,428,134
14,253
TOPIX
Index
7
6/2022
JPY
1,119,230
38,763
U.S.
Treasury
10
Year
Note
183
6/2022
USD
22,463,250
(533,733)
U.S.
Treasury
2
Year
Note
137
6/2022
USD
29,014,030
(380,068)
U.S.
Treasury
5
Year
Note
345
6/2022
USD
39,513,280
(874,569)
U.S.
Treasury
Long
Bond
36
6/2022
USD
5,407,875
(144,065)
U.S.
Treasury
Ultra
Bond
13
6/2022
USD
2,301,813
(83,940)
Coffee
'C'
1
7/2022
USD
84,919
4,581
Corn
44
7/2022
USD
1,612,600
18,570
KC
HRW
Wheat
2
7/2022
USD
102,975
(5,127)
Silver
2
7/2022
USD
252,020
650
Soybean
Meal
17
7/2022
USD
780,980
(19,612)
Feeder
Cattle
1
8/2022
USD
88,788
(1,554)
(1,684,528)
Short
Contracts
CAC
40
10
Euro
Index
(7)
4/2022
EUR
(515,540)
(9,052)
Hang
Seng
Index
(8)
4/2022
HKD
(1,122,898)
(14,567)
IBEX
35
Index
(4)
4/2022
EUR
(372,404)
(9,287)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,052)
(12,929)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,028)
(13,156)
LME
Aluminum
Base
Metal
(1)
4/2022
USD
(87,147)
(9,582)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,077)
(25,608)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,197)
(19,552)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,090)
(25,696)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,031)
(33,036)
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,181)
(21,686)
LME
Aluminum
Base
Metal
(3)
4/2022
USD
(261,096)
(40,580)
LME
Aluminum
Base
Metal
(3)
4/2022
USD
(261,083)
(44,341)
LME
Aluminum
Base
Metal
(4)
4/2022
USD
(348,335)
(44,647)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,188)
(18,246)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,313)
(11,221)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,325)
(14,789)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,275)
(10,241)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,256)
(11,177)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,207)
(19,103)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,238)
(19,909)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,650)
(58,163)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,170)
(14,823)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,072)
(7,724)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,218)
(10,124)
LME
Aluminum
Base
Metal
(2)
5/2022
USD
(174,163)
(10,048)
LME
Aluminum
Base
Metal
(3)
5/2022
USD
(261,332)
(22,604)
LME
Aluminum
Base
Metal
(4)
5/2022
USD
(348,365)
(31,466)
LME
Aluminum
Base
Metal
(7)
5/2022
USD
(609,982)
(50,652)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,275)
(15,003)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,285)
(4,663)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,295)
(9,548)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,346)
(10,599)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,263)
(10,871)
LME
Copper
Base
Metal
(3)
5/2022
USD
(777,947)
(41,905)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,107)
(13,551)
185
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(1)
5/2022
USD
$
(105,152)
$
(14,595)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(104,909)
(14,007)
LME
Zinc
Base
Metal
(1)
5/2022
USD
(105,116)
(12,297)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,250)
(29,468)
LME
Zinc
Base
Metal
(2)
5/2022
USD
(210,322)
(29,790)
WTI
Crude
Oil
(18)
5/2022
USD
(1,773,360)
44,035
DAX
Index
(9)
6/2022
EUR
(3,592,464)
(93,139)
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,436)
(3,942)
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,356)
26,639
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,825)
2,127
LME
Aluminum
Base
Metal
(3)
6/2022
USD
(261,821)
(6,829)
LME
Aluminum
Base
Metal
(21)
6/2022
USD
(1,833,038)
(140,546)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
2,985
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,394)
5,755
LME
Copper
Base
Metal
(4)
6/2022
USD
(1,037,500)
3,360
LME
Copper
Base
Metal
(12)
6/2022
USD
(3,113,250)
(95,874)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,444)
(3,647)
LME
Lead
Base
Metal
(1)
6/2022
USD
(60,563)
(3,590)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,597)
(5,568)
LME
Nickel
Base
Metal
(1)
6/2022
USD
(192,588)
(20,680)
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,056)
192,368
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,194)
59,927
LME
Nickel
Base
Metal
(6)
6/2022
USD
(1,155,600)
237,610
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,809)
(886)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,600)
(9,078)
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,823)
(4,228)
LME
Zinc
Base
Metal
(11)
6/2022
USD
(1,151,838)
(132,269)
Long
Gilt
(123)
6/2022
GBP
(19,622,148)
182,496
S&P
500
E-Mini
Index
(46)
6/2022
USD
(10,420,725)
(630,211)
S&P
Midcap
400
E-Mini
Index
(2)
6/2022
USD
(537,840)
(26,274)
S&P/TSX
60
Index
(6)
6/2022
CAD
(1,264,264)
(28,207)
Cocoa
(5)
7/2022
USD
(134,350)
(6,165)
Cotton
No.
2
(1)
7/2022
USD
(66,035)
(1,095)
Soybean
(3)
7/2022
USD
(239,700)
10,147
Soybean
Oil
(1)
7/2022
USD
(41,184)
1,039
Wheat
(1)
7/2022
USD
(50,100)
2,204
(1,281,842)
$
(2,966,370)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
6,193,002
USD
4,505,507
CITI
6/15/2022
$
134,577
AUD
6,192,998
USD
4,505,510
JPMC
6/15/2022
134,571
BRL
10,757,000
USD
2,048,819
CITI
**
6/15/2022
163,286
BRL
10,757,000
USD
2,048,822
JPMC
**
6/15/2022
163,283
CAD
2,506,500
USD
1,967,575
CITI
6/15/2022
37,014
CAD
2,506,500
USD
1,967,578
JPMC
6/15/2022
37,012
CHF
91,500
USD
98,802
CITI
6/15/2022
532
CHF
91,500
USD
98,803
JPMC
6/15/2022
532
CLP
618,231,000
USD
759,737
CITI
**
6/15/2022
16,210
186
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CLP
618,231,000
USD
759,738
JPMC
**
6/15/2022
$
16,209
CNY
1,722,375
USD
269,701
CITI
**
6/15/2022
177
CNY
1,722,374
USD
269,702
JPMC
**
6/15/2022
178
CZK
15,423,500
USD
680,359
CITI
6/15/2022
12,514
CZK
15,423,500
USD
680,360
JPMC
6/15/2022
12,514
DKK
213,500
USD
31,592
CITI
6/15/2022
249
DKK
213,500
USD
31,592
JPMC
6/15/2022
249
EUR
2,052,500
USD
2,263,107
CITI
6/15/2022
13,902
EUR
2,052,500
USD
2,263,110
JPMC
6/15/2022
13,899
GBP
150,500
USD
197,205
CITI
6/15/2022
442
GBP
150,500
USD
197,205
JPMC
6/15/2022
443
HUF
9,911,500
USD
28,759
CITI
6/15/2022
779
HUF
9,911,500
USD
28,759
JPMC
6/15/2022
779
INR
109,614,251
USD
1,428,366
CITI
**
6/15/2022
1,455
INR
109,614,250
USD
1,428,368
JPMC
**
6/15/2022
1,454
MXN
82,531,001
USD
3,973,716
CITI
6/15/2022
121,128
MXN
82,530,999
USD
3,973,721
JPMC
6/15/2022
121,123
NOK
11,296,000
USD
1,257,104
CITI
6/15/2022
25,356
NOK
11,296,000
USD
1,257,106
JPMC
6/15/2022
25,355
NZD
200,000
USD
137,633
CITI
6/15/2022
801
NZD
200,000
USD
137,634
JPMC
6/15/2022
801
PLN
2,700,805
USD
617,932
CITI
6/15/2022
20,165
PLN
2,700,801
USD
617,932
JPMC
6/15/2022
20,164
RUB
17,405,500
USD
222,310
CITI
**
6/15/2022
3,917
RUB
17,405,499
USD
222,311
JPMC
**
6/15/2022
3,917
SEK
32,332,000
USD
3,387,210
CITI
6/15/2022
57,941
SEK
32,332,000
USD
3,387,214
JPMC
6/15/2022
57,937
USD
20,125
BRL
97,500
CITI
**
6/15/2022
75
USD
20,125
BRL
97,500
JPMC
**
6/15/2022
75
USD
2,021,067
CHF
1,854,000
CITI
6/15/2022
8,325
USD
2,021,064
CHF
1,854,000
JPMC
6/15/2022
8,322
USD
198,397
CNY
1,262,000
CITI
**
6/15/2022
654
USD
198,396
CNY
1,262,000
JPMC
**
6/15/2022
653
USD
26,039
CZK
577,000
CITI
6/15/2022
118
USD
26,039
CZK
577,000
JPMC
6/15/2022
118
USD
75
DKK
500
CITI
6/15/2022
USD
75
DKK
500
JPMC
6/15/2022
USD
14,256,113
EUR
12,618,246
CITI
6/15/2022
257,639
USD
14,230,419
EUR
12,595,228
JPMC
6/15/2022
257,483
USD
6,576,595
GBP
4,935,809
CITI
6/15/2022
94,536
USD
6,569,963
GBP
4,930,800
JPMC
6/15/2022
94,481
USD
613,961
HKD
4,792,000
CITI
6/15/2022
1,564
USD
613,961
HKD
4,792,000
JPMC
6/15/2022
1,564
USD
176,194
HUF
58,940,500
CITI
6/15/2022
542
USD
176,194
HUF
58,940,500
JPMC
6/15/2022
542
USD
219,488
INR
16,801,500
CITI
**
6/15/2022
327
USD
219,487
INR
16,801,500
JPMC
**
6/15/2022
326
USD
4,138,896
JPY
481,006,500
CITI
6/15/2022
180,086
USD
4,138,891
JPY
481,006,500
JPMC
6/15/2022
180,080
USD
345,899
KRW
417,418,000
CITI
**
6/15/2022
2,533
USD
345,899
KRW
417,418,000
JPMC
**
6/15/2022
2,532
USD
212,114
NOK
1,854,000
CITI
6/15/2022
1,625
USD
212,114
NOK
1,854,000
JPMC
6/15/2022
1,625
USD
125,723
PLN
531,000
CITI
6/15/2022
268
USD
125,723
PLN
531,000
JPMC
6/15/2022
268
USD
487,368
SEK
4,530,000
CITI
6/15/2022
4,671
USD
487,367
SEK
4,529,998
JPMC
6/15/2022
4,672
USD
162,916
SGD
219,501
CITI
6/15/2022
966
187
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
162,914
SGD
219,499
JPMC
6/15/2022
$
966
ZAR
44,796,505
USD
2,897,935
CITI
6/15/2022
138,947
ZAR
44,796,497
USD
2,897,938
JPMC
6/15/2022
138,943
Total
unrealized
appreciation
2,606,391
AUD
701,500
USD
527,455
CITI
6/15/2022
(1,858)
AUD
701,500
USD
527,455
JPMC
6/15/2022
(1,859)
CNY
11,359,128
USD
1,783,861
CITI
**
6/15/2022
(4,001)
CNY
11,359,123
USD
1,783,862
JPMC
**
6/15/2022
(4,004)
DKK
549,000
USD
83,787
CITI
6/15/2022
(1,912)
DKK
549,000
USD
83,787
JPMC
6/15/2022
(1,912)
EUR
2,210,859
USD
2,478,835
CITI
6/15/2022
(26,144)
EUR
2,210,857
USD
2,478,836
JPMC
6/15/2022
(26,147)
GBP
2,101,000
USD
2,841,087
CITI
6/15/2022
(81,902)
GBP
2,100,000
USD
2,839,757
JPMC
6/15/2022
(81,886)
HUF
308,656,502
USD
947,491
CITI
6/15/2022
(27,646)
HUF
308,656,498
USD
947,492
JPMC
6/15/2022
(27,647)
INR
105,367,250
USD
1,382,728
CITI
**
6/15/2022
(8,304)
INR
105,367,249
USD
1,382,730
JPMC
**
6/15/2022
(8,306)
JPY
518,700,000
USD
4,493,467
CITI
6/15/2022
(224,428)
JPY
518,700,000
USD
4,493,472
JPMC
6/15/2022
(224,433)
KRW
2,046,361,503
USD
1,706,046
CITI
**
6/15/2022
(22,715)
KRW
2,046,361,496
USD
1,706,048
JPMC
**
6/15/2022
(22,718)
MXN
47,000
USD
2,334
CITI
6/15/2022
(2)
MXN
47,000
USD
2,334
JPMC
6/15/2022
(2)
NOK
69,000
USD
7,859
CITI
6/15/2022
(25)
NOK
69,000
USD
7,859
JPMC
6/15/2022
(26)
NZD
150,000
USD
104,171
CITI
6/15/2022
(345)
NZD
150,000
USD
104,171
JPMC
6/15/2022
(345)
PLN
4,410,698
USD
1,083,567
CITI
6/15/2022
(41,489)
PLN
4,410,696
USD
1,083,568
JPMC
6/15/2022
(41,490)
SEK
18,775,000
USD
2,012,297
CITI
6/15/2022
(11,718)
SEK
18,775,000
USD
2,012,299
JPMC
6/15/2022
(11,721)
USD
1,631,187
AUD
2,252,000
CITI
6/15/2022
(56,115)
USD
1,631,185
AUD
2,252,000
JPMC
6/15/2022
(56,118)
USD
214,104
BRL
1,121,003
CITI
**
6/15/2022
(16,423)
USD
214,103
BRL
1,120,997
JPMC
**
6/15/2022
(16,423)
USD
2,082,623
CAD
2,650,501
CITI
6/15/2022
(37,132)
USD
2,082,619
CAD
2,650,499
JPMC
6/15/2022
(37,135)
USD
37,984
CHF
35,000
CITI
6/15/2022
(13)
USD
37,984
CHF
35,000
JPMC
6/15/2022
(13)
USD
21,819
CLP
17,914,000
CITI
**
6/15/2022
(665)
USD
21,819
CLP
17,914,000
JPMC
**
6/15/2022
(665)
USD
7,614
CNY
49,000
CITI
**
6/15/2022
(63)
USD
7,614
CNY
49,000
JPMC
**
6/15/2022
(63)
USD
107,927
CZK
2,432,500
CITI
6/15/2022
(1,349)
USD
107,927
CZK
2,432,500
JPMC
6/15/2022
(1,349)
USD
62,815
DKK
427,500
CITI
6/15/2022
(940)
USD
62,815
DKK
427,500
JPMC
6/15/2022
(940)
USD
2,752,846
EUR
2,511,500
CITI
6/15/2022
(33,369)
USD
2,735,289
EUR
2,495,500
JPMC
6/15/2022
(33,178)
USD
1,570,455
GBP
1,202,000
CITI
6/15/2022
(8,099)
USD
1,567,829
GBP
1,200,000
JPMC
6/15/2022
(8,097)
USD
147,263
HUF
50,620,500
CITI
6/15/2022
(3,593)
USD
147,263
HUF
50,620,500
JPMC
6/15/2022
(3,594)
USD
19,555
INR
1,505,500
CITI
**
6/15/2022
(83)
USD
19,555
INR
1,505,500
JPMC
**
6/15/2022
(82)
USD
2,694,427
JPY
330,300,000
CITI
6/15/2022
(24,031)
USD
2,694,423
JPY
330,300,000
JPMC
6/15/2022
(24,034)
188
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
117,363
KRW
144,384,000
CITI
**
6/15/2022
$
(1,408)
USD
117,362
KRW
144,384,000
JPMC
**
6/15/2022
(1,408)
USD
503,524
MXN
10,670,000
CITI
6/15/2022
(25,876)
USD
503,524
MXN
10,670,000
JPMC
6/15/2022
(25,877)
USD
923,198
NOK
8,228,501
CITI
6/15/2022
(11,002)
USD
923,197
NOK
8,228,499
JPMC
6/15/2022
(11,003)
USD
2,641,698
NZD
3,950,000
CITI
6/15/2022
(92,380)
USD
2,641,695
NZD
3,950,000
JPMC
6/15/2022
(92,383)
USD
1,062,367
PLN
4,670,500
CITI
6/15/2022
(41,093)
USD
1,062,366
PLN
4,670,500
JPMC
6/15/2022
(41,094)
USD
147,504
RUB
17,405,500
CITI
**
6/15/2022
(78,724)
USD
147,503
RUB
17,405,499
JPMC
**
6/15/2022
(78,724)
USD
2,604,047
SEK
25,062,001
CITI
6/15/2022
(66,446)
USD
2,604,043
SEK
25,062,001
JPMC
6/15/2022
(66,450)
USD
41,156
SGD
56,000
CITI
6/15/2022
(161)
USD
41,156
SGD
56,000
JPMC
6/15/2022
(161)
USD
289,141
ZAR
4,467,500
CITI
6/15/2022
(13,724)
USD
289,140
ZAR
4,467,500
JPMC
6/15/2022
(13,724)
Total
unrealized
depreciation
(1,930,189)
Net
unrealized
appreciation
$
676,202
**
Non-deliverable
forward.
189
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
90.7%
INVESTMENT
COMPANIES
-
48.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(a)(b)
178
178
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(a)
255,678,596
255,550,756
UBS
Select
Treasury
Preferred
Fund,
Class
I,
0.17%
(1)(a)
964
964
TOTAL
INVESTMENT
COMPANIES
(Cost
$255,549,756)
255,551,898
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
42.0%
U.S.
Treasury
Bills
0.05%,
4/7/2022
(c)
$
2,697,000
2,696,935
0.05%,
4/14/2022
(c)
964,000
963,951
0.06%,
4/21/2022
(c)
7,466,000
7,465,492
0.06%,
4/28/2022
(c)
4,099,000
4,098,673
0.07%,
5/5/2022
(c)
1,271,000
1,270,823
0.06%,
5/19/2022
(c)
2,826,000
2,825,061
0.07%,
5/26/2022
(c)
8,384,000
8,380,317
0.09%,
6/2/2022
(c)
5,415,000
5,411,955
0.10%,
6/9/2022
(c)
1,703,000
1,701,776
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
42.0%
(continued)
0.13%,
6/16/2022
(c)
$
9,785,000
9,776,427
0.16%,
6/23/2022
(c)
4,882,000
4,876,752
0.21%,
6/30/2022
(c)
12,495,000
12,479,030
0.22%,
7/7/2022
(c)
1,007,000
1,005,440
0.28%,
7/14/2022
(c)
1,917,000
1,913,636
0.37%,
7/21/2022
(c)
8,106,000
8,089,504
0.38%,
7/28/2022
(c)
5,619,000
5,605,095
0.51%,
8/4/2022
(c)
16,126,000
16,081,336
0.77%,
8/18/2022
(c)
12,045,000
12,005,779
0.71%,
8/25/2022
(c)
7,400,000
7,373,095
0.67%,
9/1/2022
(c)
15,821,000
15,759,711
0.70%,
9/8/2022
(c)
27,252,000
27,140,994
0.82%,
9/15/2022
(c)
41,942,000
41,760,763
1.06%,
9/29/2022
(c)
21,633,000
21,523,491
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$220,333,428)
220,206,036
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$475,883,184)
475,757,934
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
90.7%
(Cost
$475,883,184)
475,757,934
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
9.3%
(d)
48,979,019
NET
ASSETS
-
100.0%
524,736,953
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
Includes
appreciation/(depreciation)
on
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Corn
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
04/22/2022
USD
74,875
$
8,209
Cotton
No.
2
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/14/2022
USD
135,690
22,235
Live
Cattle
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
(501,750)
10,071
Live
Cattle
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/01/2022
USD
501,750
2,913
Soybean
Meal
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
(1,916,750)
21,997
190
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Soybean
Meal
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
04/22/2022
USD
1,916,750
$
239,809
Soybean
Meal
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/24/2022
USD
(1,607,900)
19,677
Wheat
May
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
04/22/2022
USD
100,600
7,609
Wheat
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
06/24/2022
USD
(50,100)
2,050
334,570
Corn
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
04/22/2022
USD
(74,875)
(6,979)
Corn
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
06/24/2022
USD
(36,650)
(1,050)
Corn
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
06/24/2022
USD
36,650
(44)
Live
Cattle
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
06/03/2022
USD
(1,810,050)
(20,666)
Soybean
Meal
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
06/24/2022
USD
1,607,900
(33,944)
Wheat
May
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
04/22/2022
USD
(100,600)
(4,632)
Wheat
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
06/24/2022
USD
50,100
(6,431)
(73,746)
$
260,824
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
2
4/2022
USD
$
174,293
$
19,287
LME
Aluminum
Base
Metal
5
4/2022
USD
435,258
64,369
LME
Aluminum
Base
Metal
22
4/2022
USD
1,914,611
313,406
LME
Aluminum
Base
Metal
24
4/2022
USD
2,088,666
330,262
LME
Aluminum
Base
Metal
31
4/2022
USD
2,698,395
402,769
LME
Aluminum
Base
Metal
31
4/2022
USD
2,700,046
315,916
191
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
34
4/2022
USD
$
2,959,088
$
449,683
LME
Aluminum
Base
Metal
46
4/2022
USD
4,008,003
500,942
LME
Aluminum
Base
Metal
46
4/2022
USD
4,006,152
462,569
LME
Aluminum
Base
Metal
46
4/2022
USD
4,002,702
744,953
LME
Aluminum
Base
Metal
47
4/2022
USD
4,092,936
525,640
LME
Aluminum
Base
Metal
60
4/2022
USD
5,222,310
726,664
LME
Copper
Base
Metal
1
4/2022
USD
259,238
19,235
LME
Copper
Base
Metal
1
4/2022
USD
259,265
10,326
LME
Copper
Base
Metal
2
4/2022
USD
518,588
28,310
LME
Copper
Base
Metal
2
4/2022
USD
518,625
23,520
LME
Copper
Base
Metal
5
4/2022
USD
1,296,036
93,898
LME
Copper
Base
Metal
8
4/2022
USD
2,074,238
83,817
LME
Copper
Base
Metal
8
4/2022
USD
2,074,300
84,279
LME
Copper
Base
Metal
8
4/2022
USD
2,073,968
147,847
LME
Copper
Base
Metal
16
4/2022
USD
4,147,160
350,205
LME
Copper
Base
Metal
17
4/2022
USD
4,407,344
213,399
LME
Copper
Base
Metal
20
4/2022
USD
5,183,755
357,577
LME
Copper
Base
Metal
25
4/2022
USD
6,483,125
383,059
LME
Lead
Base
Metal
2
4/2022
USD
121,100
2,645
LME
Lead
Base
Metal
2
4/2022
USD
121,039
5,270
LME
Lead
Base
Metal
2
4/2022
USD
121,067
3,187
LME
Lead
Base
Metal
3
4/2022
USD
181,608
3,625
LME
Lead
Base
Metal
6
4/2022
USD
363,104
19,789
LME
Lead
Base
Metal
13
4/2022
USD
786,877
42,430
LME
Lead
Base
Metal
14
4/2022
USD
847,438
34,001
LME
Lead
Base
Metal
20
4/2022
USD
1,211,000
28,447
LME
Nickel
Base
Metal
1
4/2022
USD
192,657
58,536
LME
Nickel
Base
Metal
1
4/2022
USD
192,658
59,481
LME
Nickel
Base
Metal
1
4/2022
USD
192,662
61,096
LME
Nickel
Base
Metal
1
4/2022
USD
192,606
70,736
LME
Nickel
Base
Metal
2
4/2022
USD
385,380
99,954
LME
Nickel
Base
Metal
2
4/2022
USD
385,332
118,045
LME
Nickel
Base
Metal
3
4/2022
USD
577,950
174,958
LME
Nickel
Base
Metal
7
4/2022
USD
1,348,644
401,458
LME
Nickel
Base
Metal
10
4/2022
USD
1,926,700
568,876
LME
Nickel
Base
Metal
17
4/2022
USD
3,275,662
960,632
LME
Nickel
Base
Metal
18
4/2022
USD
3,468,180
1,043,464
LME
Zinc
Base
Metal
1
4/2022
USD
105,291
16,614
LME
Zinc
Base
Metal
1
4/2022
USD
105,288
13,901
LME
Zinc
Base
Metal
2
4/2022
USD
211,113
34,657
LME
Zinc
Base
Metal
2
4/2022
USD
210,340
28,684
LME
Zinc
Base
Metal
3
4/2022
USD
315,863
48,935
LME
Zinc
Base
Metal
5
4/2022
USD
526,563
86,856
LME
Zinc
Base
Metal
6
4/2022
USD
631,071
87,453
LME
Zinc
Base
Metal
7
4/2022
USD
736,488
102,354
LME
Zinc
Base
Metal
13
4/2022
USD
1,368,088
196,424
LME
Zinc
Base
Metal
20
4/2022
USD
2,103,750
295,691
Natural
Gas
26
4/2022
USD
1,466,920
230,326
NY
Harbor
ULSD
38
4/2022
USD
5,363,996
194,302
Brent
Crude
Oil
513
5/2022
USD
52,700,490
(1,258,160)
Cotton
No.
2
152
5/2022
USD
10,312,440
1,485,710
LME
Aluminum
Base
Metal
1
5/2022
USD
87,084
531
LME
Aluminum
Base
Metal
1
5/2022
USD
87,175
10,222
LME
Aluminum
Base
Metal
12
5/2022
USD
1,046,133
68,388
LME
Aluminum
Base
Metal
16
5/2022
USD
1,393,300
87,253
LME
Aluminum
Base
Metal
25
5/2022
USD
2,177,519
93,070
192
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
38
5/2022
USD
$
3,310,142
$
63,755
LME
Aluminum
Base
Metal
42
5/2022
USD
3,662,778
489,884
LME
Aluminum
Base
Metal
79
5/2022
USD
6,881,749
630,641
LME
Aluminum
Base
Metal
83
5/2022
USD
7,228,574
604,929
LME
Aluminum
Base
Metal
87
5/2022
USD
7,578,483
432,268
LME
Aluminum
Base
Metal
107
5/2022
USD
9,324,007
755,908
LME
Copper
Base
Metal
1
5/2022
USD
259,298
11,321
LME
Copper
Base
Metal
1
5/2022
USD
259,275
13,796
LME
Copper
Base
Metal
1
5/2022
USD
259,300
13,772
LME
Copper
Base
Metal
2
5/2022
USD
518,713
24,007
LME
Copper
Base
Metal
3
5/2022
USD
777,925
38,781
LME
Copper
Base
Metal
6
5/2022
USD
1,555,712
23,819
LME
Copper
Base
Metal
7
5/2022
USD
1,815,538
67,619
LME
Copper
Base
Metal
9
5/2022
USD
2,333,588
122,939
LME
Copper
Base
Metal
19
5/2022
USD
4,926,463
198,428
LME
Copper
Base
Metal
21
5/2022
USD
5,445,563
314,993
LME
Copper
Base
Metal
33
5/2022
USD
8,557,420
448,189
LME
Copper
Base
Metal
39
5/2022
USD
10,112,515
395,556
LME
Copper
Base
Metal
46
5/2022
USD
11,926,075
462,144
LME
Copper
Base
Metal
47
5/2022
USD
12,189,262
429,167
LME
Lead
Base
Metal
2
5/2022
USD
121,202
11,122
LME
Lead
Base
Metal
2
5/2022
USD
121,173
7,532
LME
Lead
Base
Metal
6
5/2022
USD
362,963
11,386
LME
Lead
Base
Metal
7
5/2022
USD
423,325
9,223
LME
Lead
Base
Metal
9
5/2022
USD
545,672
47,731
LME
Lead
Base
Metal
13
5/2022
USD
786,286
21,851
LME
Lead
Base
Metal
23
5/2022
USD
1,392,984
65,582
LME
Lead
Base
Metal
25
5/2022
USD
1,514,844
93,149
LME
Nickel
Base
Metal
1
5/2022
USD
192,637
55,129
LME
Nickel
Base
Metal
1
5/2022
USD
192,590
51,677
LME
Nickel
Base
Metal
4
5/2022
USD
769,989
190,378
LME
Nickel
Base
Metal
4
5/2022
USD
770,333
206,711
LME
Nickel
Base
Metal
6
5/2022
USD
1,155,740
316,571
LME
Nickel
Base
Metal
6
5/2022
USD
1,154,952
274,982
LME
Nickel
Base
Metal
11
5/2022
USD
2,118,783
592,994
LME
Nickel
Base
Metal
15
5/2022
USD
2,889,650
844,907
LME
Nickel
Base
Metal
21
5/2022
USD
4,044,810
1,080,198
LME
Nickel
Base
Metal
28
5/2022
USD
5,389,850
1,144,642
LME
Zinc
Base
Metal
8
5/2022
USD
839,158
116,134
LME
Zinc
Base
Metal
13
5/2022
USD
1,366,043
194,767
LME
Zinc
Base
Metal
14
5/2022
USD
1,472,125
205,783
LME
Zinc
Base
Metal
16
5/2022
USD
1,682,144
236,897
LME
Zinc
Base
Metal
17
5/2022
USD
1,786,823
224,473
LME
Zinc
Base
Metal
19
5/2022
USD
1,993,542
281,786
LME
Zinc
Base
Metal
21
5/2022
USD
2,206,874
308,412
LME
Zinc
Base
Metal
35
5/2022
USD
3,679,375
511,922
LME
Zinc
Base
Metal
41
5/2022
USD
4,311,591
613,857
LME
Zinc
Base
Metal
46
5/2022
USD
4,835,336
591,700
LME
Zinc
Base
Metal
51
5/2022
USD
5,350,359
721,017
Natural
Gas
140
5/2022
USD
7,981,400
384,137
NY
Harbor
ULSD
31
5/2022
USD
4,167,572
(50,819)
RBOB
Gasoline
47
5/2022
USD
6,115,057
(255,298)
Silver
206
5/2022
USD
25,886,990
(62,933)
Soybean
Oil
253
5/2022
USD
10,616,892
(737,931)
100
oz
Gold
470
6/2022
USD
91,838,000
504,708
Lean
Hogs
43
6/2022
USD
2,074,750
113,371
193
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Live
Cattle
268
6/2022
USD
$
14,699,800
$
110,450
LME
Aluminum
Base
Metal
2
6/2022
USD
174,500
(2,748)
LME
Aluminum
Base
Metal
4
6/2022
USD
349,014
(5,723)
LME
Aluminum
Base
Metal
6
6/2022
USD
523,308
14,256
LME
Aluminum
Base
Metal
11
6/2022
USD
959,750
40,668
LME
Aluminum
Base
Metal
18
6/2022
USD
1,568,246
31,442
LME
Aluminum
Base
Metal
22
6/2022
USD
1,920,050
(24,552)
LME
Aluminum
Base
Metal
22
6/2022
USD
1,917,911
(278,422)
LME
Aluminum
Base
Metal
42
6/2022
USD
3,664,500
145,551
LME
Aluminum
Base
Metal
61
6/2022
USD
5,322,692
(247,838)
LME
Aluminum
Base
Metal
83
6/2022
USD
7,243,701
205,093
LME
Aluminum
Base
Metal
115
6/2022
USD
10,036,625
(326,619)
LME
Aluminum
Base
Metal
137
6/2022
USD
11,945,064
(189,312)
LME
Aluminum
Base
Metal
148
6/2022
USD
12,900,457
(1,028,170)
LME
Aluminum
Base
Metal
1,058
6/2022
USD
92,350,175
7,176,543
LME
Copper
Base
Metal
1
6/2022
USD
259,375
3,154
LME
Copper
Base
Metal
1
6/2022
USD
259,375
310
LME
Copper
Base
Metal
3
6/2022
USD
777,975
30,967
LME
Copper
Base
Metal
4
6/2022
USD
1,037,500
7,990
LME
Copper
Base
Metal
9
6/2022
USD
2,334,375
7,509
LME
Copper
Base
Metal
11
6/2022
USD
2,853,331
(106,448)
LME
Copper
Base
Metal
21
6/2022
USD
5,447,138
155,080
LME
Copper
Base
Metal
23
6/2022
USD
5,966,488
31,852
LME
Copper
Base
Metal
24
6/2022
USD
6,225,000
65,959
LME
Copper
Base
Metal
38
6/2022
USD
9,856,250
(3,634)
LME
Copper
Base
Metal
51
6/2022
USD
13,231,058
538,642
LME
Copper
Base
Metal
55
6/2022
USD
14,264,938
67,861
LME
Copper
Base
Metal
65
6/2022
USD
16,859,375
(6,596)
LME
Copper
Base
Metal
400
6/2022
USD
103,775,000
4,115,571
LME
Lead
Base
Metal
3
6/2022
USD
181,200
1,434
LME
Lead
Base
Metal
4
6/2022
USD
242,328
(7,882)
LME
Lead
Base
Metal
5
6/2022
USD
302,883
(9,519)
LME
Lead
Base
Metal
13
6/2022
USD
785,119
14,459
LME
Lead
Base
Metal
20
6/2022
USD
1,211,500
73,930
LME
Lead
Base
Metal
22
6/2022
USD
1,329,559
86,596
LME
Lead
Base
Metal
29
6/2022
USD
1,751,238
45,236
LME
Lead
Base
Metal
40
6/2022
USD
2,423,330
(1,775)
LME
Lead
Base
Metal
43
6/2022
USD
2,598,275
146,100
LME
Lead
Base
Metal
48
6/2022
USD
2,907,408
4,626
LME
Lead
Base
Metal
49
6/2022
USD
2,959,906
99,452
LME
Lead
Base
Metal
50
6/2022
USD
3,024,688
198,285
LME
Lead
Base
Metal
65
6/2022
USD
3,928,844
232,404
LME
Lead
Base
Metal
421
6/2022
USD
25,496,813
1,282,429
LME
Nickel
Base
Metal
2
6/2022
USD
385,032
89,926
LME
Nickel
Base
Metal
5
6/2022
USD
963,210
(15,907)
LME
Nickel
Base
Metal
9
6/2022
USD
1,733,373
(277,306)
LME
Nickel
Base
Metal
17
6/2022
USD
3,272,942
485,832
LME
Nickel
Base
Metal
28
6/2022
USD
5,392,716
(31,007)
LME
Nickel
Base
Metal
48
6/2022
USD
9,241,344
(4,162,112)
LME
Nickel
Base
Metal
54
6/2022
USD
10,399,752
828,670
LME
Nickel
Base
Metal
243
6/2022
USD
46,801,800
13,334,420
LME
Zinc
Base
Metal
1
6/2022
USD
104,338
1,610
LME
Zinc
Base
Metal
3
6/2022
USD
313,200
9,507
LME
Zinc
Base
Metal
3
6/2022
USD
313,013
2,991
LME
Zinc
Base
Metal
9
6/2022
USD
943,281
287
LME
Zinc
Base
Metal
10
6/2022
USD
1,047,660
72,756
194
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
29
6/2022
USD
$
3,039,874
$
159,920
LME
Zinc
Base
Metal
31
6/2022
USD
3,234,463
94,846
LME
Zinc
Base
Metal
34
6/2022
USD
3,561,075
332,522
LME
Zinc
Base
Metal
39
6/2022
USD
4,077,450
351,036
LME
Zinc
Base
Metal
45
6/2022
USD
4,696,875
114,336
LME
Zinc
Base
Metal
61
6/2022
USD
6,380,600
559,477
LME
Zinc
Base
Metal
65
6/2022
USD
6,811,659
128,875
LME
Zinc
Base
Metal
535
6/2022
USD
56,021,188
6,555,435
Low
Sulphur
Gasoil
165
6/2022
USD
15,877,125
318,756
Sugar
No.
11
1,748
6/2022
USD
37,823,923
459,689
Coffee
'C'
114
7/2022
USD
9,680,738
297,021
Corn
1,379
7/2022
USD
50,540,350
723,907
Silver
54
7/2022
USD
6,804,540
6,589
Soybean
85
7/2022
USD
6,791,500
(209,639)
Soybean
Meal
510
7/2022
USD
23,429,400
(628,773)
Soybean
Oil
90
7/2022
USD
3,706,560
(95,973)
Wheat
149
7/2022
USD
7,464,900
(455,642)
Feeder
Cattle
168
8/2022
USD
14,916,300
(133,115)
58,314,982
Short
Contracts
LME
Aluminum
Base
Metal
(2)
4/2022
USD
(174,293)
(19,638)
LME
Aluminum
Base
Metal
(5)
4/2022
USD
(435,258)
(64,647)
LME
Aluminum
Base
Metal
(22)
4/2022
USD
(1,914,611)
(325,164)
LME
Aluminum
Base
Metal
(24)
4/2022
USD
(2,088,666)
(315,737)
LME
Aluminum
Base
Metal
(31)
4/2022
USD
(2,698,395)
(398,287)
LME
Aluminum
Base
Metal
(31)
4/2022
USD
(2,700,046)
(303,062)
LME
Aluminum
Base
Metal
(34)
4/2022
USD
(2,959,088)
(458,388)
LME
Aluminum
Base
Metal
(46)
4/2022
USD
(4,008,003)
(499,133)
LME
Aluminum
Base
Metal
(46)
4/2022
USD
(4,006,152)
(498,787)
LME
Aluminum
Base
Metal
(46)
4/2022
USD
(4,002,702)
(759,837)
LME
Aluminum
Base
Metal
(47)
4/2022
USD
(4,092,936)
(524,600)
LME
Aluminum
Base
Metal
(60)
4/2022
USD
(5,222,310)
(768,237)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,265)
(10,912)
LME
Copper
Base
Metal
(1)
4/2022
USD
(259,238)
(20,431)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,625)
(23,281)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,588)
(25,093)
LME
Copper
Base
Metal
(5)
4/2022
USD
(1,296,036)
(96,349)
LME
Copper
Base
Metal
(8)
4/2022
USD
(2,074,238)
(90,538)
LME
Copper
Base
Metal
(8)
4/2022
USD
(2,074,300)
(82,678)
LME
Copper
Base
Metal
(8)
4/2022
USD
(2,073,968)
(145,593)
LME
Copper
Base
Metal
(16)
4/2022
USD
(4,147,160)
(334,435)
LME
Copper
Base
Metal
(17)
4/2022
USD
(4,407,344)
(177,080)
LME
Copper
Base
Metal
(20)
4/2022
USD
(5,183,755)
(352,279)
LME
Copper
Base
Metal
(25)
4/2022
USD
(6,483,125)
(364,347)
LME
Lead
Base
Metal
(2)
4/2022
USD
(121,067)
(3,437)
LME
Lead
Base
Metal
(2)
4/2022
USD
(121,039)
(5,094)
LME
Lead
Base
Metal
(2)
4/2022
USD
(121,100)
(2,540)
LME
Lead
Base
Metal
(3)
4/2022
USD
(181,608)
(3,914)
LME
Lead
Base
Metal
(6)
4/2022
USD
(363,104)
(22,732)
LME
Lead
Base
Metal
(13)
4/2022
USD
(786,877)
(44,214)
LME
Lead
Base
Metal
(14)
4/2022
USD
(847,438)
(31,874)
LME
Lead
Base
Metal
(20)
4/2022
USD
(1,211,000)
(31,281)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,658)
(60,211)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,662)
(61,115)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,606)
(71,049)
LME
Nickel
Base
Metal
(1)
4/2022
USD
(192,657)
(58,320)
195
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(2)
4/2022
USD
$
(385,380)
$
(97,332)
LME
Nickel
Base
Metal
(2)
4/2022
USD
(385,332)
(112,338)
LME
Nickel
Base
Metal
(3)
4/2022
USD
(577,950)
(174,489)
LME
Nickel
Base
Metal
(7)
4/2022
USD
(1,348,644)
(397,028)
LME
Nickel
Base
Metal
(10)
4/2022
USD
(1,926,700)
(568,330)
LME
Nickel
Base
Metal
(17)
4/2022
USD
(3,275,662)
(1,003,152)
LME
Nickel
Base
Metal
(18)
4/2022
USD
(3,468,180)
(1,035,922)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,288)
(13,815)
LME
Zinc
Base
Metal
(1)
4/2022
USD
(105,291)
(17,469)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(211,113)
(33,806)
LME
Zinc
Base
Metal
(2)
4/2022
USD
(210,340)
(29,173)
LME
Zinc
Base
Metal
(3)
4/2022
USD
(315,863)
(48,909)
LME
Zinc
Base
Metal
(5)
4/2022
USD
(526,563)
(86,352)
LME
Zinc
Base
Metal
(6)
4/2022
USD
(631,071)
(88,446)
LME
Zinc
Base
Metal
(7)
4/2022
USD
(736,488)
(105,266)
LME
Zinc
Base
Metal
(13)
4/2022
USD
(1,368,088)
(201,901)
LME
Zinc
Base
Metal
(20)
4/2022
USD
(2,103,750)
(286,980)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,084)
(1,423)
LME
Aluminum
Base
Metal
(1)
5/2022
USD
(87,175)
(10,480)
LME
Aluminum
Base
Metal
(12)
5/2022
USD
(1,046,133)
(64,268)
LME
Aluminum
Base
Metal
(16)
5/2022
USD
(1,393,300)
(85,634)
LME
Aluminum
Base
Metal
(25)
5/2022
USD
(2,177,519)
(98,441)
LME
Aluminum
Base
Metal
(38)
5/2022
USD
(3,310,142)
(66,763)
LME
Aluminum
Base
Metal
(42)
5/2022
USD
(3,662,778)
(510,663)
LME
Aluminum
Base
Metal
(79)
5/2022
USD
(6,881,749)
(576,958)
LME
Aluminum
Base
Metal
(83)
5/2022
USD
(7,228,574)
(660,385)
LME
Aluminum
Base
Metal
(87)
5/2022
USD
(7,578,483)
(440,390)
LME
Aluminum
Base
Metal
(107)
5/2022
USD
(9,324,007)
(715,935)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,298)
(11,524)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,275)
(15,003)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,300)
(14,213)
LME
Copper
Base
Metal
(2)
5/2022
USD
(518,713)
(22,058)
LME
Copper
Base
Metal
(3)
5/2022
USD
(777,925)
(36,933)
LME
Copper
Base
Metal
(6)
5/2022
USD
(1,555,712)
(27,977)
LME
Copper
Base
Metal
(7)
5/2022
USD
(1,815,538)
(67,684)
LME
Copper
Base
Metal
(9)
5/2022
USD
(2,333,588)
(115,793)
LME
Copper
Base
Metal
(19)
5/2022
USD
(4,926,463)
(209,504)
LME
Copper
Base
Metal
(21)
5/2022
USD
(5,445,563)
(296,769)
LME
Copper
Base
Metal
(33)
5/2022
USD
(8,557,420)
(460,957)
LME
Copper
Base
Metal
(39)
5/2022
USD
(10,112,515)
(372,367)
LME
Copper
Base
Metal
(46)
5/2022
USD
(11,926,075)
(483,184)
LME
Copper
Base
Metal
(47)
5/2022
USD
(12,189,262)
(438,045)
LME
Lead
Base
Metal
(2)
5/2022
USD
(121,202)
(11,233)
LME
Lead
Base
Metal
(2)
5/2022
USD
(121,173)
(8,003)
LME
Lead
Base
Metal
(6)
5/2022
USD
(362,963)
(10,403)
LME
Lead
Base
Metal
(7)
5/2022
USD
(423,325)
(10,081)
LME
Lead
Base
Metal
(9)
5/2022
USD
(545,672)
(43,496)
LME
Lead
Base
Metal
(13)
5/2022
USD
(786,286)
(11,173)
LME
Lead
Base
Metal
(23)
5/2022
USD
(1,392,984)
(62,169)
LME
Lead
Base
Metal
(25)
5/2022
USD
(1,514,844)
(94,910)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,590)
(51,413)
LME
Nickel
Base
Metal
(1)
5/2022
USD
(192,637)
(55,780)
LME
Nickel
Base
Metal
(4)
5/2022
USD
(770,333)
(206,465)
LME
Nickel
Base
Metal
(4)
5/2022
USD
(769,989)
(189,861)
LME
Nickel
Base
Metal
(6)
5/2022
USD
(1,155,740)
(323,078)
LME
Nickel
Base
Metal
(6)
5/2022
USD
(1,154,952)
(274,050)
196
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(11)
5/2022
USD
$
(2,118,783)
$
(605,436)
LME
Nickel
Base
Metal
(15)
5/2022
USD
(2,889,650)
(848,749)
LME
Nickel
Base
Metal
(21)
5/2022
USD
(4,044,810)
(1,085,132)
LME
Nickel
Base
Metal
(28)
5/2022
USD
(5,389,850)
(1,150,453)
LME
Zinc
Base
Metal
(8)
5/2022
USD
(839,158)
(115,646)
LME
Zinc
Base
Metal
(13)
5/2022
USD
(1,366,043)
(190,844)
LME
Zinc
Base
Metal
(14)
5/2022
USD
(1,472,125)
(205,236)
LME
Zinc
Base
Metal
(16)
5/2022
USD
(1,682,144)
(234,443)
LME
Zinc
Base
Metal
(17)
5/2022
USD
(1,786,823)
(230,348)
LME
Zinc
Base
Metal
(19)
5/2022
USD
(1,993,542)
(283,201)
LME
Zinc
Base
Metal
(21)
5/2022
USD
(2,206,874)
(318,064)
LME
Zinc
Base
Metal
(35)
5/2022
USD
(3,679,375)
(506,825)
LME
Zinc
Base
Metal
(41)
5/2022
USD
(4,311,591)
(615,107)
LME
Zinc
Base
Metal
(46)
5/2022
USD
(4,835,336)
(568,750)
LME
Zinc
Base
Metal
(51)
5/2022
USD
(5,350,359)
(722,328)
WTI
Crude
Oil
(165)
5/2022
USD
(16,255,800)
464,508
LME
Aluminum
Base
Metal
(2)
6/2022
USD
(174,500)
2,294
LME
Aluminum
Base
Metal
(4)
6/2022
USD
(349,014)
5,574
LME
Aluminum
Base
Metal
(6)
6/2022
USD
(523,308)
(5,451)
LME
Aluminum
Base
Metal
(11)
6/2022
USD
(959,750)
(39,112)
LME
Aluminum
Base
Metal
(18)
6/2022
USD
(1,568,246)
(18,223)
LME
Aluminum
Base
Metal
(22)
6/2022
USD
(1,920,050)
25,338
LME
Aluminum
Base
Metal
(22)
6/2022
USD
(1,917,911)
229,483
LME
Aluminum
Base
Metal
(42)
6/2022
USD
(3,664,500)
(138,159)
LME
Aluminum
Base
Metal
(61)
6/2022
USD
(5,322,692)
215,226
LME
Aluminum
Base
Metal
(83)
6/2022
USD
(7,243,701)
(188,945)
LME
Aluminum
Base
Metal
(115)
6/2022
USD
(10,036,625)
110,869
LME
Aluminum
Base
Metal
(137)
6/2022
USD
(11,945,064)
66,032
LME
Aluminum
Base
Metal
(148)
6/2022
USD
(12,900,457)
1,035,522
LME
Aluminum
Base
Metal
(650)
6/2022
USD
(56,736,875)
(1,750,957)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(505)
LME
Copper
Base
Metal
(1)
6/2022
USD
(259,375)
(3,203)
LME
Copper
Base
Metal
(3)
6/2022
USD
(777,975)
(29,672)
LME
Copper
Base
Metal
(4)
6/2022
USD
(1,037,500)
(9,251)
LME
Copper
Base
Metal
(9)
6/2022
USD
(2,334,375)
(16,336)
LME
Copper
Base
Metal
(11)
6/2022
USD
(2,853,331)
63,308
LME
Copper
Base
Metal
(21)
6/2022
USD
(5,447,138)
(160,443)
LME
Copper
Base
Metal
(23)
6/2022
USD
(5,966,488)
(58,658)
LME
Copper
Base
Metal
(24)
6/2022
USD
(6,225,000)
(59,774)
LME
Copper
Base
Metal
(38)
6/2022
USD
(9,856,250)
5,229
LME
Copper
Base
Metal
(51)
6/2022
USD
(13,231,058)
(522,025)
LME
Copper
Base
Metal
(55)
6/2022
USD
(14,264,938)
(68,507)
LME
Copper
Base
Metal
(65)
6/2022
USD
(16,859,375)
72,926
LME
Copper
Base
Metal
(323)
6/2022
USD
(83,798,313)
(2,110,860)
LME
Lead
Base
Metal
(3)
6/2022
USD
(181,200)
(1,770)
LME
Lead
Base
Metal
(4)
6/2022
USD
(242,328)
9,622
LME
Lead
Base
Metal
(5)
6/2022
USD
(302,883)
9,393
LME
Lead
Base
Metal
(13)
6/2022
USD
(785,119)
(14,253)
LME
Lead
Base
Metal
(20)
6/2022
USD
(1,211,500)
(74,053)
LME
Lead
Base
Metal
(22)
6/2022
USD
(1,329,559)
(89,367)
LME
Lead
Base
Metal
(29)
6/2022
USD
(1,751,238)
(43,579)
LME
Lead
Base
Metal
(40)
6/2022
USD
(2,423,330)
(35,648)
LME
Lead
Base
Metal
(43)
6/2022
USD
(2,598,275)
(169,963)
LME
Lead
Base
Metal
(48)
6/2022
USD
(2,907,408)
(6,309)
LME
Lead
Base
Metal
(49)
6/2022
USD
(2,959,906)
(94,894)
LME
Lead
Base
Metal
(50)
6/2022
USD
(3,024,688)
(202,319)
197
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(65)
6/2022
USD
$
(3,928,844)
$
(240,879)
LME
Lead
Base
Metal
(240)
6/2022
USD
(14,535,000)
(463,814)
LME
Nickel
Base
Metal
(2)
6/2022
USD
(385,032)
(90,558)
LME
Nickel
Base
Metal
(5)
6/2022
USD
(963,210)
15,759
LME
Nickel
Base
Metal
(9)
6/2022
USD
(1,733,373)
269,673
LME
Nickel
Base
Metal
(17)
6/2022
USD
(3,272,942)
(452,076)
LME
Nickel
Base
Metal
(28)
6/2022
USD
(5,392,716)
(155,891)
LME
Nickel
Base
Metal
(48)
6/2022
USD
(9,241,344)
4,172,830
LME
Nickel
Base
Metal
(54)
6/2022
USD
(10,399,752)
(1,116,736)
LME
Nickel
Base
Metal
(153)
6/2022
USD
(29,467,800)
3,079,907
LME
Zinc
Base
Metal
(1)
6/2022
USD
(104,338)
(1,815)
LME
Zinc
Base
Metal
(3)
6/2022
USD
(313,013)
(3,946)
LME
Zinc
Base
Metal
(3)
6/2022
USD
(313,200)
(16,209)
LME
Zinc
Base
Metal
(9)
6/2022
USD
(943,281)
(6,028)
LME
Zinc
Base
Metal
(10)
6/2022
USD
(1,047,660)
(67,621)
LME
Zinc
Base
Metal
(29)
6/2022
USD
(3,039,874)
(150,687)
LME
Zinc
Base
Metal
(31)
6/2022
USD
(3,234,463)
(84,983)
LME
Zinc
Base
Metal
(34)
6/2022
USD
(3,561,075)
(326,075)
LME
Zinc
Base
Metal
(39)
6/2022
USD
(4,077,450)
(359,244)
LME
Zinc
Base
Metal
(45)
6/2022
USD
(4,696,875)
(105,165)
LME
Zinc
Base
Metal
(61)
6/2022
USD
(6,380,600)
(553,755)
LME
Zinc
Base
Metal
(65)
6/2022
USD
(6,811,659)
(67,576)
LME
Zinc
Base
Metal
(399)
6/2022
USD
(41,780,288)
(4,520,566)
Cocoa
(22)
7/2022
USD
(591,140)
(16,516)
Cotton
No.
2
(7)
7/2022
USD
(462,245)
9,982
Platinum
(66)
2/2023
JPY
(1,033,588)
21,808
(31,018,143)
$
27,296,839
198
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
94.3%
COMMON
STOCKS
-
5.0%
Italy
-
4.6%
A2A
SpA
(a)
2,223,238
3,807,898
Assicurazioni
Generali
SpA
(a)
194,563
4,450,076
Azimut
Holding
SpA
(a)
30,575
708,838
Banco
BPM
SpA
(a)
182,199
536,696
Buzzi
Unicem
SpA
(a)
220,176
4,074,393
Eni
SpA
(a)
308,738
4,502,396
Hera
SpA
(a)
794,889
2,928,493
Italgas
SpA
(a)
140,730
902,848
Leonardo
SpA
*(a)
562,185
5,586,532
Mediobanca
Banca
di
Credito
Finanziario
SpA
(a)
39,108
395,206
Pirelli
&
C
SpA
(a)(b)
152,871
829,479
Prysmian
SpA
(a)
49,424
1,677,263
Saipem
SpA
*(a)
362,719
457,208
Unipol
Gruppo
SpA
(a)
806,152
4,421,724
35,279,050
United
States
-
0.4%
Stellantis
NV
(a)
205,177
3,321,710
Tenaris
SA
3,958
59,453
3,381,163
TOTAL
COMMON
STOCKS
(Cost
$34,796,884)
38,660,213
SHORT-TERM
INVESTMENTS
-
89.3%
INVESTMENT
COMPANIES
-
36.5%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(c)(d)
23,511,810
23,511,810
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(c)(e)
258,349,795
258,220,620
TOTAL
INVESTMENT
COMPANIES
(Cost
$281,728,703)
281,732,430
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
52.8%
U.S.
Treasury
Bills
0.06%,
4/7/2022
(f)(g)
$
42,682,000
42,680,968
0.06%,
4/14/2022
(f)(g)
39,298,000
39,295,995
0.06%,
4/28/2022
(f)(g)
36,476,000
36,473,093
0.07%,
5/12/2022
(f)(g)
20,916,000
20,911,438
0.07%,
5/19/2022
(f)
5,674,000
5,672,115
0.11%,
6/9/2022
(f)(g)
27,072,000
27,052,542
0.13%,
6/16/2022
(f)(g)
6,797,000
6,791,045
0.22%,
7/7/2022
(f)(g)
38,491,000
38,431,361
0.28%,
7/14/2022
(f)(g)
38,610,000
38,542,239
0.49%,
8/4/2022
(f)(g)
16,508,000
16,462,278
0.71%,
8/25/2022
(f)
1,947,000
1,939,921
0.67%,
9/1/2022
(f)(g)
12,857,000
12,807,194
0.70%,
9/8/2022
(f)(g)
49,872,000
49,668,855
0.82%,
9/15/2022
(f)(g)
53,349,000
53,118,472
0.87%,
9/22/2022
(f)(g)
15,372,000
15,301,541
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
52.8%
(continued)
1.06%,
9/29/2022
(f)
$
1,670,000
1,661,546
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$407,024,048)
406,810,603
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$688,752,751)
688,543,033
TOTAL
LONG
POSITIONS
(Cost
$723,549,635)
727,203,246
SHARES
SHORT
POSITIONS
-
(5.3)%
COMMON
STOCKS
-
(5.3)%
Canada
-
(0.2)%
SNC-Lavalin
Group,
Inc.
(1)
(76,793)
(1,848,954)
Italy
-
(5.0)%
Amplifon
SpA
(57,441)
(2,556,404)
Atlantia
SpA
*
(109,189)
(2,270,319)
Banca
Generali
SpA
(29,313)
(1,084,585)
Brembo
SpA
(93,321)
(1,038,905)
Davide
Campari-Milano
NV
(510,139)
(5,917,139)
DiaSorin
SpA
(1,320)
(206,175)
Enel
SpA
(65,129)
(434,850)
Ferrari
NV
(13,822)
(3,011,257)
FinecoBank
Banca
Fineco
SpA
(47,953)
(727,451)
Infrastrutture
Wireless
Italiane
SpA
(b)
(237,695)
(2,660,817)
Interpump
Group
SpA
(26,282)
(1,316,982)
Intesa
Sanpaolo
SpA
(163,922)
(375,179)
Moncler
SpA
(58,868)
(3,266,109)
Nexi
SpA
*(b)
(285,860)
(3,298,744)
Poste
Italiane
SpA
(b)
(25,205)
(285,840)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(47,060)
(2,359,559)
Reply
SpA
(718)
(117,964)
Salvatore
Ferragamo
SpA
*
(29,918)
(563,501)
Snam
SpA
(531,665)
(3,065,874)
Terna
-
Rete
Elettrica
Nazionale
(319,449)
(2,743,198)
UniCredit
SpA
(36,006)
(388,424)
(37,689,276)
Portugal
-
0.0%
(h)
Banco
Espirito
Santo
SA
(Registered)
(3)*(
i
)
(216,618)
(2)
United
Kingdom
-
(0.1)%
CNH
Industrial
NV
(65,465)
(1,031,125)
TOTAL
COMMON
STOCKS
(Proceeds
$(43,120,969))
(40,569,357)
TOTAL
SHORT
POSITIONS
(Proceeds
$(43,120,969))
(40,569,357)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
89.0%
(Cost
$680,428,666)
686,633,889
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
11.0%
(j)
84,881,274
NET
ASSETS
-
100.0%
771,515,163
199
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$38,277,595.
In
addition,
$4,781,071
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$(5,415,922),
which
represents
approximately
(0.70)%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(e)
For
the
period
ended
March
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
(i)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$(2),
which
represents
approximately
(0.00)%
of
net
assets
of
the
fund.
(j)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(2,660,817)
(0.3)
%
Consumer
Discretionary
(3,728,583)
(0.5)
Consumer
Staples
(5,917,138)
(0.8)
Energy
5,019,058
0.6
Financials
7,651,059
1.0
Health
Care
(5,122,139)
(0.7)
Industrials
796,414
0.1
Information
Technology
(3,416,708)
(0.4)
Materials
4,074,393
0.5
Utilities
1,395,317
0.2
Short-Term
Investments
688,543,033
89.3
Total
Investments
In
Securities
At
Value
686,633,889
89.0
Other
Assets
in
Excess
of
Liabilities
(j)
84,881,274
11.0
Net
Assets
$
771,515,163
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
3/31/2022
Shares
Held
At
3/31/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
33.5%
INVESTMENT
COMPANIES
-
33.5%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)^(a)
(Cost
$258,216,893)
$255,575,499
$521,119,595
$(518,447,788)
$(30,400)
$3,714
$258,220,620
258,349,795
$31,764
$–
^    No
longer
affiliated
as
of
March
31,
2022.
(1)
Level
1
security.
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
(3)
Level
3
security.
200
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
March
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
TONAR
Annual
0.50%
Annual
9/23/2032
JPY
21,281,500,000
$
4,965,053
$
(1,275,916)
$
3,689,137
Receive
1D
SOFR
Annual
1.00%
Annual
9/23/2024
USD
15,800,000
335,506
172,262
507,768
Receive
1D
SOFR
Annual
1.25%
Annual
6/15/2032
USD
27,100,000
1,134,954
1,058,574
2,193,528
Receive
1D
SONIA
Annual
2.00%
Annual
9/23/2024
GBP
89,000,000
583,940
(54,942)
528,998
Receive
1D
SONIA
Annual
0.75%
Annual
6/15/2032
GBP
12,900,000
83,764
1,325,994
1,409,758
Receive
1D
SONIA
Annual
0.75%
Annual
9/21/2032
GBP
15,500,000
1,224,623
466,791
1,691,414
Receive
1D
TONAR
Annual
0.00%
Annual
9/24/2024
JPY
54,693,100,000
101,473
344,540
446,013
Receive
1D
TONAR
Annual
0.00%
Annual
9/23/2032
JPY
10,662,600,000
2,385,833
101,883
2,487,716
Receive
3M
BA
Qtrly
2.00%
Semi
9/19/2024
CAD
12,500,000
69,015
139,872
208,887
Receive
3M
BA
Qtrly
1.75%
Semi
6/14/2032
CAD
7,000,000
192,448
388,355
580,803
Receive
6M
BBR
Semi
2.50%
Semi
6/10/2032
AUD
6,500,000
(117,342)
389,487
272,145
Receive
6M
BBR
Semi
2.00%
Semi
6/10/2032
AUD
30,000,000
44,631
2,184,095
2,228,726
Receive
6M
BBR
Semi
2.50%
Semi
9/09/2032
AUD
108,400,000
1,078,437
3,934,349
5,012,786
Receive
6M
BBR
Semi
3.00%
Semi
9/09/2032
AUD
6,400,000
116,264
(26,255)
90,009
Receive
6M
EURIBOR
Semi
0.00%
Annual
6/15/2032
EUR
33,100,000
1,162,206
3,149,474
4,311,680
Receive
6M
EURIBOR
Semi
0.25%
Annual
9/21/2032
EUR
96,200,000
6,456,322
4,045,128
10,501,450
19,817,127
16,343,691
36,160,818
Pay
1D
SOFR
Annual
0.50%
Annual
6/17/2024
USD
123,700,000
(2,901,057)
(1,897,425)
(4,798,482)
Pay
1D
SOFR
Annual
1.50%
Annual
9/21/2032
USD
3,400,000
(157,643)
(47,326)
(204,969)
Pay
1D
SONIA
Annual
0.50%
Annual
6/17/2024
GBP
56,600,000
(1,432,421)
(939,495)
(2,371,916)
Pay
1D
SONIA
Annual
1.00%
Annual
9/23/2024
GBP
73,900,000
(1,883,287)
(429,821)
(2,313,108)
Pay
1D
SONIA
Annual
1.50%
Annual
9/21/2032
GBP
19,200,000
(505,718)
117,460
(388,258)
Pay
3M
BA
Qtrly
1.25%
Semi
6/13/2024
CAD
33,600,000
(573,740)
(303,999)
(877,739)
Pay
3M
BA
Qtrly
2.25%
Semi
9/20/2032
CAD
1,900,000
(60,000)
(35,583)
(95,583)
Pay
3M
BBR
Qtrly
1.50%
Qtrly
6/13/2024
AUD
171,900,000
(88,647)
(2,451,799)
(2,540,446)
Pay
3M
BBR
Qtrly
2.00%
Qtrly
9/12/2024
AUD
491,900,000
(904,056)
(5,314,636)
(6,218,692)
Pay
6M
EURIBOR
Semi
0.50%
Annual
6/17/2024
EUR
115,500,000
(1,573,012)
(1,505,672)
(3,078,684)
Pay
6M
EURIBOR
Semi
0.25%
Annual
9/23/2024
EUR
474,000,000
(7,803,501)
(4,593,834)
(12,397,335)
(17,883,082)
(17,402,130)
(35,285,212)
$
1,934,045
$
(1,058,439)
$
875,606
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly
:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
March
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
0.29%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
0.69%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.23%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
1.26%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.71%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
-0.37%
201
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
iBovespa
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/13/2022
BRL
22,872,010
$
181,184
KOSPI
200
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
06/09/2022
KRW
7,496,850,000
141,971
Swiss
Market
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
Monthly
MLIN
06/17/2022
CHF
93,504,180
5,191,777
TAIEX
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
04/20/2022
TWD
243,349,200
270,472
TAIEX
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/20/2022
TWD
327,992,400
403,441
WIG20
Index
June
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
06/17/2022
PLN
2,165,000
27,011
MSCI
Emerging
Markets
Taiwan
Net
Total
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
OBFR
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
USD
2,084,550
14,119
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
06/15/2022
EUR
12,084,841
1,212,440
MSCI
Mexico
Net
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TIIE
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
06/15/2022
MXN
60,253,057
175,599
MSCI
Poland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
WIBOR
plus
or
minus
a
specified
spread
(0.80%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
06/15/2022
PLN
1,270,380
23,906
202
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.25%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
06/15/2022
EUR
1,192,274
$
62,539
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(0.30%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
06/15/2022
CHF
19,705,408
1,546,937
9,251,396
HSCEI
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
HKD
(71,073,450)
(22,975)
SGX
NIFTY
50
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/28/2022
USD
(1,999,161)
(13,607)
SGX
NIFTY
50
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/28/2022
USD
(596,241)
(4,318)
Tel
Aviv
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
04/27/2022
ILS
(9,297,888)
(25,826)
MSCI
Daily
TR
Net
Israel
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.80%)
Monthly
JPMC
06/15/2022
USD
(254,734)
(18,347)
MSCI
Netherlands
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(0.00%)
Monthly
CITI
06/15/2022
EUR
(3,027,674)
(294,554)
(379,627)
$
8,871,769
203
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
289
4/2022
USD
$
30,261,190
$
380,665
CAC
40
10
Euro
Index
239
4/2022
EUR
17,602,014
591,633
IBEX
35
Index
205
4/2022
EUR
19,085,683
553,967
LME
Copper
Base
Metal
2
4/2022
USD
518,376
35,745
LME
Copper
Base
Metal
4
4/2022
USD
1,037,063
53,053
LME
Copper
Base
Metal
6
4/2022
USD
1,555,875
65,006
LME
Copper
Base
Metal
13
4/2022
USD
3,370,088
256,553
LME
Copper
Base
Metal
14
4/2022
USD
3,629,714
152,689
LME
Copper
Base
Metal
20
4/2022
USD
5,185,110
260,057
LME
Copper
Base
Metal
23
4/2022
USD
5,961,543
503,676
LME
Copper
Base
Metal
25
4/2022
USD
6,482,188
257,344
LME
Copper
Base
Metal
29
4/2022
USD
7,518,294
514,717
LME
Copper
Base
Metal
33
4/2022
USD
8,555,118
585,959
Natural
Gas
275
4/2022
USD
15,515,500
2,087,581
OMXS30
Index
818
4/2022
SEK
18,139,305
(502,150)
SGX
FTSE
Taiwan
Index
151
4/2022
USD
9,325,760
46,216
WTI
Crude
Oil
160
4/2022
USD
16,044,800
(1,528,016)
Corn
206
5/2022
USD
7,712,125
(21,230)
LME
Copper
Base
Metal
1
5/2022
USD
259,263
9,835
LME
Copper
Base
Metal
2
5/2022
USD
518,575
27,320
LME
Copper
Base
Metal
5
5/2022
USD
1,296,730
39,217
LME
Copper
Base
Metal
5
5/2022
USD
1,296,491
56,603
LME
Copper
Base
Metal
8
5/2022
USD
2,074,300
86,154
LME
Copper
Base
Metal
15
5/2022
USD
3,889,500
214,461
LME
Copper
Base
Metal
24
5/2022
USD
6,223,500
363,637
LME
Copper
Base
Metal
34
5/2022
USD
8,815,699
134,974
3
Month
Euro
Euribor
119
6/2022
EUR
33,026,126
(35,965)
ASX
90
Day
Bank
Accepted
Bill
95
6/2022
AUD
70,979,988
(85,699)
ASX
90
Day
Bank
Accepted
Bill
210
6/2022
AUD
156,903,132
(71,325)
Australia
10
Year
Bond
1,464
6/2022
AUD
139,230,458
(4,880,917)
Canada
10
Year
Bond
329
6/2022
CAD
34,314,530
(1,442,251)
FTSE
100
Index
78
6/2022
GBP
7,670,507
463,017
FTSE/JSE
Top
40
Index
44
6/2022
ZAR
2,074,090
146,211
FTSE/MIB
Index
333
6/2022
EUR
44,953,564
2,389,930
Japan
10
Year
Bond
657
6/2022
JPY
809,026,368
(3,418,955)
KOSPI
200
Index
185
6/2022
KRW
13,954,560
255,232
LME
Copper
Base
Metal
10
6/2022
USD
2,593,750
(14,714)
LME
Copper
Base
Metal
10
6/2022
USD
2,593,750
19,290
LME
Copper
Base
Metal
16
6/2022
USD
4,150,200
122,158
LME
Copper
Base
Metal
17
6/2022
USD
4,410,353
168,808
LME
Copper
Base
Metal
20
6/2022
USD
5,188,750
8,597
LME
Copper
Base
Metal
21
6/2022
USD
5,447,663
124,107
LME
Copper
Base
Metal
75
6/2022
USD
19,453,125
(96,372)
MEX
BOLSA
Index
3
6/2022
MXN
85,564
3,691
SET50
Index
1,140
6/2022
THB
6,971,657
73,787
SPI
200
Index
404
6/2022
AUD
56,525,011
3,013,390
TOPIX
Index
509
6/2022
JPY
81,383,974
6,180,420
U.S.
Treasury
10
Year
Note
582
6/2022
USD
71,440,500
(231,751)
3
Month
Euro
Euribor
561
9/2022
EUR
155,291,199
(292,119)
3
Month
SOFR
114
9/2022
USD
28,119,525
3,134
ASX
90
Day
Bank
Accepted
Bill
57
9/2022
AUD
42,499,055
(130,746)
ASX
90
Day
Bank
Accepted
Bill
1,511
9/2022
AUD
1,126,597,766
(1,630,845)
3
Month
Euro
Euribor
503
12/2022
EUR
138,735,338
(510,913)
204
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
3
Month
SOFR
289
12/2022
USD
$
70,805,000
$
(41,965)
ASX
90
Day
Bank
Accepted
Bill
1,595
12/2022
AUD
1,187,564,889
(2,162,367)
3
Month
Euro
Euribor
350
3/2023
EUR
96,124,137
(311,820)
3
Month
SOFR
351
3/2023
USD
85,626,450
(88,046)
ASX
90
Day
Bank
Accepted
Bill
1,272
3/2023
AUD
945,658,432
(1,282,405)
3
Month
SOFR
341
6/2023
USD
82,901,363
(113,632)
1,354,631
Short
Contracts
Amsterdam
Exchange
Index
(33)
4/2022
EUR
(5,286,178)
(214,104)
FTSE
Bursa
Malaysia
KLCI
Index
(17)
4/2022
MYR
(319,906)
837
Hang
Seng
Index
(323)
4/2022
HKD
(45,337,023)
(650,736)
HSCEI
(75)
4/2022
HKD
(3,600,494)
(9,774)
LME
Copper
Base
Metal
(2)
4/2022
USD
(518,376)
(36,857)
LME
Copper
Base
Metal
(4)
4/2022
USD
(1,037,063)
(54,121)
LME
Copper
Base
Metal
(6)
4/2022
USD
(1,555,875)
(70,891)
LME
Copper
Base
Metal
(13)
4/2022
USD
(3,370,088)
(267,318)
LME
Copper
Base
Metal
(14)
4/2022
USD
(3,629,714)
(145,588)
LME
Copper
Base
Metal
(20)
4/2022
USD
(5,185,110)
(208,483)
LME
Copper
Base
Metal
(23)
4/2022
USD
(5,961,543)
(480,669)
LME
Copper
Base
Metal
(25)
4/2022
USD
(6,482,188)
(275,066)
LME
Copper
Base
Metal
(29)
4/2022
USD
(7,518,294)
(559,954)
LME
Copper
Base
Metal
(33)
4/2022
USD
(8,555,118)
(609,054)
MSCI
Singapore
Index
(549)
4/2022
SGD
(13,563,482)
(210,729)
SGX
NIFTY
50
Index
(25)
4/2022
USD
(876,825)
(4,818)
LME
Copper
Base
Metal
(1)
5/2022
USD
(259,263)
(10,947)
LME
Copper
Base
Metal
(2)
5/2022
USD
(518,575)
(25,554)
LME
Copper
Base
Metal
(5)
5/2022
USD
(1,296,491)
(57,620)
LME
Copper
Base
Metal
(5)
5/2022
USD
(1,296,730)
(46,588)
LME
Copper
Base
Metal
(8)
5/2022
USD
(2,074,300)
(87,632)
LME
Copper
Base
Metal
(15)
5/2022
USD
(3,889,500)
(213,198)
LME
Copper
Base
Metal
(24)
5/2022
USD
(6,223,500)
(379,086)
LME
Copper
Base
Metal
(34)
5/2022
USD
(8,815,699)
(167,463)
Silver
(130)
5/2022
USD
(16,336,450)
(876,158)
Soybean
(383)
5/2022
USD
(30,989,488)
(673,839)
100
oz
Gold
(430)
6/2022
USD
(84,022,000)
(414,233)
3
Month
Canadian
Bankers
Acceptance
(57)
6/2022
CAD
(11,187,757)
7,871
DAX
Index
(209)
6/2022
EUR
(83,424,995)
(2,231,481)
EURO
STOXX
50
Index
(1,295)
6/2022
EUR
(54,768,059)
(2,534,754)
Euro-Bund
(623)
6/2022
EUR
(109,347,480)
101,171
LME
Copper
Base
Metal
(10)
6/2022
USD
(2,593,750)
(28,776)
LME
Copper
Base
Metal
(10)
6/2022
USD
(2,593,750)
18,724
LME
Copper
Base
Metal
(16)
6/2022
USD
(4,150,200)
(119,298)
LME
Copper
Base
Metal
(17)
6/2022
USD
(4,410,353)
(187,627)
LME
Copper
Base
Metal
(21)
6/2022
USD
(5,447,663)
(130,160)
LME
Copper
Base
Metal
(75)
6/2022
USD
(19,453,125)
134,927
LME
Copper
Base
Metal
(221)
6/2022
USD
(57,335,688)
(1,387,514)
Long
Gilt
(1,875)
6/2022
GBP
(299,118,105)
1,944,609
S&P
500
E-Mini
Index
(346)
6/2022
USD
(78,381,975)
(5,070,222)
3
Month
Canadian
Bankers
Acceptance
(374)
9/2022
CAD
(72,895,073)
56,395
3
Month
SONIA
(39)
9/2022
GBP
(12,629,415)
(1,539)
3
Month
SONIA
(227)
9/2022
GBP
(73,509,670)
496,797
3
Month
Canadian
Bankers
Acceptance
(396)
12/2022
CAD
(76,878,135)
37,501
3
Month
SONIA
(179)
12/2022
GBP
(57,680,664)
123,342
3
Month
SONIA
(1,047)
12/2022
GBP
(337,383,547)
3,361,240
3
Month
Canadian
Bankers
Acceptance
(295)
3/2023
CAD
(57,137,593)
31,729
3
Month
SONIA
(628)
3/2023
GBP
(201,860,385)
2,359,694
205
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SONIA
(636)
3/2023
GBP
$
(204,431,855)
$
1,222,614
3
Month
SONIA
(1,062)
6/2023
GBP
(340,682,516)
1,687,830
(6,856,570)
$
(5,501,939)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
94,695,495
USD
69,002,359
CITI
6/15/2022
$
1,947,898
AUD
94,695,494
USD
69,002,444
JPMC
6/15/2022
1,947,815
BRL
200,053,487
USD
38,120,989
CITI
**
6/15/2022
3,018,664
BRL
200,053,479
USD
38,121,035
JPMC
**
6/15/2022
3,018,615
CAD
29,753,179
USD
23,394,525
CITI
6/15/2022
400,774
CAD
29,753,171
USD
23,394,548
JPMC
6/15/2022
400,744
CLP
570,000
USD
706
CITI
**
6/15/2022
10
CLP
570,000
USD
706
JPMC
**
6/15/2022
10
CNY
30,627,032
USD
4,788,473
CITI
**
6/15/2022
10,471
CNY
30,627,030
USD
4,788,479
JPMC
**
6/15/2022
10,464
EUR
52,302,000
USD
57,799,029
CITI
6/15/2022
223,942
EUR
52,302,000
USD
57,799,102
JPMC
6/15/2022
223,868
HUF
737,667,000
USD
2,092,411
CITI
6/15/2022
105,953
HUF
737,667,000
USD
2,092,413
JPMC
6/15/2022
105,952
ILS
24,550,502
USD
7,605,458
CITI
6/15/2022
105,227
ILS
24,550,498
USD
7,605,467
JPMC
6/15/2022
105,218
INR
279,562,173
USD
3,645,271
CITI
**
6/15/2022
1,373
INR
279,562,173
USD
3,645,275
JPMC
**
6/15/2022
1,369
KRW
12,541,995,500
USD
10,217,337
CITI
**
6/15/2022
99,670
KRW
12,541,995,500
USD
10,217,350
JPMC
**
6/15/2022
99,657
MXN
81,604,171
USD
3,929,642
CITI
6/15/2022
119,217
MXN
81,604,170
USD
3,929,647
JPMC
6/15/2022
119,211
NOK
458,526,804
USD
51,323,861
CITI
6/15/2022
733,722
NOK
458,526,798
USD
51,323,925
JPMC
6/15/2022
733,656
NZD
54,469,930
USD
36,719,161
CITI
6/15/2022
983,377
NZD
54,469,927
USD
36,719,205
JPMC
6/15/2022
983,332
PLN
35,643,502
USD
8,077,366
CITI
6/15/2022
343,823
PLN
35,643,498
USD
8,077,376
JPMC
6/15/2022
343,811
SEK
427,834,047
USD
44,729,056
CITI
6/15/2022
858,994
SEK
427,834,046
USD
44,729,112
JPMC
6/15/2022
858,938
SGD
3,810,000
USD
2,806,667
CITI
6/15/2022
4,377
SGD
3,810,000
USD
2,806,671
JPMC
6/15/2022
4,374
TWD
345,000
USD
12,042
CITI
**
6/15/2022
46
TWD
345,000
USD
12,042
JPMC
**
6/15/2022
46
USD
1,036,855
BRL
5,022,000
CITI
**
6/15/2022
4,115
USD
1,036,854
BRL
5,022,000
JPMC
**
6/15/2022
4,114
USD
169,127
CAD
210,500
CITI
6/15/2022
779
USD
169,127
CAD
210,500
JPMC
6/15/2022
778
USD
284,465
CHF
261,044
CITI
6/15/2022
1,071
USD
284,465
CHF
261,044
JPMC
6/15/2022
1,070
USD
2,233,469
CNY
14,213,000
CITI
**
6/15/2022
6,436
USD
2,233,466
CNY
14,213,000
JPMC
**
6/15/2022
6,435
USD
822,113
DKK
5,386,212
CITI
6/15/2022
18,838
206
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
822,112
DKK
5,386,211
JPMC
6/15/2022
$
18,837
USD
122,822,207
EUR
109,450,693
CITI
6/15/2022
1,399,425
USD
122,822,038
EUR
109,450,679
JPMC
6/15/2022
1,399,272
USD
121,058,551
GBP
90,916,376
CITI
6/15/2022
1,660,620
USD
121,058,399
GBP
90,916,375
JPMC
6/15/2022
1,660,469
USD
342,535
HUF
114,130,000
CITI
6/15/2022
2,409
USD
342,535
HUF
114,130,000
JPMC
6/15/2022
2,409
USD
2,565,683
INR
195,787,500
CITI
**
6/15/2022
11,806
USD
2,565,680
INR
195,787,500
JPMC
**
6/15/2022
11,803
USD
31,022,048
JPY
3,689,389,000
CITI
6/15/2022
657,396
USD
31,022,009
JPY
3,689,389,000
JPMC
6/15/2022
657,356
USD
43,132,720
KRW
51,778,809,984
CITI
**
6/15/2022
539,626
USD
43,132,666
KRW
51,778,809,976
JPMC
**
6/15/2022
539,572
USD
14,447,171
NOK
125,465,000
CITI
6/15/2022
202,847
USD
14,447,153
NOK
125,465,000
JPMC
6/15/2022
202,828
USD
5,405,578
PLN
22,228,499
CITI
6/15/2022
153,839
USD
5,405,570
PLN
22,228,496
JPMC
6/15/2022
153,832
USD
1,218
SEK
11,364
CITI
6/15/2022
7
USD
1,218
SEK
11,361
JPMC
6/15/2022
7
USD
2,762,686
SGD
3,722,250
CITI
6/15/2022
16,384
USD
2,762,682
SGD
3,722,249
JPMC
6/15/2022
16,381
USD
3,314,328
TWD
93,242,508
CITI
**
6/15/2022
47,301
USD
3,314,324
TWD
93,242,492
JPMC
**
6/15/2022
47,297
USD
571,595
ZAR
8,416,500
CITI
6/15/2022
1,017
USD
571,594
ZAR
8,416,500
JPMC
6/15/2022
1,016
ZAR
268,963,511
USD
17,455,852
CITI
6/15/2022
777,945
ZAR
268,963,489
USD
17,455,873
JPMC
6/15/2022
777,920
Total
unrealized
appreciation
28,917,875
AUD
14,765,000
USD
11,089,866
CITI
6/15/2022
(27,243)
AUD
14,765,000
USD
11,089,880
JPMC
6/15/2022
(27,257)
CHF
18,137,879
USD
19,806,524
CITI
6/15/2022
(115,656)
CHF
18,137,878
USD
19,806,548
JPMC
6/15/2022
(115,680)
CNY
105,059,224
USD
16,499,980
CITI
**
6/15/2022
(38,270)
CNY
105,059,214
USD
16,499,999
JPMC
**
6/15/2022
(38,290)
EUR
34,281,507
USD
38,915,465
CITI
6/15/2022
(884,130)
EUR
34,281,493
USD
38,915,498
JPMC
6/15/2022
(884,178)
GBP
35,445,000
USD
47,839,010
CITI
6/15/2022
(1,290,085)
GBP
35,445,000
USD
47,839,070
JPMC
6/15/2022
(1,290,145)
HUF
2,290,635,000
USD
7,031,621
CITI
6/15/2022
(205,167)
HUF
2,290,635,000
USD
7,031,630
JPMC
6/15/2022
(205,175)
INR
279,562,172
USD
3,668,678
CITI
**
6/15/2022
(22,034)
INR
279,562,172
USD
3,668,683
JPMC
**
6/15/2022
(22,038)
JPY
9,455,978,680
USD
82,236,751
CITI
6/15/2022
(4,411,532)
JPY
9,455,978,676
USD
82,236,854
JPMC
6/15/2022
(4,411,633)
KRW
4,854,773,000
USD
4,010,798
CITI
**
6/15/2022
(17,277)
KRW
4,854,773,000
USD
4,010,803
JPMC
**
6/15/2022
(17,281)
SEK
297,483,547
USD
31,884,162
CITI
6/15/2022
(185,669)
SEK
297,483,545
USD
31,884,202
JPMC
6/15/2022
(185,708)
SGD
2,001,500
USD
1,482,622
CITI
6/15/2022
(5,901)
SGD
2,001,500
USD
1,482,624
JPMC
6/15/2022
(5,903)
TWD
82,961,160
USD
2,977,870
CITI
**
6/15/2022
(71,078)
TWD
82,961,156
USD
2,978,059
JPMC
**
6/15/2022
(71,268)
USD
40,292,637
AUD
55,764,500
CITI
6/15/2022
(1,488,713)
USD
40,292,587
AUD
55,764,500
JPMC
6/15/2022
(1,488,764)
USD
12,401,035
BRL
63,940,503
CITI
**
6/15/2022
(747,899)
USD
12,401,018
BRL
63,940,497
JPMC
**
6/15/2022
(747,915)
USD
37,784,683
CAD
47,932,000
CITI
6/15/2022
(549,246)
USD
37,784,636
CAD
47,932,000
JPMC
6/15/2022
(549,292)
207
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
19,739,075
CHF
18,436,001
CITI
6/15/2022
$
(275,442)
USD
19,739,048
CHF
18,435,999
JPMC
6/15/2022
(275,466)
USD
795,792
CLP
643,675,503
CITI
**
6/15/2022
(12,091)
USD
795,791
CLP
643,675,497
JPMC
**
6/15/2022
(12,092)
USD
12,594,241
CNY
80,666,000
CITI
**
6/15/2022
(45,298)
USD
12,594,226
CNY
80,666,000
JPMC
**
6/15/2022
(45,315)
USD
353,225
EUR
319,500
CITI
6/15/2022
(1,223)
USD
353,225
EUR
319,500
JPMC
6/15/2022
(1,224)
USD
25,196,900
GBP
19,244,000
CITI
6/15/2022
(75,706)
USD
25,196,868
GBP
19,244,000
JPMC
6/15/2022
(75,738)
USD
981,188
HUF
339,846,500
CITI
6/15/2022
(31,608)
USD
981,187
HUF
339,846,500
JPMC
6/15/2022
(31,609)
USD
25,851,321
ILS
83,384,047
CITI
6/15/2022
(337,475)
USD
25,851,288
ILS
83,384,044
JPMC
6/15/2022
(337,507)
USD
907,712
INR
70,310,500
CITI
**
6/15/2022
(9,427)
USD
907,711
INR
70,310,500
JPMC
**
6/15/2022
(9,428)
USD
16,679,371
JPY
2,043,672,000
CITI
6/15/2022
(140,593)
USD
16,679,351
JPY
2,043,672,000
JPMC
6/15/2022
(140,613)
USD
10,386,120
MXN
215,635,000
CITI
6/15/2022
(312,790)
USD
10,386,107
MXN
215,635,000
JPMC
6/15/2022
(312,803)
USD
20,067,420
NZD
29,875,501
CITI
6/15/2022
(611,553)
USD
20,067,394
NZD
29,875,499
JPMC
6/15/2022
(611,578)
USD
4,284,098
PLN
18,629,001
CITI
6/15/2022
(117,219)
USD
4,284,092
PLN
18,629,000
JPMC
6/15/2022
(117,225)
USD
33,544,896
SEK
323,088,364
CITI
6/15/2022
(881,931)
USD
33,544,854
SEK
323,088,364
JPMC
6/15/2022
(881,972)
USD
10,796,888
ZAR
167,444,505
CITI
6/15/2022
(554,649)
USD
10,796,873
ZAR
167,444,495
JPMC
6/15/2022
(554,662)
ZAR
1,917,000
USD
131,226
CITI
6/15/2022
(1,267)
ZAR
1,917,000
USD
131,226
JPMC
6/15/2022
(1,267)
Total
unrealized
depreciation
(26,937,198)
Net
unrealized
appreciation
$
1,980,677
**
Non-deliverable
forward.
208
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TIIE
plus
or
minus
a
specified
spread
(-0.50%
to
0.50%),
which
is
denominated
in
MXN
based
on
the
local
currencies
of
the
positions
within
the
swap.
50-58
months
maturity
ranging
from
04/17/2026
-
12/18/2026
$3,952,208
$39,901
$828
$40,729
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
WIBOR
plus
or
minus
a
specified
spread
(-1.35%
to
0.70%),
which
is
denominated
in
PLN
based
on
the
local
currencies
of
the
positions
within
the
swap.
50-60
months
maturity
ranging
from
04/17/2026
-
02/25/2027
$6,927,875
$(360,812)
$(13,273)
$(374,085)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-3.50%
to
0.70%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
50-61
months
maturity
ranging
from
04/17/2026
-
02/26/2027
$5,444,340
$57,980
$(13,685)
$44,295
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
JIBAR
plus
or
minus
a
specified
spread
(-0.50%),
which
is
denominated
in
ZAR
based
on
the
local
currencies
of
the
positions
within
the
swap.
57
months
maturity
11/09/2026
$178,291
$(1,943)
$101
$(1,842)
209
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-9.34%
to
0.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
09/26/2022
-
05/25/2023
$573,434,109
$(7,479,645)
$(12,745,206)
$(20,224,851)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Acuity
Brands,
Inc.
17,469
3,306,882
(102,368)
0.5
Alphabet,
Inc.
1,031
2,867,572
(53,725)
0.3
Amdocs
Ltd.
41,016
3,371,925
12,715
(0.1)
Amkor
Technology,
Inc.
122,558
2,661,960
(270,853)
1.3
APA
Corp.
67,919
2,807,092
(13,584)
0.1
AutoNation,
Inc.
31,405
3,127,310
(392,563)
1.9
Builders
FirstSource
,
Inc.
65,351
4,217,754
(224,039)
1.1
Cognizant
Technology
Solutions
Corp.
29,873
2,678,712
(54,966)
0.3
Emerson
Electric
Co.
26,690
2,616,954
(12,277)
0.1
Huntington
Ingalls
Industries,
Inc.
16,541
3,298,937
(108,013)
0.5
LKQ
Corp.
85,766
3,894,634
(33,449)
0.2
Macy's,
Inc.
123,402
3,006,073
(225,826)
1.1
Meta
Platforms,
Inc.
19,244
4,279,096
10,392
(0.1)
Micron
Technology,
Inc.
43,359
3,377,233
(9,105)
0.0
Molina
Healthcare,
Inc.
8,006
2,670,722
(52,199)
0.3
Owens
Corning
51,182
4,683,153
(116,695)
0.6
PDC
Energy,
Inc.
42,285
3,073,274
(109,205)
0.5
Quidel
Corp.
31,242
3,513,475
101,849
(0.5)
Teradata
Corp.
60,325
2,973,419
(64,548)
0.3
Textron,
Inc.
57,415
4,270,528
(47,769)
0.2
Yelp,
Inc.
114,737
3,913,679
(75,726)
0.4
Ziff
Davis,
Inc.
44,956
4,350,842
(91,261)
0.5
Short
Positions
Common
Stocks
Brazil
MercadoLibre
,
Inc.
(2,344)
(2,788,141)
(54,264)
0.3
Taiwan
Sea
Ltd.,
ADR
(50,368)
(6,033,583)
(184,851)
0.9
United
States
Advanced
Drainage
Systems,
Inc.
(29,039)
(3,450,124)
51,980
(0.3)
Bill.com
Holdings,
Inc.
(12,128)
(2,750,509)
(87,564)
0.4
Boeing
Co.
(The)
(18,814)
(3,602,881)
(47,976)
0.2
Carvana
Co.
(23,367)
(2,787,449)
215,677
(1.1)
Cheniere
Energy,
Inc.
(29,824)
(4,135,098)
317,626
(1.6)
CNX
Resources
Corp.
(144,896)
(3,002,245)
134,753
(0.7)
210
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Dexcom
,
Inc.
(5,522)
(2,825,055)
(169,139)
0.8
EQT
Corp.
(85,958)
(2,957,815)
(6,877)
0.0
Fastly
,
Inc.
(152,046)
(2,642,559)
(106,432)
0.5
General
Electric
Co.
(35,329)
(3,232,604)
89,029
(0.4)
Guardant
Health,
Inc.
(59,315)
(3,929,026)
(414,019)
2.0
HealthEquity
,
Inc.
(43,162)
(2,910,845)
(134,234)
0.7
Hess
Corp.
(55,741)
(5,966,517)
113,712
(0.6)
Honeywell
International,
Inc.
(18,314)
(3,563,538)
58,788
(0.3)
Insulet
Corp.
(15,262)
(4,065,644)
(220,536)
1.1
New
Fortress
Energy,
Inc.
(123,301)
(5,253,856)
(552,388)
2.7
NOV,
Inc.
(153,317)
(3,006,546)
52,128
(0.3)
Oak
Street
Health,
Inc.
(139,946)
(3,761,748)
(194,525)
1.0
Plug
Power,
Inc.
(133,362)
(3,815,487)
(88,019)
0.4
Progyny
,
Inc.
(52,950)
(2,721,630)
(80,484)
0.4
R1
RCM,
Inc.
(125,267)
(3,352,145)
(170,363)
0.8
Roper
Technologies,
Inc.
(5,525)
(2,609,071)
(35,194)
0.2
Sailpoint
Technologies
Holdings,
Inc.
(49,571)
(2,537,044)
(95,176)
0.5
Snap,
Inc.
(75,016)
(2,699,826)
(44,259)
0.2
Williams
Cos.,
Inc.
(The)
(93,347)
(3,118,723)
43,873
(0.2)
Wolfspeed
,
Inc.
(29,926)
(3,407,374)
(34,714)
0.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.13%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-61
months
maturity
ranging
from
01/13/2025
-
04/01/2027
$81,507,502
$(56,109)
$207,774
$151,665
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
AGL
Energy
Ltd.
103,585
596,812
28,934
19.1
Aristocrat
Leisure
Ltd.
60,663
1,646,516
45,401
29.9
Atlas
Arteria
Ltd.
406,270
1,977,268
27,500
18.1
Aurizon
Holdings
Ltd.
1,383,053
3,801,522
196,619
129.6
BlueScope
Steel
Ltd.
158,352
2,462,389
197,208
130.0
Brambles
Ltd.
330,993
2,442,610
46,473
30.6
carsales.com
Ltd.
34,580
535,344
18,334
12.1
Cleanaway
Waste
Management
Ltd.
426,605
978,520
90,118
59.4
Computershare
Ltd.
20,165
370,614
55,075
36.3
Domino's
Pizza
Enterprises
Ltd.
10,967
713,884
55,883
36.8
Fortescue
Metals
Group
Ltd.
90,431
1,390,091
117,666
77.6
Harvey
Norman
Holdings
Ltd.
452,022
1,801,317
13,583
9.0
211
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Incitec
Pivot
Ltd.
498,989
1,412,498
81,340
53.6
JB
Hi-Fi
Ltd.
97,207
3,929,125
317,229
209.2
Magellan
Financial
Group
Ltd.
134,483
1,590,940
51,091
33.7
Qube
Holdings
Ltd.
1,367,312
3,186,325
164,535
108.5
Sonic
Healthcare
Ltd.
25,428
671,356
41,167
27.1
South32
Ltd.
387,636
1,473,513
44,221
29.2
Tabcorp
Holdings
Ltd.
776,930
3,095,371
188,983
124.6
Telstra
Corp.
Ltd.
529,460
1,564,268
8,676
5.7
Treasury
Wine
Estates
Ltd.
91,217
787,936
9,363
6.2
Worley
Ltd.
195,811
1,891,607
49,790
32.8
Short
Positions
Common
Stocks
Australia
Alumina
Ltd.
(831,979)
(1,249,089)
(22,775)
(15.0)
APA
Group
(634,324)
(5,041,508)
(358,778)
(236.6)
Boral
Ltd.
(219,644)
(566,458)
(30,302)
(20.0)
Cochlear
Ltd.
(7,415)
(1,238,016)
(45,901)
(30.3)
CSL
Ltd.
(3,821)
(762,834)
(26,939)
(17.8)
Evolution
Mining
Ltd.
(336,023)
(1,109,047)
22,113
14.6
IDP
Education
Ltd.
(169,926)
(3,976,963)
(337,906)
(222.8)
IGO
Ltd.
(107,261)
(1,121,226)
(74,932)
(49.4)
Insurance
Australia
Group
Ltd.
(632,815)
(2,071,068)
(48,244)
(31.8)
Lynas
Rare
Earths
Ltd.
(209,950)
(1,673,816)
(119,471)
(78.8)
Medibank
Pvt
Ltd.
(1,186,866)
(2,726,857)
(13,279)
(8.8)
NEXTDC
Ltd.
(83,514)
(719,481)
(33,935)
(22.4)
Northern
Star
Resources
Ltd.
(112,163)
(904,897)
12,818
8.5
Origin
Energy
Ltd.
(82,854)
(385,662)
3,821
2.5
Pilbara
Minerals
Ltd.
(1,027,631)
(2,427,810)
(247,304)
(163.1)
Qantas
Airways
Ltd.
(427,969)
(1,654,793)
(153,794)
(101.4)
QBE
Insurance
Group
Ltd.
(157,443)
(1,350,124)
(127,273)
(83.9)
Ramsay
Health
Care
Ltd.
(10,427)
(504,985)
(33,928)
(22.4)
REA
Group
Ltd.
(9,847)
(987,156)
(39,552)
(26.1)
Reece
Ltd.
(106,313)
(1,496,839)
(9,396)
(6.2)
Santos
Ltd.
(106,956)
(620,110)
1,781
1.2
SEEK
Ltd.
(71,260)
(1,569,329)
(105,991)
(69.9)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(30,489)
(650,309)
(78,897)
(52.0)
Wesfarmers
Ltd.
(26,767)
(1,004,421)
(14,911)
(9.8)
WiseTech
Global
Ltd.
(11,239)
(423,022)
(16,833)
(11.1)
Woolworths
Group
Ltd.
(28,300)
(785,745)
(27,304)
(18.0)
New
Zealand
Xero
Ltd.
(23,689)
(1,795,334)
(74,711)
(49.3)
United
States
James
Hardie
Industries
plc
(37,459)
(1,123,699)
70,148
46.3
212
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-1.03%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-61
months
maturity
ranging
from
01/13/2025
-
03/24/2027
$173,500,302
$2,365,532
$(45,943)
$2,319,589
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Agricultural
Bank
of
China
Ltd.
3,210,000
1,227,129
75,760
3.3
Bank
of
China
Ltd.
3,317,000
1,323,668
100,039
4.3
Bank
of
Communications
Co.
Ltd.
2,010,000
1,438,993
133,107
5.7
BOC
Hong
Kong
Holdings
Ltd.
519,500
1,954,767
184,340
7.9
China
Cinda
Asset
Management
Co.
Ltd.
6,821,000
1,162,070
4,158
0.2
China
CITIC
Bank
Corp.
Ltd.
4,345,000
2,192,585
223,760
9.6
China
Coal
Energy
Co.
Ltd.
3,025,000
2,274,552
248,266
10.7
China
Hongqiao
Group
Ltd.
1,845,500
2,424,522
55,055
2.4
China
Medical
System
Holdings
Ltd.
925,000
1,442,627
(42,441)
(1.8)
China
Minsheng
Banking
Corp.
Ltd.
3,562,000
1,336,119
26,697
1.2
China
National
Building
Material
Co.
Ltd.
1,184,000
1,456,372
49,536
2.1
China
Taiping
Insurance
Holdings
Co.
Ltd.
1,189,600
1,442,954
109,969
4.7
CSPC
Pharmaceutical
Group
Ltd.
1,104,000
1,265,014
56,146
2.4
Kingboard
Holdings
Ltd.
240,000
1,157,554
140,647
6.1
New
China
Life
Insurance
Co.
Ltd.
809,700
2,245,827
49,690
2.1
People's
Insurance
Co.
Group
of
China
Ltd.
(The)
4,132,000
1,348,164
103,506
4.5
PICC
Property
&
Casualty
Co.
Ltd.
1,134,000
1,154,747
73,582
3.2
Sinopharm
Group
Co.
Ltd.
634,800
1,441,030
(15,839)
(0.7)
Topsports
International
Holdings
Ltd.
1,421,000
1,181,050
(66,709)
(2.9)
Zoomlion
Heavy
Industry
Science
and
Technology
Co.
Ltd.
1,842,600
1,163,305
114,598
4.9
Hong
Kong
ASM
Pacific
Technology
Ltd.
150,800
1,518,170
57,676
2.5
CK
Asset
Holdings
Ltd.
381,872
2,610,260
187,752
8.1
Sun
Hung
Kai
Properties
Ltd.
158,500
1,885,751
82,118
3.5
Swire
Pacific
Ltd.
237,500
1,444,266
142,232
6.1
WH
Group
Ltd.
8,192,500
5,144,524
(127,440)
(5.5)
Xinyi
Glass
Holdings
Ltd.
726,000
1,740,705
20,026
0.9
United
Kingdom
CK
Hutchison
Holdings
Ltd.
1,051,000
7,685,343
582,227
25.1
213
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(886,600)
(2,341,195)
188,375
8.1
BYD
Co.
Ltd.
(49,000)
(1,362,949)
(167,741)
(7.2)
China
Merchants
Bank
Co.
Ltd.
(325,000)
(2,529,939)
(95,066)
(4.1)
CITIC
Securities
Co.
Ltd.
(645,500)
(1,479,552)
(31,156)
(1.3)
ESR
Cayman
Ltd.
(749,800)
(2,323,550)
(129,608)
(5.6)
Ganfeng
Lithium
Co.
Ltd.
(148,600)
(2,090,634)
(124,004)
(5.3)
Haidilao
International
Holding
Ltd.
(767,000)
(1,475,750)
(85,954)
(3.7)
Li
Ning
Co.
Ltd.
(143,000)
(1,214,264)
(87,767)
(3.8)
Meituan
(90,700)
(1,718,215)
562
0.0
Microport
Scientific
Corp.
(571,137)
(1,270,662)
(31,625)
(1.4)
Postal
Savings
Bank
of
China
Co.
Ltd.
(1,459,000)
(1,174,856)
(18,362)
(0.8)
Shenzhou
International
Group
Holdings
Ltd.
(102,900)
(1,358,488)
17,035
0.7
ZhongAn
Online
P&C
Insurance
Co.
Ltd.
(681,200)
(2,280,184)
(259,668)
(11.2)
Zijin
Mining
Group
Co.
Ltd.
(828,000)
(1,255,632)
(23,417)
(1.0)
Hong
Kong
AIA
Group
Ltd.
(480,400)
(5,016,282)
(629,278)
(27.1)
Hong
Kong
&
China
Gas
Co.
Ltd.
(4,103,716)
(4,956,962)
1,005,342
43.3
Man
Wah
Holdings
Ltd.
(1,322,800)
(1,430,913)
(17,998)
(0.8)
MTR
Corp.
Ltd.
(217,695)
(1,172,346)
(60,802)
(2.6)
Power
Assets
Holdings
Ltd.
(193,000)
(1,257,790)
(12,378)
(0.5)
Techtronic
Industries
Co.
Ltd.
(112,500)
(1,802,416)
9,612
0.4
Wharf
Real
Estate
Investment
Co.
Ltd.
(663,000)
(3,276,720)
(433,648)
(18.7)
Macau
Galaxy
Entertainment
Group
Ltd.
(212,000)
(1,254,485)
(149,367)
(6.4)
Sands
China
Ltd.
(485,600)
(1,155,233)
8,615
0.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.30%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-61
months
maturity
ranging
from
01/14/2025
-
04/01/2027
$500,490,645
$(2,165,593)
$1,606,290
$(559,303)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
137,500
5,493,865
714,488
(127.7)
Dai
Nippon
Printing
Co.
Ltd.
121,500
2,848,588
63,181
(11.3)
ENEOS
Holdings,
Inc.
928,200
3,470,285
127,268
(22.8)
Idemitsu
Kosan
Co.
Ltd.
106,600
2,938,485
15,739
(2.8)
214
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Iida
Group
Holdings
Co.
Ltd.
204,400
3,524,049
83,584
(14.9)
Japan
Post
Insurance
Co.
Ltd.
171,200
2,981,476
291,986
(52.2)
Kajima
Corp.
243,400
2,961,379
31,296
(5.6)
Lion
Corp.
249,300
2,778,489
(104,206)
18.6
Marubeni
Corp.
258,400
3,000,595
330,525
(59.1)
Mazda
Motor
Corp.
397,200
2,919,657
560,709
(100.3)
Mitsubishi
Electric
Corp.
392,900
4,506,113
407,311
(72.8)
Mitsubishi
HC
Capital,
Inc.
701,400
3,259,067
262,612
(47.0)
NIPPON
EXPRESS
HOLDINGS,
Inc.
67,000
4,602,953
394,008
(70.4)
Nippon
Telegraph
&
Telephone
Corp.
104,000
3,021,606
144,393
(25.8)
Obayashi
Corp.
438,400
3,217,740
101,109
(18.1)
Osaka
Gas
Co.
Ltd.
324,200
5,555,550
(186,636)
33.4
Otsuka
Holdings
Co.
Ltd.
81,400
2,812,190
222,813
(39.8)
Shimamura
Co.
Ltd.
37,100
3,297,406
196,300
(35.1)
Sojitz
Corp.
185,900
3,057,358
145,925
(26.1)
Sumitomo
Heavy
Industries
Ltd.
139,100
3,187,603
192,629
(34.4)
Suntory
Beverage
&
Food
Ltd.
111,100
4,234,595
156,380
(28.0)
Taisei
Corp.
121,600
3,510,484
(8,741)
1.6
Tokyo
Electric
Power
Co.
Holdings,
Inc.
1,478,400
4,880,178
859,615
(153.7)
Tokyo
Gas
Co.
Ltd.
166,300
3,044,489
(103,789)
18.6
TOPPAN,
Inc.
266,200
4,695,754
143,695
(25.7)
Tosoh
Corp.
207,500
3,066,748
360,495
(64.5)
Toyota
Tsusho
Corp.
72,000
2,955,019
417,639
(74.7)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(171,500)
(3,656,809)
(1,188)
0.2
Daiichi
Sankyo
Co.
Ltd.
(177,300)
(3,871,700)
(383,710)
68.6
Daikin
Industries
Ltd.
(23,800)
(4,322,174)
(357,467)
63.9
East
Japan
Railway
Co.
(49,300)
(2,853,362)
(281,394)
50.3
Harmonic
Drive
Systems,
Inc.
(87,700)
(3,011,838)
112,522
(20.1)
Japan
Airport
Terminal
Co.
Ltd.
(120,500)
(5,488,509)
(552,801)
98.8
Kakaku.com,
Inc.
(138,000)
(3,081,921)
(451,182)
80.7
Keyence
Corp.
(7,500)
(3,477,770)
(234,574)
41.9
Kobe
Bussan
Co.
Ltd.
(135,800)
(4,179,206)
41,739
(7.5)
Lasertec
Corp.
(23,800)
(3,959,465)
(568,250)
101.6
M3,
Inc.
(163,900)
(5,919,411)
(224,551)
40.1
Marui
Group
Co.
Ltd.
(162,000)
(2,964,141)
(292,335)
52.3
Mercari
,
Inc.
(116,800)
(3,015,079)
(127,673)
22.8
MonotaRO
Co.
Ltd.
(212,900)
(4,569,331)
(527,648)
94.3
Nidec
Corp.
(45,200)
(3,570,035)
(325,467)
58.2
Odakyu
Electric
Railway
Co.
Ltd.
(183,900)
(3,048,095)
(174,254)
31.2
Oriental
Land
Co.
Ltd.
(33,200)
(6,354,658)
(655,790)
117.3
Seven
&
i
Holdings
Co.
Ltd.
(58,200)
(2,774,813)
(177,051)
31.7
SoftBank
Corp.
(255,600)
(2,981,092)
23,682
(4.2)
Sony
Group
Corp.
(45,000)
(4,629,407)
(604,951)
108.2
Unicharm
Corp.
(157,100)
(5,643,955)
(545,599)
97.5
West
Japan
Railway
Co.
(70,000)
(2,900,508)
(249,105)
44.5
Yaskawa
Electric
Corp.
(72,000)
(2,806,197)
(287,448)
51.4
215
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-2.27%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-61
months
maturity
ranging
from
01/13/2025
-
04/01/2027
$854,596,577
$(5,901,420)
$(2,022,661)
$(7,924,081)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
Kingdom
Liberty
Global
plc
169,077
4,380,785
158,932
(2.0)
United
States
Alaska
Air
Group,
Inc.
66,862
3,878,665
627,166
(7.9)
Archer-Daniels-Midland
Co.
50,941
4,597,935
431,980
(5.5)
Arrow
Electronics,
Inc.
34,587
4,103,056
15,218
(0.2)
Bio-Rad
Laboratories,
Inc.
8,219
4,629,187
73,642
(0.9)
Brighthouse
Financial,
Inc.
66,529
3,436,888
326,657
(4.1)
Cracker
Barrel
Old
Country
Store,
Inc.
30,526
3,624,352
90,526
(1.1)
Essential
Utilities,
Inc.
77,175
3,945,958
331,081
(4.2)
Greif,
Inc.
53,456
3,477,847
368,312
(4.6)
International
Paper
Co.
98,416
4,541,898
391,696
(4.9)
Jabil,
Inc.
66,738
4,119,737
405,100
(5.1)
Knight-Swift
Transportation
Holdings,
Inc.
64,441
3,251,693
(96,662)
1.2
ManpowerGroup
,
Inc.
41,762
3,922,287
145,332
(1.8)
Molson
Coors
Beverage
Co.
100,625
5,371,362
90,563
(1.1)
National
Fuel
Gas
Co.
53,339
3,664,389
138,681
(1.8)
Nu
Skin
Enterprises,
Inc.
87,488
4,188,925
(1,447)
0.0
Organon
&
Co.
107,696
3,761,821
(164,775)
2.1
Pfizer,
Inc.
101,038
5,230,737
305,135
(3.9)
Regeneron
Pharmaceuticals,
Inc.
5,278
3,686,261
395,797
(5.0)
Ryder
System,
Inc.
40,533
3,215,483
(11,349)
0.1
Schneider
National,
Inc.
148,596
3,789,198
(26,747)
0.3
Texas
Roadhouse,
Inc.
41,856
3,504,603
231,045
(2.9)
Tyson
Foods,
Inc.
39,047
3,499,783
(39,437)
0.5
UGI
Corp.
131,888
4,776,983
195,194
(2.5)
Vishay
Intertechnology
,
Inc.
165,433
3,242,487
172,050
(2.2)
Werner
Enterprises,
Inc.
100,308
4,112,628
(197,607)
2.5
Westrock
Co.
102,027
4,798,330
463,203
(5.8)
216
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
10X
Genomics,
Inc.
(57,723)
(4,390,989)
(322,672)
4.1
American
Airlines
Group,
Inc.
(237,231)
(4,329,466)
(937,062)
11.8
Aptiv
plc
(28,455)
(3,406,348)
(429,671)
5.4
Atmos
Energy
Corp.
(30,574)
(3,653,287)
(223,496)
2.8
Ball
Corp.
(65,269)
(5,874,210)
(234,316)
3.0
Black
Hills
Corp.
(44,673)
(3,440,714)
(298,862)
3.8
Cable
One,
Inc.
(2,436)
(3,566,889)
(3,094)
0.0
CenterPoint
Energy,
Inc.
(132,803)
(4,069,084)
(300,135)
3.8
Crown
Holdings,
Inc.
(28,914)
(3,616,852)
(182,447)
2.3
Dominion
Energy,
Inc.
(50,548)
(4,295,064)
(200,676)
2.5
Freshpet
,
Inc.
(34,087)
(3,498,690)
682
(0.0)
Iridium
Communications,
Inc.
(92,171)
(3,716,335)
(9,217)
0.1
Liberty
Broadband
Corp.
(30,630)
(4,144,852)
64,017
(0.8)
Lyft,
Inc.
(92,676)
(3,558,758)
(55,606)
0.7
Madison
Square
Garden
Sports
Corp.
(21,620)
(3,877,763)
(227,010)
2.9
NextEra
Energy,
Inc.
(40,075)
(3,394,753)
(175,929)
2.2
Norwegian
Cruise
Line
Holdings
Ltd.
(172,775)
(3,780,317)
(789,582)
10.0
ONE
Gas,
Inc.
(48,386)
(4,269,581)
(212,898)
2.7
QuantumScape
Corp.
(200,253)
(4,003,057)
(797,007)
10.1
Royal
Caribbean
Cruises
Ltd.
(46,405)
(3,887,811)
(729,487)
9.2
Tesla,
Inc.
(4,122)
(4,441,867)
(901,193)
11.4
Uber
Technologies,
Inc.
(120,252)
(4,290,591)
(502,653)
6.3
Visteon
Corp.
(29,475)
(3,216,607)
(57,399)
0.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Rand
Overnight
Deposit
Rate
plus
or
minus
a
specified
spread
(-0.10%
to
0.06%),
which
is
denominated
in
ZAR
based
on
the
local
currencies
of
the
positions
within
the
swap.
50-60
months
maturity
ranging
from
04/20/2026
-
02/11/2027
$18,404,069
$(440,810)
$44,690
$(396,120)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Luxembourg
Reinet
Investments
SCA
34,886
782,497
108,701
(27.4)
South
Africa
Absa
Group
Ltd.
17,849
231,437
27,485
(6.9)
African
Rainbow
Minerals
Ltd.
39,662
776,683
38,415
(9.7)
Aspen
Pharmacare
Holdings
Ltd.
82,157
1,116,773
83,116
(21.0)
Exxaro
Resources
Ltd.
83,252
1,258,752
94,916
(24.0)
217
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Africa
(continued)
Impala
Platinum
Holdings
Ltd.
60,762
935,267
(123,498)
31.2
Kumba
Iron
Ore
Ltd.
18,809
835,505
63,313
(16.0)
Mr
Price
Group
Ltd.
2,351
34,712
2,746
(0.7)
MTN
Group
Ltd.
2,981
38,572
(624)
0.2
MultiChoice
Group
135,213
1,218,930
95,289
(24.1)
Pepkor
Holdings
Ltd.
59,072
93,788
12,211
(3.1)
Shoprite
Holdings
Ltd.
67,973
1,097,125
13,290
(3.4)
Sibanye
Stillwater
Ltd.
328,119
1,319,358
(186,914)
47.2
SPAR
Group
Ltd.
(The)
17,171
199,424
14,601
(3.7)
Standard
Bank
Group
Ltd.
1,012
12,573
1,680
(0.4)
Tiger
Brands
Ltd.
4,996
55,353
3,031
(0.8)
Woolworths
Holdings
Ltd.
30,890
121,694
4,263
(1.1)
Short
Positions
Common
Stocks
South
Africa
Anglo
American
Platinum
Ltd.
(18)
(2,472)
221
(0.1)
Bidvest
Group
Ltd.
(The)
(32,196)
(492,882)
(16,613)
4.2
Capitec
Bank
Holdings
Ltd.
(12,084)
(1,924,501)
(252,507)
63.7
Clicks
Group
Ltd.
(32,115)
(679,223)
(22,704)
5.7
Discovery
Ltd.
(143,922)
(1,792,792)
(280,570)
70.8
FirstRand
Ltd.
(92,662)
(489,085)
(75,734)
19.1
Naspers
Ltd.
(4,204)
(474,809)
44,524
(11.2)
Nedbank
Group
Ltd.
(15,001)
(238,287)
(15,079)
3.8
Northam
Platinum
Holdings
Ltd.
(29,658)
(442,622)
61,285
(15.5)
Old
Mutual
Ltd.
(200,085)
(188,279)
(14,762)
3.7
Rand
Merchant
Investment
Holdings
Ltd.
(19,836)
(70,846)
(7,856)
2.0
Sanlam
Ltd.
(140,372)
(691,055)
(105,689)
26.7
Sasol
Ltd.
(28,281)
(683,723)
(1,888)
0.5
Vodacom
Group
Ltd.
(9,594)
(105,050)
(5,459)
1.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-2.07%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-61
months
maturity
ranging
from
02/25/2025
-
03/22/2027
$160,817,421
$(1,290,408)
$53,274
$(1,237,134)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
218
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
280,279
3,753,046
335,815
(27.1)
Atco
Ltd.
70,500
2,420,961
31,813
(2.6)
Bank
of
Montreal
19,199
2,259,221
(71,189)
5.8
Bank
of
Nova
Scotia
(The)
34,878
2,499,755
(86,507)
7.0
Canadian
Imperial
Bank
of
Commerce
19,781
2,401,125
(164,377)
13.3
Canadian
Natural
Resources
Ltd.
30,037
1,859,908
(6,630)
0.5
Canadian
Tire
Corp.
Ltd.
19,031
2,873,488
(33,457)
2.7
Capital
Power
Corp.
80,304
2,615,027
(47,989)
3.9
CI
Financial
Corp.
114,363
1,816,781
(58,102)
4.7
Empire
Co.
Ltd.
52,756
1,871,136
35,505
(2.9)
Fairfax
Financial
Holdings
Ltd.
6,003
3,274,988
323,655
(26.2)
Finning
International,
Inc.
63,680
1,917,302
(57,634)
4.7
Imperial
Oil
Ltd.
49,453
2,393,238
231,936
(18.7)
Magna
International,
Inc.
29,966
1,923,826
68,045
(5.5)
Manulife
Financial
Corp.
110,826
2,363,413
78,759
(6.4)
National
Bank
of
Canada
25,996
1,992,718
(86,000)
7.0
Nutrien
Ltd.
16,475
1,702,915
68,029
(5.5)
Onex
Corp.
32,770
2,196,113
(47,538)
3.8
Suncor
Energy,
Inc.
74,082
2,411,820
80,221
(6.5)
TFI
International,
Inc.
21,764
2,318,023
24,349
(2.0)
Tourmaline
Oil
Corp.
67,811
3,124,356
330,955
(26.8)
West
Fraser
Timber
Co.
Ltd.
63,300
5,208,205
(977,565)
79.0
Whitecap
Resources,
Inc.
205,942
1,703,348
19,423
(1.6)
Chile
Lundin
Mining
Corp.
201,993
2,047,155
52,720
(4.3)
United
States
BRP,
Inc.
20,178
1,652,138
218,102
(17.6)
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(34,666)
(1,648,517)
23,292
(1.9)
Canada
Agnico
Eagle
Mines
Ltd.
(36,604)
(2,239,896)
18,286
(1.5)
Air
Canada
(150,695)
(2,923,132)
(132,178)
10.7
Algonquin
Power
&
Utilities
Corp.
(351,342)
(5,449,363)
(89,789)
7.3
Ballard
Power
Systems,
Inc.
(300,631)
(3,498,925)
1,513
(0.1)
BCE,
Inc.
(30,037)
(1,665,051)
(27,471)
2.2
Boralex
,
Inc.
(70,610)
(2,288,619)
(87,938)
7.1
Brookfield
Asset
Management,
Inc.
(28,425)
(1,607,070)
(15,153)
1.2
CAE,
Inc.
(95,434)
(2,484,040)
(149,514)
12.1
Cameco
Corp.
(116,747)
(3,400,199)
(201,215)
16.3
Canadian
Utilities
Ltd.
(51,038)
(1,564,433)
(61,209)
4.9
Dollarama
,
Inc.
(26,555)
(1,506,019)
(9,110)
0.7
Element
Fleet
Management
Corp.
(179,053)
(1,733,025)
86,714
(7.0)
Emera
,
Inc.
(43,533)
(2,157,933)
(65,089)
5.3
Enbridge,
Inc.
(48,323)
(2,224,524)
(41,780)
3.4
Franco-Nevada
Corp.
(11,484)
(1,827,482)
(12,867)
1.0
GFL
Environmental,
Inc.
(99,461)
(3,234,879)
(229,587)
18.6
Innergex
Renewable
Energy,
Inc.
(152,055)
(2,417,993)
(23,416)
1.9
Pembina
Pipeline
Corp.
(59,770)
(2,245,648)
(59,931)
4.8
Ritchie
Bros
Auctioneers,
Inc.
(28,349)
(1,674,431)
46,947
(3.8)
Rogers
Communications,
Inc.
(49,654)
(2,810,476)
(110,513)
8.9
Shopify,
Inc.
(4,042)
(2,733,584)
(53,024)
4.3
219
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
TC
Energy
Corp.
(39,152)
(2,208,221)
(50,064)
4.0
WSP
Global,
Inc.
(25,661)
(3,405,525)
67,918
(5.5)
United
States
Brookfield
Renewable
Corp.
(61,818)
(2,699,886)
(2,141)
0.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-2.05%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
01/22/2025
-
03/22/2027
$171,985,183
$(3,592,828)
$(3,554,150)
$(7,146,978)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
34,772
2,779,902
224,638
(3.1)
Italy
Coca-Cola
HBC
AG
215,440
4,493,200
(340,108)
4.8
Netherlands
Shell
plc
99,181
2,718,424
149,740
(2.1)
South
Africa
Anglo
American
plc
51,824
2,692,898
206,438
(2.9)
United
Kingdom
ASOS
plc
69,901
1,470,621
(98,292)
1.4
Aviva
plc
243,484
1,440,674
78,674
(1.1)
BAE
Systems
plc
258,858
2,431,053
(27,893)
0.4
BP
plc
597,660
2,929,958
41,472
(0.6)
British
American
Tobacco
plc
65,426
2,747,710
58,995
(0.8)
Britvic
plc
134,333
1,424,085
3,397
(0.0)
BT
Group
plc
1,447,731
3,451,840
27,504
(0.4)
Centrica
plc
4,214,504
4,408,593
68,902
(1.0)
DCC
plc
51,315
3,973,528
8,336
(0.1)
DS
Smith
plc
833,027
3,503,475
(177,231)
2.5
Imperial
Brands
plc
96,754
2,038,098
17,822
(0.2)
Inchcape
plc
212,479
1,859,230
(124,989)
1.7
Kingfisher
plc
831,066
2,773,805
(341,144)
4.8
Lloyds
Banking
Group
plc
2,440,396
1,486,122
(52,369)
0.7
Marks
&
Spencer
Group
plc
849,962
1,715,530
(100,945)
1.4
Melrose
Industries
plc
897,283
1,455,519
(106,678)
1.5
Persimmon
plc
50,011
1,402,377
(93,391)
1.3
Royal
Mail
plc
1,004,749
4,317,054
(481,865)
6.7
Tate
&
Lyle
plc
168,257
1,612,932
5,433
(0.1)
Travis
Perkins
plc
158,826
2,561,192
(249,664)
3.5
220
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Vodafone
Group
plc
1,754,528
2,877,050
(32,414)
0.5
Short
Positions
Common
Stocks
United
Kingdom
AstraZeneca
plc
(24,258)
(3,216,927)
(170,309)
2.4
AVEVA
Group
plc
(39,534)
(1,262,742)
64,359
(0.9)
Croda
International
plc
(19,820)
(2,038,918)
(109,692)
1.5
Dechra
Pharmaceuticals
plc
(28,981)
(1,538,662)
68,418
(1.0)
Diageo
plc
(58,570)
(2,970,939)
(130,306)
1.8
Electrocomponents
plc
(109,955)
(1,552,924)
(75,429)
1.1
Experian
plc
(47,853)
(1,843,567)
65,834
(0.9)
Halma
plc
(83,068)
(2,717,745)
10,655
(0.1)
Hargreaves
Lansdown
plc
(150,764)
(1,987,193)
108,342
(1.5)
Informa
plc
(453,395)
(3,552,358)
5,893
(0.1)
InterContinental
Hotels
Group
plc
(26,147)
(1,768,443)
16,925
(0.2)
National
Grid
plc
(294,747)
(4,529,736)
(119,853)
1.7
Ocado
Group
plc
(136,917)
(2,090,672)
(102,822)
1.4
Prudential
plc
(336,193)
(4,963,309)
(229,892)
3.2
Reckitt
Benckiser
Group
plc
(79,745)
(6,083,424)
7,282
(0.1)
RELX
plc
(66,487)
(2,068,926)
(67,889)
0.9
Rentokil
Initial
plc
(554,267)
(3,818,057)
(121,514)
1.7
Rolls-Royce
Holdings
plc
(2,652,951)
(3,488,624)
(208,578)
2.9
Severn
Trent
plc
(38,028)
(1,532,691)
(68,877)
1.0
Smiths
Group
plc
(67,243)
(1,273,984)
37,328
(0.5)
Spirax-Sarco
Engineering
plc
(8,874)
(1,450,728)
49,881
(0.7)
St
James's
Place
plc
(87,216)
(1,644,318)
26,295
(0.4)
Weir
Group
plc
(The)
(85,240)
(1,819,013)
256,065
(3.6)
Whitbread
plc
(47,054)
(1,751,992)
(23,448)
0.3
United
States
Ferguson
plc
(12,476)
(1,690,247)
105,364
(1.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.00%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
35-58
months
maturity
ranging
from
02/25/2025
-
12/14/2026
$22,658,595
$508,863
$(7,988)
$500,875
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
221
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
351,000
1,215,592
21,628
4.3
Yangzijiang
Shipbuilding
Holdings
Ltd.
4,606,700
5,173,442
577,028
115.2
Singapore
DBS
Group
Holdings
Ltd.
43,700
1,145,037
25,413
5.1
Genting
Singapore
Ltd.
3,812,600
2,278,746
112,372
22.4
Oversea-Chinese
Banking
Corp.
Ltd.
131,600
1,193,856
15,007
3.0
Singapore
Airlines
Ltd.
167,700
675,862
32,354
6.5
United
Overseas
Bank
Ltd.
54,400
1,272,851
(15,636)
(3.1)
Venture
Corp.
Ltd.
102,100
1,315,768
58,328
11.6
Short
Positions
Common
Stocks
Singapore
City
Developments
Ltd.
(471,700)
(2,726,766)
(171,942)
(34.3)
Keppel
Corp.
Ltd.
(236,600)
(1,115,627)
(35,052)
(7.0)
SATS
Ltd.
(62,700)
(199,840)
(15,670)
(3.1)
Singapore
Technologies
Engineering
Ltd.
(351,900)
(1,065,923)
(19,541)
(3.9)
Singapore
Telecommunications
Ltd.
(1,626,700)
(3,158,644)
(73,922)
(14.8)
UOL
Group
Ltd.
(23,300)
(120,641)
(1,504)
(0.3)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-3.85%
to
0.45%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
4-24
months
maturity
ranging
from
04/18/2022
-
03/22/2024
$78,363,030
$(581,590)
$714,056
$132,466
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
South
Korea
CJ
Corp.
9,496
656,851
5,474
4.1
CJ
ENM
Co.
Ltd.
12,791
1,376,905
(3,211)
(2.4)
DB
Insurance
Co.
Ltd.
12,358
711,593
27,150
20.5
Doosan
Bobcat,
Inc.
21,051
669,006
(19,308)
(14.6)
E-MART,
Inc.
16,726
1,931,725
24,103
18.2
Hana
Financial
Group,
Inc.
30,683
1,220,360
(22,065)
(16.7)
Hankook
Tire
&
Technology
Co.
Ltd.
44,855
1,238,443
(16,577)
(12.5)
HMM
Co.
Ltd.
56,751
1,351,898
(54,363)
(41.0)
Hyundai
Engineering
&
Construction
Co.
Ltd.
25,663
1,004,685
(1,831)
(1.4)
222
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Korea
(continued)
Hyundai
Glovis
Co.
Ltd.
6,721
1,059,769
31,283
23.6
Hyundai
Mobis
Co.
Ltd.
5,676
1,000,398
20,051
15.1
Industrial
Bank
of
Korea
115,013
1,022,054
(6,575)
(5.0)
Kia
Corp.
31,698
1,919,890
57,673
43.5
Korea
Investment
Holdings
Co.
Ltd.
12,808
822,836
20,990
15.8
Korea
Zinc
Co.
Ltd.
1,742
838,514
(7,651)
(5.8)
Kumho
Petrochemical
Co.
Ltd.
16,324
2,068,829
(20,643)
(15.6)
LG
Corp.
14,214
892,613
27,236
20.6
LG
Display
Co.
Ltd.
59,070
995,751
(260)
(0.2)
LG
Electronics,
Inc.
12,335
1,213,312
(6,271)
(4.7)
Lotte
Chemical
Corp.
7,834
1,344,554
62,189
46.9
Lotte
Shopping
Co.
Ltd.
11,838
929,641
6,884
5.2
NH
Investment
&
Securities
Co.
Ltd.
96,960
906,629
3,658
2.8
POSCO
Holdings,
Inc.
9,025
2,164,860
(52,976)
(40.0)
Samsung
Life
Insurance
Co.
Ltd.
28,510
1,543,918
56,135
42.4
Samsung
SDS
Co.
Ltd.
6,721
762,501
42,837
32.3
Samsung
Securities
Co.
Ltd.
21,158
726,570
2,641
2.0
Shinhan
Financial
Group
Co.
Ltd.
24,460
830,875
26,079
19.7
SK
Telecom
Co.
Ltd.
28,103
1,314,047
(308)
(0.2)
Woori
Financial
Group,
Inc.
248,004
3,108,409
35,703
27.0
Short
Positions
Common
Stocks
South
Korea
Alteogen
,
Inc.
(23,356)
(1,078,771)
11,655
8.8
Celltrion
Healthcare
Co.
Ltd.
(30,952)
(1,648,748)
(41,024)
(31.0)
Ecopro
BM
Co.
Ltd.
(3,481)
(1,124,947)
(25,022)
(18.9)
HYBE
Co.
Ltd.
(4,161)
(1,051,585)
(23,925)
(18.1)
Hyundai
Motor
Co.
(9,881)
(1,457,852)
(47,150)
(35.6)
Iljin
Materials
Co.
Ltd.
(19,548)
(1,540,567)
(108,250)
(81.7)
Kakao
Corp.
(15,585)
(1,354,626)
(11,918)
(9.0)
KB
Financial
Group,
Inc.
(16,314)
(817,558)
(2,360)
(1.8)
Korea
Aerospace
Industries
Ltd.
(24,614)
(854,032)
22,479
17.0
L&F
Co.
Ltd.
(12,788)
(2,353,285)
(249,495)
(188.3)
LG
Chem
Ltd.
(4,222)
(1,844,873)
(22,701)
(17.1)
LG
Household
&
Health
Care
Ltd.
(1,429)
(1,008,034)
8,535
6.4
NAVER
Corp.
(4,052)
(1,126,168)
(19,037)
(14.4)
Pearl
Abyss
Corp.
(13,078)
(1,063,339)
66,601
50.3
POSCO
Chemical
Co.
Ltd.
(31,256)
(3,072,888)
(59,489)
(44.9)
Samsung
Biologics
Co.
Ltd.
(2,035)
(1,382,736)
(15,216)
(11.5)
Samsung
Heavy
Industries
Co.
Ltd.
(311,272)
(1,449,405)
3,836
2.9
Samsung
SDI
Co.
Ltd.
(3,130)
(1,523,339)
(133,940)
(101.1)
SK
Innovation
Co.
Ltd.
(13,752)
(2,412,472)
(124,372)
(93.9)
SK,
Inc.
(6,793)
(1,346,157)
(8,458)
(6.4)
SKC
Co.
Ltd.
(14,711)
(1,849,727)
(99,495)
(75.1)
223
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.75%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
2-52
months
maturity
05/18/2022
$70,630,748
$(377,281)
$(125,578)
$(502,859)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams
-OSRAM
AG
104,933
1,606,210
77,016
(15.3)
Switzerland
Adecco
Group
AG
(Registered)
89,295
4,050,561
(87,116)
17.3
Baloise
Holding
AG
(Registered)
5,390
962,636
32,534
(6.5)
BKW
AG
14,065
1,761,674
46,331
(9.2)
Bucher
Industries
AG
(Registered)
2,158
872,284
(11,766)
2.3
Cie
Financiere
Richemont
SA
6,865
870,172
(3,144)
0.6
Credit
Suisse
Group
AG
(Registered)
105,723
832,264
(23,222)
4.6
DKSH
Holding
AG
16,887
1,422,259
(28,889)
5.7
dormakaba
Holding
AG
1,787
916,583
(43,135)
8.6
Flughafen
Zurich
AG
(Registered)
8,971
1,610,177
35,083
(7.0)
Georg
Fischer
AG
(Registered)
449
536,495
(18,495)
3.7
Helvetia
Holding
AG
(Registered)
8,029
1,048,201
13,173
(2.6)
Holcim
Ltd.
3,632
176,649
(6,127)
1.2
Julius
Baer
Group
Ltd.
10,445
604,708
12,120
(2.4)
Kuehne
+
Nagel
International
AG
(Registered)
6,345
1,801,531
(180,065)
35.8
Novartis
AG
(Registered)
17,563
1,541,883
9,626
(1.9)
OC
Oerlikon
Corp.
AG
(Registered)
44,227
352,443
(8,269)
1.6
Roche
Holding
AG
3,325
1,315,576
6,887
(1.4)
SGS
SA
(Registered)
179
497,646
(18,879)
3.8
Sonova
Holding
AG
(Registered)
1,488
621,595
51,571
(10.3)
Sulzer
AG
(Registered)
8,836
733,969
(5,432)
1.1
Swatch
Group
AG
(The)
11,211
3,178,587
57,509
(11.4)
Swiss
Life
Holding
AG
(Registered)
244
156,357
2,421
(0.5)
Swisscom
AG
(Registered)
3,730
2,241,008
(5,311)
1.1
Tecan
Group
AG
(Registered)
4,361
1,724,079
139,972
(27.8)
UBS
Group
AG
(Registered)
88,702
1,733,353
93,241
(18.5)
Zurich
Insurance
Group
AG
910
449,449
14,973
(3.0)
224
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Switzerland
Alcon,
Inc.
(6,215)
(492,389)
(10,171)
2.0
Bachem
Holding
AG
(Registered)
(4,375)
(2,407,749)
265,772
(52.9)
Banque
Cantonale
Vaudoise
(Registered)
(11,252)
(973,511)
(53,779)
10.7
Barry
Callebaut
AG
(Registered)
(280)
(656,447)
(9,083)
1.8
Belimo
Holding
AG
(Registered)
(3,544)
(1,876,973)
(76,768)
15.3
Chocoladefabriken
Lindt
&
Spruengli
AG
(174)
(2,070,934)
(99,441)
19.8
Clariant
AG
(Registered)
(28,817)
(500,062)
8,632
(1.7)
Dufry
AG
(Registered)
(77,322)
(3,253,535)
(118,934)
23.7
EMS-
Chemie
Holding
AG
(Registered)
(1,705)
(1,656,927)
(39,766)
7.9
Geberit
AG
(Registered)
(2,602)
(1,604,020)
56,732
(11.3)
Givaudan
SA
(Registered)
(563)
(2,326,843)
(14,162)
2.8
Idorsia
Ltd.
(142,031)
(2,837,276)
(177,915)
35.4
Logitech
International
SA
(Registered)
(32,994)
(2,452,514)
(17,450)
3.5
Lonza
Group
AG
(Registered)
(1,961)
(1,420,948)
(12,888)
2.6
Nestle
SA
(Registered)
(11,065)
(1,438,657)
(14,634)
2.9
Partners
Group
Holding
AG
(1,032)
(1,277,825)
60,309
(12.0)
Schindler
Holding
AG
(2,945)
(631,026)
32,132
(6.4)
SIG
Combibloc
Group
AG
(206,822)
(5,213,956)
(268,279)
53.4
Sika
AG
(Registered)
(4,348)
(1,438,553)
21,515
(4.3)
Straumann
Holding
AG
(Registered)
(282)
(450,266)
(19,817)
3.9
Temenos
AG
(Registered)
(3,223)
(310,020)
2,454
(0.5)
VAT
Group
AG
(3,799)
(1,446,428)
(40,417)
8.0
United
States
Swiss
Re
AG
(1,920)
(182,772)
(4,678)
0.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.66%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
02/21/2024
$39,404,447
$(1,451,179)
$(1,895,799)
$(3,346,978)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
2,168
6,514,761
(963,233)
28.8
Carlsberg
A/S
23,735
2,913,744
190,921
(5.7)
Demant
A/S
5,980
270,624
37,565
(1.1)
GN
Store
Nord
A/S
4,313
211,408
7,299
(0.2)
H
Lundbeck
A/S
68,357
1,575,016
(40,774)
1.2
225
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Denmark
(continued)
ISS
A/S
152,718
2,714,037
100,590
(3.0)
Jyske
Bank
A/S
(Registered)
3,843
208,885
16,911
(0.5)
Novo
Nordisk
A/S
7,223
801,147
12,908
(0.4)
Pandora
A/S
11,723
1,116,784
88,028
(2.6)
ROCKWOOL
International
A/S
1,668
550,623
(7,137)
0.2
Royal
Unibrew
A/S
5,522
515,896
12,263
(0.4)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(45,872)
(675,289)
(36,797)
1.1
Chr
Hansen
Holding
A/S
(26,973)
(1,980,546)
(100,343)
3.0
Coloplast
A/S
(1,885)
(285,462)
(24,557)
0.7
Danske
Bank
A/S
(17,744)
(295,173)
(2,885)
0.1
DSV
A/S
(13,978)
(2,678,962)
(30,248)
0.9
Genmab
A/S
(5,063)
(1,828,518)
(134,422)
4.0
Novozymes
A/S
(26,658)
(1,827,784)
(225,327)
6.7
Orsted
A/S
(41,255)
(5,163,951)
(77,151)
2.3
SimCorp
A/S
(6,349)
(465,576)
24,715
(0.7)
Tryg
A/S
(142,678)
(3,469,172)
(301,534)
9.0
Vestas
Wind
Systems
A/S
(113,895)
(3,341,089)
2,029
(0.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.75%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-61
months
maturity
11/11/2022
$352,475,906
$(3,413,330)
$618,074
$(2,795,256)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Proximus
SADP
184,622
3,437,917
(74,574)
2.7
Finland
Nokia
OYJ
562,527
3,097,849
93,364
(3.3)
France
AXA
SA
81,785
2,394,201
77,392
(2.8)
Bouygues
SA
121,639
4,245,697
(188,715)
6.8
Carrefour
SA
119,435
2,599,153
210,741
(7.5)
Cie
de
Saint-Gobain
88,666
5,275,662
(412,722)
14.8
Electricite
de
France
SA
560,231
5,258,438
(507,929)
18.2
Engie
SA
344,775
4,532,758
(70,782)
2.5
226
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
(continued)
Orange
SA
318,307
3,769,169
8,347
(0.3)
Rexel
SA
138,463
2,955,884
(66,597)
2.4
Rubis
SCA
99,899
2,936,319
(28,322)
1.0
TotalEnergies
SE
77,039
3,898,139
(23,138)
0.8
Germany
Covestro
AG
49,833
2,509,361
(104,681)
3.7
Deutsche
Bank
AG
(Registered)
217,191
2,735,346
115,826
(4.1)
Deutsche
Post
AG
(Registered)
53,148
2,537,917
(192,111)
6.9
ProSiebenSat.1
Media
SE
300,690
3,830,101
(270,603)
9.7
Netherlands
Aegon
NV
454,626
2,410,033
243,598
(8.7)
ASR
Nederland
NV
108,423
5,061,828
107,699
(3.9)
Koninklijke
Ahold
Delhaize
NV
146,513
4,712,666
59,184
(2.1)
NN
Group
NV
66,215
3,355,695
125,138
(4.5)
Randstad
NV
47,697
2,869,209
(230,306)
8.2
Signify
NV
87,757
4,082,227
(242,471)
8.7
Spain
Acerinox
SA
284,545
3,116,699
(79,412)
2.8
Mapfre
SA
1,327,235
2,776,055
52,547
(1.9)
Repsol
SA
470,940
6,168,938
181,164
(6.5)
Telefonica
SA
760,633
3,686,225
160,366
(5.7)
Short
Positions
Common
Stocks
China
Prosus
NV
(59,209)
(3,193,014)
157,507
(5.6)
Finland
Elisa
OYJ
(65,660)
(3,959,741)
(170,198)
6.1
France
Accor
SA
(80,387)
(2,590,011)
(73,544)
2.6
Aeroports
de
Paris
(19,322)
(2,889,377)
(172,744)
6.2
Airbus
SE
(20,247)
(2,443,175)
(40,911)
1.5
Alstom
SA
(109,090)
(2,552,585)
(21,317)
0.8
Dassault
Systemes
SE
(55,991)
(2,750,762)
(2,407)
0.1
Getlink
SE
(148,449)
(2,673,516)
(47,191)
1.7
Pernod
Ricard
SA
(17,514)
(3,848,021)
(211,030)
7.5
Remy
Cointreau
SA
(15,363)
(3,168,267)
(115,965)
4.1
Safran
SA
(35,693)
(4,202,334)
15,828
(0.6)
Sartorius
Stedim
Biotech
(15,029)
(6,153,093)
(255,270)
9.1
Germany
Deutsche
Lufthansa
AG
(Registered)
(400,843)
(3,232,591)
(111,965)
4.0
MTU
Aero
Engines
AG
(12,542)
(2,900,714)
60,234
(2.2)
RWE
AG
(89,762)
(3,908,464)
(198,715)
7.1
Sartorius
AG
(5,784)
(2,552,734)
(46,863)
1.7
Netherlands
Argenx
SE
(12,183)
(3,811,711)
(155,496)
5.6
IMCD
NV
(14,501)
(2,473,761)
(31,373)
1.1
Spain
Aena
SME
SA
(14,967)
(2,495,004)
(149,887)
5.4
Amadeus
IT
Group
SA
(67,722)
(4,403,156)
(247,659)
8.9
Cellnex
Telecom
SA
(166,343)
(8,005,158)
(73,735)
2.6
Ferrovial
SA
(246,747)
(6,562,203)
465,559
(16.7)
Naturgy
Energy
Group
SA
(128,752)
(3,857,342)
(379,210)
13.6
Siemens
Gamesa
Renewable
Energy
SA
(202,867)
(3,558,134)
428,103
(15.3)
227
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
02/21/2024
$20,803,776
$941,267
$921,845
$1,863,112
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
59,637
2,982,359
86,697
4.7
Norway
Equinor
ASA
103,516
3,864,942
525,389
28.2
Leroy
Seafood
Group
ASA
31,925
292,839
22,986
1.2
Norsk
Hydro
ASA
229,230
2,227,171
227,791
12.2
Orkla
ASA
35,793
318,003
2,394
0.1
United
Kingdom
Subsea
7
SA
143,775
1,335,786
140,591
7.5
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(12,488)
(837,613)
(30,772)
(1.7)
France
Adevinta
ASA
(38,408)
(350,634)
23,393
1.3
Norway
Gjensidige
Forsikring
ASA
(34,221)
(848,585)
(8,358)
(0.4)
Mowi
ASA
(18,347)
(494,193)
(28,741)
(1.5)
Salmar
ASA
(15,362)
(1,214,353)
(76,049)
(4.1)
Schibsted
ASA
(101,392)
(2,499,059)
237,752
12.8
Telenor
ASA
(23,116)
(331,704)
11,787
0.6
TOMRA
Systems
ASA
(62,856)
(3,206,535)
(193,593)
(10.4)
228
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
23-24
months
maturity
02/21/2024
$68,911,388
$(2,289,130)
$(1,178,253)
$(3,467,383)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
51,372
1,304,179
88,211
(2.5)
Finland
Nordea
Bank
Abp
7,436
76,531
(6,480)
0.2
Sweden
Axfood
AB
1,292
42,075
3,849
(0.1)
BillerudKorsnas
AB
167,380
2,480,400
187,310
(5.4)
Boliden
AB
42,197
2,128,637
224,522
(6.5)
Electrolux
AB
139,519
2,111,272
(272,719)
7.9
Elekta
AB
123,468
972,417
9
(0.0)
Essity
AB
144,575
3,411,830
(124,009)
3.6
Getinge
AB
50,271
2,002,745
143,764
(4.1)
H
&
M
Hennes
&
Mauritz
AB
81,041
1,088,190
(139,341)
4.0
Husqvarna
AB
71,792
748,915
(90,051)
2.6
Saab
AB
76,053
2,747,009
(147,938)
4.3
Securitas
AB
375,952
4,241,236
(248,261)
7.2
Skanska
AB
16,956
379,343
(29,177)
0.8
SKF
AB
76,308
1,244,275
(83,383)
2.4
SSAB
AB
281,048
1,871,376
148,323
(4.3)
SSAB
AB
139,467
969,064
42,568
(1.2)
Svenska
Handelsbanken
AB
41,153
378,420
(24,371)
0.7
Swedbank
AB
31,152
465,275
(13,879)
0.4
Swedish
Orphan
Biovitrum
AB
25,692
608,224
76,845
(2.2)
Telefonaktiebolaget
LM
Ericsson
270,857
2,469,009
68,535
(2.0)
Telia
Co.
AB
462,954
1,856,312
55,837
(1.6)
Trelleborg
AB
35,986
833,162
129,580
(3.7)
Volvo
AB
28,809
537,442
4,248
(0.1)
Short
Positions
Common
Stocks
Sweden
AAK
AB
(38,846)
(719,924)
(42,490)
1.2
Alfa
Laval
AB
(20,368)
(700,607)
(24,778)
0.7
Assa
Abloy
AB
(65,826)
(1,769,376)
(27,820)
0.8
Atlas
Copco
AB
(18,488)
(959,638)
12,336
(0.4)
Beijer
Ref
AB
(98,605)
(1,785,882)
(207,958)
6.0
Embracer
Group
AB
(38,688)
(322,935)
(28,492)
0.8
229
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Epiroc
AB
(57,123)
(1,221,796)
40,601
(1.2)
EQT
AB
(97,781)
(3,813,294)
(766,682)
22.1
Evolution
AB
(8,295)
(843,886)
7,694
(0.2)
Hexagon
AB
(134,614)
(1,886,050)
(113,134)
3.3
Holmen
AB
(42,917)
(2,395,564)
(55,052)
1.6
Indutrade
AB
(28,549)
(717,984)
(100,295)
2.9
Lifco
AB
(108,078)
(2,743,625)
(244,531)
7.1
Nibe
Industrier
AB
(385,825)
(4,276,699)
(380,061)
11.0
Sandvik
AB
(5,418)
(115,094)
7,175
(0.2)
Sinch
AB
(15,555)
(105,501)
21,688
(0.6)
Svenska
Cellulosa
AB
SCA
(169,081)
(3,283,161)
(133,961)
3.9
Sweco
AB
(71,972)
(1,046,376)
(27,078)
0.8
Swedish
Match
AB
(422,519)
(3,177,357)
(44,065)
1.3
Tele2
AB
(136,235)
(2,059,301)
(176,219)
5.1
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-6.25%
to
0.40%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-24
months
maturity
ranging
from
04/19/2023
-
04/20/2023
$58,498,088
$(1,358,012)
$(51,910)
$(1,409,922)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Banco
do
Brasil
SA
260,500
1,898,604
151,040
(10.7)
Braskem
SA
120,200
1,118,421
12,721
(0.9)
Cia
Siderurgica
Nacional
SA
143,400
784,008
49,485
(3.5)
Petroleo
Brasileiro
SA
227,900
1,601,171
240,631
(17.1)
TIM
SA
505,600
1,464,430
111,172
(7.9)
Via
S/A
1,078,100
944,262
207,220
(14.7)
Vibra
Energia
SA
155,100
761,647
73,127
(5.2)
Taiwan
ASE
Technology
Holding
Co.
Ltd.
197,000
702,003
(21,559)
1.5
AU
Optronics
Corp.
2,572,000
1,754,249
(185,296)
13.1
Catcher
Technology
Co.
Ltd.
281,000
1,409,732
(56,161)
4.0
Cathay
Financial
Holding
Co.
Ltd.
287,000
640,624
(2,055)
0.1
Compal
Electronics,
Inc.
427,000
397,764
(8,356)
0.6
Evergreen
Marine
Corp.
Taiwan
Ltd.
70,000
325,371
(38,552)
2.7
Far
EasTone
Telecommunications
Co.
Ltd.
141,000
361,280
(6,491)
0.5
Formosa
Chemicals
&
Fibre
Corp.
139,000
381,509
(15,085)
1.1
Formosa
Plastics
Corp.
104,000
384,650
(10,259)
0.7
Hon
Hai
Precision
Industry
Co.
Ltd.
131,000
481,010
(2,472)
0.2
230
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Taiwan
(continued)
Innolux
Corp.
3,637,000
2,106,416
(171,801)
12.2
Nanya
Technology
Corp.
794,000
1,894,070
(196,691)
14.0
Novatek
Microelectronics
Corp.
48,000
705,778
(88,569)
6.3
Pegatron
Corp.
731,000
1,840,703
(50,394)
3.6
Pou
Chen
Corp.
818,000
895,508
(10,182)
0.7
Winbond
Electronics
Corp.
626,000
670,508
(104,793)
7.4
Yang
Ming
Marine
Transport
Corp.
225,000
964,609
(97,346)
6.9
United
States
JBS
SA
266,600
2,084,733
127,942
(9.1)
Short
Positions
Common
Stocks
Brazil
B3
SA
-
Brasil
Bolsa
Balcao
(393,000)
(1,296,779)
(212,256)
15.1
Banco
BTG
Pactual
SA
(228,300)
(1,248,660)
(109,169)
7.7
Banco
Inter
SA
(462,400)
(2,058,974)
(364,316)
25.8
Cosan
SA
(249,200)
(1,237,874)
(151,910)
10.8
Equatorial
Energia
SA
(64,206)
(366,945)
(32,458)
2.3
Localiza
Rent
a
Car
SA
(61,000)
(782,832)
(121,592)
8.6
Natura
&
Co.
Holding
SA
(115,900)
(634,145)
(62,359)
4.4
Rumo
SA
(202,700)
(789,760)
(122,532)
8.7
Suzano
SA
(119,000)
(1,378,446)
76,662
(5.4)
WEG
SA
(127,700)
(935,277)
(96,096)
6.8
China
Silergy
Corp.
(4,000)
(469,003)
(20,442)
1.4
Taiwan
Advantech
Co.
Ltd.
(113,000)
(1,447,939)
73,889
(5.2)
ASMedia
Technology,
Inc.
(20,000)
(1,336,236)
(26,750)
1.9
Chailease
Holding
Co.
Ltd.
(157,600)
(1,382,361)
(34,487)
2.4
China
Development
Financial
Holding
Corp.
(1,368,000)
(907,963)
(2,620)
0.2
China
Steel
Corp.
(490,000)
(660,638)
14,925
(1.1)
E.Sun
Financial
Holding
Co.
Ltd.
(2,184,318)
(2,506,080)
(110,757)
7.9
Formosa
Petrochemical
Corp.
(188,000)
(617,038)
23,440
(1.7)
Hotai
Motor
Co.
Ltd.
(16,000)
(331,694)
(2,371)
0.2
Mega
Financial
Holding
Co.
Ltd.
(552,000)
(824,249)
(39,691)
2.8
Oneness
Biotech
Co.
Ltd.
(108,000)
(805,622)
40,178
(2.8)
Quanta
Computer,
Inc.
(111,000)
(339,932)
24,037
(1.7)
Unimicron
Technology
Corp.
(89,000)
(758,587)
(46,373)
3.3
Win
Semiconductors
Corp.
(91,000)
(837,436)
120,066
(8.5)
Wiwynn
Corp.
(52,000)
(1,834,373)
29,427
(2.1)
231
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
78.0%
INVESTMENT
COMPANIES
-
31.1%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(a)
(Cost
$3,474,986)
3,476,813
3,475,074
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
46.9%
U.S.
Treasury
Bills
0.21%,
6/30/2022
(b)
$
4,397,000
4,391,380
0.37%,
7/21/2022
(b)
212,000
211,569
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
46.9%
(continued)
0.77%,
8/18/2022
(b)
$
482,000
480,431
1.06%,
9/29/2022
(b)
171,000
170,134
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$5,257,117)
5,253,514
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$8,732,103)
8,728,588
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
78.0%
(Cost
$8,732,103)
8,728,588
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
22.0%
(c)
2,459,858
NET
ASSETS
-
100.0%
11,188,446
(a)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(b)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(c)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
1
6/2022
USD
$
226,538
$
14,146
$
14,146
232
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
79,000
USD
57,361
CITI
6/15/2022
$
1,829
AUD
79,000
USD
57,361
JPMC
6/15/2022
1,829
CAD
123,504
USD
97,243
CITI
6/15/2022
1,530
CAD
123,496
USD
97,237
JPMC
6/15/2022
1,530
ILS
18,000
USD
5,586
CITI
6/15/2022
67
ILS
18,000
USD
5,586
JPMC
6/15/2022
67
NOK
48,000
USD
5,374
CITI
6/15/2022
76
NOK
48,000
USD
5,374
JPMC
6/15/2022
76
NZD
2,500
USD
1,669
CITI
6/15/2022
62
NZD
2,500
USD
1,669
JPMC
6/15/2022
62
SEK
136,751
USD
14,196
CITI
6/15/2022
375
SEK
136,749
USD
14,196
JPMC
6/15/2022
375
SGD
500
USD
369
CITI
6/15/2022
SGD
500
USD
369
JPMC
6/15/2022
USD
548
CHF
500
CITI
6/15/2022
6
USD
548
CHF
500
JPMC
6/15/2022
5
USD
9,011
EUR
8,000
CITI
6/15/2022
136
USD
9,011
EUR
8,000
JPMC
6/15/2022
136
USD
1,342
GBP
1,000
CITI
6/15/2022
28
USD
1,342
GBP
1,000
JPMC
6/15/2022
28
Total
unrealized
appreciation
8,217
CHF
74,000
USD
80,706
CITI
6/15/2022
(370)
CHF
74,000
USD
80,706
JPMC
6/15/2022
(370)
DKK
134,500
USD
20,522
CITI
6/15/2022
(463)
DKK
134,500
USD
20,522
JPMC
6/15/2022
(463)
EUR
231,005
USD
261,046
CITI
6/15/2022
(4,773)
EUR
230,995
USD
261,035
JPMC
6/15/2022
(4,773)
GBP
90,502
USD
121,312
CITI
6/15/2022
(2,459)
GBP
90,498
USD
121,307
JPMC
6/15/2022
(2,459)
HKD
176,500
USD
22,616
CITI
6/15/2022
(60)
HKD
176,500
USD
22,616
JPMC
6/15/2022
(60)
JPY
20,268,000
USD
176,254
CITI
6/15/2022
(9,443)
JPY
20,268,000
USD
176,254
JPMC
6/15/2022
(9,443)
NOK
2,000
USD
228
CITI
6/15/2022
(1)
NOK
2,000
USD
228
JPMC
6/15/2022
(1)
SEK
136,752
USD
14,657
CITI
6/15/2022
(85)
SEK
136,748
USD
14,657
JPMC
6/15/2022
(85)
SGD
86,500
USD
64,075
CITI
6/15/2022
(255)
SGD
86,500
USD
64,075
JPMC
6/15/2022
(255)
USD
1,639
SEK
15,500
CITI
6/15/2022
(13)
USD
1,639
SEK
15,500
JPMC
6/15/2022
(13)
USD
33,523
SGD
45,500
CITI
6/15/2022
(47)
USD
33,523
SGD
45,500
JPMC
6/15/2022
(47)
Total
unrealized
depreciation
(35,938)
Net
unrealized
depreciation
$
(27,721)
233
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
Return
Basket
Swaps
Outstanding
at
March
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.63%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
58-61
months
maturity
ranging
from
12/18/2026
-
03/26/2027
$9,664,092
$11,560
$24,611
$36,171
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Amada
Co.
Ltd.
6,800
59,783
7,881
21
.8
Fujitsu
Ltd.
500
74,913
9,441
26
.1
Japan
Post
Holdings
Co.
Ltd.
8,000
58,754
230
0
.6
Japan
Post
Insurance
Co.
Ltd.
3,400
59,212
5,439
15
.0
Kyocera
Corp.
1,100
61,555
6,831
18
.9
Mazda
Motor
Corp.
14,100
103,643
18,802
52
.0
Mitsubishi
Electric
Corp.
6,800
77,988
6,987
19
.3
Mizuho
Financial
Group,
Inc.
12,800
163,269
9,850
27
.2
NGK
Insulators
Ltd.
4,800
68,472
7,343
20
.3
Nikon
Corp.
5,400
57,661
9,580
26
.5
NIPPON
EXPRESS
HOLDINGS,
Inc.
1,300
89,311
7,645
21
.1
Nippon
Telegraph
&
Telephone
Corp.
3,000
87,162
4,165
11
.5
Nitto
Denko
Corp.
1,500
107,532
15,206
42
.0
Resona
Holdings,
Inc.
20,400
86,891
6,479
17
.9
Rohm
Co.
Ltd.
1,100
85,404
10,996
30
.4
SCREEN
Holdings
Co.
Ltd.
600
59,805
10,266
28
.4
Shimamura
Co.
Ltd.
1,000
88,879
3,995
11
.0
Sompo
Holdings,
Inc.
1,900
83,487
10,690
29
.6
Sumitomo
Heavy
Industries
Ltd.
2,700
61,873
3,586
9
.9
Taisei
Corp.
2,600
75,060
(187)
(0
.5)
Takeda
Pharmaceutical
Co.
Ltd.
2,600
74,080
4,003
11
.1
Yamada
Holdings
Co.
Ltd.
22,900
71,193
752
2
.1
Yamaha
Motor
Co.
Ltd.
2,800
62,758
10,697
29
.6
Yamato
Holdings
Co.
Ltd.
3,100
57,909
2,524
7
.0
Yamazaki
Baking
Co.
Ltd.
4,600
56,575
1,135
3
.1
234
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Japan
Asahi
Intecc
Co.
Ltd.
(3,800)
(74,133)
(2,458)
(6
.8)
Benefit
One,
Inc.
(2,800)
(58,764)
(5,080)
(14
.0)
Cosmos
Pharmaceutical
Corp.
(500)
(60,599)
6,367
17
.6
Daiichi
Sankyo
Co.
Ltd.
(2,600)
(56,776)
(5,627)
(15
.6)
Denso
Corp.
(1,400)
(89,320)
(13,315)
(36
.8)
Japan
Airlines
Co.
Ltd.
(3,900)
(72,709)
(13,166)
(36
.4)
JSR
Corp.
(2,200)
(64,785)
(7,820)
(21
.6)
Kansai
Electric
Power
Co.,
Inc.
(The)
(6,800)
(64,050)
(1,736)
(4
.8)
Kikkoman
Corp.
(900)
(59,613)
(1,807)
(5
.0)
Kobayashi
Pharmaceutical
Co.
Ltd.
(700)
(56,086)
(581)
(1
.6)
Kobe
Bussan
Co.
Ltd.
(2,000)
(61,549)
615
1
.7
Koei
Tecmo
Holdings
Co.
Ltd.
(1,800)
(59,027)
(2,486)
(6
.9)
Lasertec
Corp.
(500)
(83,182)
(11,855)
(32
.8)
MonotaRO
Co.
Ltd.
(3,700)
(79,411)
(9,170)
(25
.4)
Nexon
Co.
Ltd.
(2,700)
(64,594)
(5,339)
(14
.8)
Nidec
Corp.
(1,500)
(118,475)
(10,801)
(29
.9)
Nippon
Paint
Holdings
Co.
Ltd.
(8,400)
(73,595)
(9,352)
(25
.9)
Obic
Co.
Ltd.
(500)
(74,888)
(3,952)
(10
.9)
Oriental
Land
Co.
Ltd.
(500)
(95,703)
(9,876)
(27
.3)
Seven
&
i
Holdings
Co.
Ltd.
(1,300)
(61,980)
(4,083)
(11
.3)
Shimano,
Inc.
(400)
(91,603)
(9,290)
(25
.7)
SMC
Corp.
(200)
(111,799)
(10,535)
(29
.1)
Sumitomo
Electric
Industries
Ltd.
(5,600)
(66,569)
(7,613)
(21
.0)
Toyota
Motor
Corp.
(6,400)
(115,443)
(18,729)
(51
.8)
Yaskawa
Electric
Corp.
(1,800)
(70,155)
(7,186)
(19
.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-2.27%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
58-61
months
maturity
ranging
from
12/18/2026
-
04/01/2027
$29,901,756
$37,534
$(13,149)
$24,385
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
235
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Adobe,
Inc.
246
112,083
7,079
29
.0
Allstate
Corp.
(The)
528
73,133
8,496
34
.8
Alphabet,
Inc.
58
161,318
6,696
27
.5
Alphabet,
Inc.
30
83,790
3,699
15
.2
Amazon.com,
Inc.
52
169,517
24,591
100
.8
Apple,
Inc.
1,288
224,898
15,148
62
.1
Archer-Daniels-Midland
Co.
1,056
95,315
8,955
36
.7
Booking
Holdings,
Inc.
36
84,544
10,867
44
.6
Cisco
Systems,
Inc.
1,640
91,446
(134)
(0
.5)
Citigroup,
Inc.
2,131
113,795
(5,434)
(22
.3)
Coca-Cola
Co.
(The)
2,695
167,090
8,193
33
.6
Comcast
Corp.
1,549
72,524
1,084
4
.4
Comerica,
Inc.
823
74,424
1,662
6
.8
Crown
Castle
International
Corp.
466
86,024
4,958
20
.3
CVS
Health
Corp.
838
84,814
(2,257)
(9
.3)
Dell
Technologies,
Inc.
1,477
74,131
(2,613)
(10
.7)
Dow,
Inc.
1,212
77,229
4,871
20
.0
Gilead
Sciences,
Inc.
1,333
79,247
1,118
4
.6
Global
Payments,
Inc.
528
72,252
4,615
18
.9
Intel
Corp.
1,537
76,174
2,966
12
.2
International
Paper
Co.
1,948
89,900
7,753
31
.8
Johnson
&
Johnson
508
90,033
3,998
16
.4
JPMorgan
Chase
&
Co.
856
116,690
2,936
12
.0
Kraft
Heinz
Co.
(The)
1,993
78,504
2,412
9
.9
ManpowerGroup,
Inc.
900
84,528
2,824
11
.6
Merck
&
Co.,
Inc.
980
80,409
4,175
17
.1
Microsoft
Corp.
862
265,763
17,112
70
.2
Oracle
Corp.
929
76,856
6,159
25
.3
Owens
Corning
955
87,382
2,358
9
.7
Tyson
Foods,
Inc.
1,057
94,739
(750)
(3
.1)
Ulta
Beauty,
Inc.
210
83,626
4,811
19
.7
Walmart,
Inc.
1,179
175,577
11,139
45
.7
Wells
Fargo
&
Co.
1,823
88,343
(1,665)
(6
.8)
Short
Positions
Common
Stocks
United
States
Amphenol
Corp.
(1,192)
(89,817)
(524)
(2
.2)
Aon
plc
(233)
(75,872)
(8,027)
(32
.9)
Costco
Wholesale
Corp.
(135)
(77,740)
(6,500)
(26
.7)
DISH
Network
Corp.
(2,510)
(79,442)
(2,323)
(9
.5)
First
Financial
Bankshares,
Inc.
(2,126)
(93,799)
3,826
15
.7
GameStop
Corp.
(533)
(88,787)
(45,409)
(186
.2)
Grocery
Outlet
Holding
Corp.
(3,083)
(101,061)
(11,376)
(46
.7)
236
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Hormel
Foods
Corp.
(1,555)
(80,145)
(2,535)
(10
.4)
IAC/InterActiveCorp
(768)
(77,015)
1,742
7
.1
M&T
Bank
Corp.
(522)
(88,479)
2,120
8
.7
Progressive
Corp.
(The)
(762)
(86,860)
(7,536)
(30
.9)
Realty
Income
Corp.
(1,379)
(95,565)
(5,692)
(23
.3)
RPM
International,
Inc.
(937)
(76,309)
(1,831)
(7
.5)
Signature
Bank
(249)
(73,079)
2,879
11
.8
Skechers
USA,
Inc.
(1,984)
(80,868)
(5,095)
(20
.9)
Vistra
Corp.
(3,976)
(92,442)
(2,028)
(8
.3)
Waste
Management,
Inc.
(482)
(76,397)
(4,107)
(16
.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-2.00%
to
0.30%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
03/25/2024
$1,375,633
$(3,280)
$15,462
$12,182
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
2,552
25,341
(150)
(1
.2)
Ampol
Ltd.
1,202
27,307
406
3
.3
Aristocrat
Leisure
Ltd.
1,570
42,613
(405)
(3
.3)
Atlas
Arteria
Ltd.
1,810
8,809
(212)
(1
.7)
Australia
&
New
Zealand
Banking
Group
Ltd.
2,155
44,158
(365)
(3
.0)
BlueScope
Steel
Ltd.
5,321
82,742
(2,705)
(22
.2)
Brambles
Ltd.
8,827
65,140
1,140
9
.4
Coles
Group
Ltd.
2,026
27,078
(13)
(0
.1)
Computershare
Ltd.
769
14,134
157
1
.3
Fortescue
Metals
Group
Ltd.
817
12,559
780
6
.4
Harvey
Norman
Holdings
Ltd.
4,844
19,303
(921)
(7
.6)
Incitec
Pivot
Ltd.
15,461
43,766
(897)
(7
.4)
JB
Hi-Fi
Ltd.
1,312
53,031
(744)
(6
.1)
Magellan
Financial
Group
Ltd.
1,078
12,753
1,305
10
.7
Mineral
Resources
Ltd.
241
9,500
721
5
.9
Newcrest
Mining
Ltd.
871
17,601
69
0
.6
237
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
QBE
Insurance
Group
Ltd.
4,684
40,167
213
1
.8
Ramsay
Health
Care
Ltd.
675
32,691
629
5
.2
Sonic
Healthcare
Ltd.
2,138
56,448
216
1
.8
Suncorp
Group
Ltd.
4,590
38,050
(281)
(2
.3)
Tabcorp
Holdings
Ltd.
3,977
15,845
848
7
.0
Telstra
Corp.
Ltd.
20,233
59,778
732
6
.0
Treasury
Wine
Estates
Ltd.
1,327
11,463
(85)
(0
.7)
Wesfarmers
Ltd.
190
7,130
(31)
(0
.3)
Westpac
Banking
Corp.
1,409
25,456
417
3
.4
Worley
Ltd.
1,361
13,148
81
0
.7
Short
Positions
Common
Stocks
Australia
APA
Group
(838)
(6,660)
(164)
(1
.4)
Cleanaway
Waste
Management
Ltd.
(12,105)
(27,766)
(503)
(4
.1)
Commonwealth
Bank
of
Australia
(202)
(15,908)
102
0
.8
CSL
Ltd.
(206)
(41,126)
(310)
(2
.5)
Domino's
Pizza
Enterprises
Ltd.
(702)
(45,696)
(1,470)
(12
.1)
Evolution
Mining
Ltd.
(5,366)
(17,711)
520
4
.3
IDP
Education
Ltd.
(975)
(22,819)
(417)
(3
.4)
Insurance
Australia
Group
Ltd.
(6,443)
(21,087)
466
3
.8
Lendlease
Corp.
Ltd.
(2,499)
(20,831)
(544)
(4
.5)
Lynas
Rare
Earths
Ltd.
(2,749)
(21,916)
(649)
(5
.3)
Macquarie
Group
Ltd.
(225)
(34,028)
(718)
(5
.9)
NEXTDC
Ltd.
(944)
(8,133)
(322)
(2
.6)
Northern
Star
Resources
Ltd.
(2,603)
(21,000)
(3)
(0
.0)
OZ
Minerals
Ltd.
(570)
(11,367)
102
0
.8
Pilbara
Minerals
Ltd.
(7,270)
(17,176)
287
2
.4
Pro
Medicus
Ltd.
(955)
(34,597)
(1,645)
(13
.5)
Qantas
Airways
Ltd.
(10,276)
(39,733)
(443)
(3
.6)
REA
Group
Ltd.
(307)
(30,777)
493
4
.0
Reece
Ltd.
(1,490)
(20,979)
525
4
.3
SEEK
Ltd.
(914)
(20,129)
484
4
.0
Transurban
Group
(811)
(8,194)
(184)
(1
.5)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(389)
(8,297)
(266)
(2
.2)
WiseTech
Global
Ltd.
(234)
(8,807)
190
1
.6
Woolworths
Group
Ltd.
(381)
(10,578)
(241)
(2
.0)
238
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-2.24%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
01/25/2023
-
04/25/2023
$2,282,893
$(22,653)
$(19,089)
$(41,742)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
Canada
Atco
Ltd.
919
31,558
486
(1
.2)
Bank
of
Montreal
388
45,657
(634)
1
.5
Bank
of
Nova
Scotia
(The)
1,299
93,101
(2,556)
6
.1
Canadian
Imperial
Bank
of
Commerce
267
32,410
(1,309)
3
.1
Canadian
National
Railway
Co.
281
37,694
(456)
1
.1
Canadian
Tire
Corp.
Ltd.
284
42,881
610
(1
.5)
CGI,
Inc.
421
33,538
(229)
0
.5
Cogeco
Communications,
Inc.
243
20,114
172
(0
.4)
Descartes
Systems
Group,
Inc.
(The)
264
19,329
(70)
0
.2
Enbridge,
Inc.
831
38,255
(159)
0
.4
Finning
International,
Inc.
1,865
56,152
(671)
1
.6
George
Weston
Ltd.
493
60,711
504
(1
.2)
Gildan
Activewear,
Inc.
535
20,067
(438)
1
.0
Kinross
Gold
Corp.
11,527
67,678
1,759
(4
.2)
Loblaw
Cos.
Ltd.
475
42,623
851
(2
.0)
Magna
International,
Inc.
562
36,081
902
(2
.2)
National
Bank
of
Canada
625
47,909
(862)
2
.1
Nutrien
Ltd.
380
39,278
(1,793)
4
.3
Onex
Corp.
334
22,383
(24)
0
.1
Open
Text
Corp.
651
27,604
(178)
0
.4
Parkland
Corp.
1,786
52,816
2,331
(5
.6)
Pembina
Pipeline
Corp.
678
25,473
(143)
0
.3
SNC-Lavalin
Group,
Inc.
1,356
32,649
147
(0
.4)
Stantec,
Inc.
368
18,460
(85)
0
.2
Toromont
Industries
Ltd.
409
38,772
1,286
(3
.1)
Toronto-Dominion
Bank
(The)
613
48,637
(1,032)
2
.5
West
Fraser
Timber
Co.
Ltd.
449
36,943
(2,431)
5
.8
Chile
Lundin
Mining
Corp.
4,719
47,826
(1,132)
2
.7
239
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(583)
(27,724)
329
(0
.8)
Canada
Air
Canada
(2,460)
(47,718)
(884)
2
.1
Algonquin
Power
&
Utilities
Corp.
(2,888)
(44,793)
(346)
0
.8
Ballard
Power
Systems,
Inc.
(4,365)
(50,802)
421
(1
.0)
BCE,
Inc.
(1,668)
(92,463)
(1,841)
4
.4
Boralex,
Inc.
(1,057)
(34,260)
(2,579)
6
.2
Brookfield
Asset
Management,
Inc.
(574)
(32,452)
34
(0
.1)
CAE,
Inc.
(872)
(22,697)
(572)
1
.4
Canadian
Pacific
Railway
Ltd.
(614)
(50,676)
68
(0
.2)
CCL
Industries,
Inc.
(637)
(28,738)
(107)
0
.3
Constellation
Software,
Inc.
(29)
(49,572)
(1,084)
2
.6
Dollarama,
Inc.
(470)
(26,655)
(1,269)
3
.0
Element
Fleet
Management
Corp.
(2,257)
(21,845)
(18)
0
.0
Emera,
Inc.
(582)
(28,850)
(680)
1
.6
Franco-Nevada
Corp.
(272)
(43,284)
(430)
1
.0
GFL
Environmental,
Inc.
(1,238)
(40,265)
(2,351)
5
.6
Innergex
Renewable
Energy,
Inc.
(1,127)
(17,922)
(343)
0
.8
Pan
American
Silver
Corp.
(812)
(22,162)
719
(1
.7)
Restaurant
Brands
International,
Inc.
(778)
(45,455)
(1,046)
2
.5
United
States
Brookfield
Renewable
Corp.
(1,054)
(46,033)
(2,563)
6
.1
BRP,
Inc.
(393)
(32,178)
(1,736)
4
.2
Zambia
First
Quantum
Minerals
Ltd.
(615)
(21,291)
(385)
0
.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.65%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
03/25/2024
$1,441,774
$(12,371)
$17,985
$5,614
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
240
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
582
18,880
(1,134)
(20
.2)
Adecco
Group
AG
(Registered)
1,171
53,118
(1,783)
(31
.8)
Baloise
Holding
AG
(Registered)
95
16,967
299
5
.3
Barry
Callebaut
AG
(Registered)
15
35,167
873
15
.5
Belimo
Holding
AG
(Registered)
33
17,477
437
7
.8
BKW
AG
34
4,259
63
1
.1
Bucher
Industries
AG
(Registered)
58
23,444
(365)
(6
.5)
Clariant
AG
(Registered)
228
3,956
(82)
(1
.5)
Credit
Suisse
Group
AG
(Registered)
382
3,007
(117)
(2
.1)
DKSH
Holding
AG
288
24,256
(186)
(3
.3)
dormakaba
Holding
AG
36
18,465
167
3
.0
Galenica
AG
419
32,257
110
2
.0
Geberit
AG
(Registered)
60
36,987
559
10
.0
Georg
Fischer
AG
(Registered)
12
14,338
(236)
(4
.2)
Julius
Baer
Group
Ltd.
462
26,747
527
9
.4
Kuehne
+
Nagel
International
AG
(Registered)
183
51,959
(2,116)
(37
.7)
Lonza
Group
AG
(Registered)
74
53,621
1,186
21
.1
Novartis
AG
(Registered)
1,196
104,999
525
9
.3
OC
Oerlikon
Corp.
AG
(Registered)
2,728
21,739
(144)
(2
.6)
Roche
Holding
AG
9
3,561
(88)
(1
.6)
SGS
SA
(Registered)
3
8,340
(278)
(4
.9)
Straumann
Holding
AG
(Registered)
2
3,193
132
2
.4
Swiss
Life
Holding
AG
(Registered)
56
35,885
172
3
.1
Swisscom
AG
(Registered)
57
34,246
(461)
(8
.2)
Tecan
Group
AG
(Registered)
35
13,837
526
9
.4
Temenos
AG
(Registered)
547
52,616
(3,327)
(59
.3)
UBS
Group
AG
(Registered)
2,060
40,255
343
6
.1
United
States
Swiss
Re
AG
141
13,422
141
2
.5
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(1,793)
(27,445)
144
2
.6
Switzerland
Alcon,
Inc.
(113)
(8,953)
(313)
(5
.6)
Bachem
Holding
AG
(Registered)
(93)
(51,182)
(1,481)
(26
.4)
Chocoladefabriken
Lindt
&
Spruengli
AG
(4)
(47,608)
1,062
18
.9
Cie
Financiere
Richemont
SA
(61)
(7,732)
(162)
(2
.9)
Dufry
AG
(Registered)
(1,484)
(62,443)
(482)
(8
.6)
EMS-Chemie
Holding
AG
(Registered)
(57)
(55,393)
(322)
(5
.7)
Flughafen
Zurich
AG
(Registered)
(207)
(37,154)
707
12
.6
Givaudan
SA
(Registered)
(10)
(41,329)
(273)
(4
.9)
Helvetia
Holding
AG
(Registered)
(33)
(4,308)
17
0
.3
241
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Holcim
Ltd.
(671)
(32,635)
(236)
(4
.2)
Idorsia
Ltd.
(2,026)
(40,472)
(1,657)
(29
.5)
Logitech
International
SA
(Registered)
(37)
(2,750)
101
1
.8
Nestle
SA
(Registered)
(230)
(29,904)
(230)
(4
.1)
Partners
Group
Holding
AG
(8)
(9,906)
(160)
(2
.9)
Schindler
Holding
AG
(47)
(10,071)
230
4
.1
SIG
Combibloc
Group
AG
(2,350)
(59,243)
(1,132)
(20
.2)
Sika
AG
(Registered)
(214)
(70,803)
(1,098)
(19
.6)
Sonova
Holding
AG
(Registered)
(17)
(7,102)
(542)
(9
.7)
Sulzer
AG
(Registered)
(26)
(2,160)
10
0
.2
Swatch
Group
AG
(The)
(173)
(49,050)
(1,798)
(32
.0)
VAT
Group
AG
(45)
(17,133)
(499)
(8
.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
03/25/2024
$587,161
$2,823
$(9,522)
$(6,699)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
29
87,144
(1,004)
15
.0
Carlsberg
A/S
411
50,455
2,589
(38
.6)
Demant
A/S
99
4,480
313
(4
.7)
Genmab
A/S
171
61,757
1,386
(20
.7)
GN
Store
Nord
A/S
185
9,068
587
(8
.8)
H
Lundbeck
A/S
878
20,230
361
(5
.4)
ISS
A/S
1,766
31,385
1,218
(18
.2)
Novo
Nordisk
A/S
447
49,580
1,878
(28
.0)
Pandora
A/S
393
37,439
634
(9
.5)
Royal
Unibrew
A/S
55
5,138
(11)
0
.2
242
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Chr
Hansen
Holding
A/S
(26)
(1,909)
(62)
0
.9
Coloplast
A/S
(117)
(17,718)
(932)
13
.9
DSV
A/S
(125)
(23,957)
225
(3
.4)
Novozymes
A/S
(455)
(31,197)
(1,652)
24
.7
Orsted
A/S
(156)
(19,527)
(1,293)
19
.3
ROCKWOOL
International
A/S
(92)
(30,370)
1,281
(19
.1)
SimCorp
A/S
(120)
(8,800)
43
(0
.6)
Tryg
A/S
(1,222)
(29,713)
(403)
6
.0
Vestas
Wind
Systems
A/S
(2,294)
(67,294)
(2,335)
34
.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.00%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
03/25/2024
$6,577,164
$(38,508)
$15,196
$(23,312)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
Finland
Nokian
Renkaat
OYJ
2,754
44,697
(1,573)
6
.7
France
Atos
SE
2,507
68,457
(4,092)
17
.6
Bouygues
SA
1,623
56,649
(1,876)
8
.0
Cie
de
Saint-Gobain
1,001
59,560
(1,216)
5
.2
Eiffage
SA
569
58,398
319
(1
.4)
Orange
SA
8,631
102,202
(922)
4
.0
Publicis
Groupe
SA
875
53,107
(1,608)
6
.9
Vivendi
SE
3,865
50,494
(410)
1
.8
Germany
Deutsche
Bank
AG
(Registered)
5,682
71,560
(1,737)
7
.4
Deutsche
Post
AG
(Registered)
1,409
67,282
(1,716)
7
.4
Merck
KGaA
312
65,156
3,004
(12
.9)
ProSiebenSat.1
Media
SE
4,115
52,416
(1,509)
6
.5
SAP
SE
528
58,517
(404)
1
.7
243
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
Pirelli
&
C
SpA
8,846
47,998
1,029
(4
.4)
Poste
Italiane
SpA
3,847
43,627
(681)
2
.9
UniCredit
SpA
5,538
59,743
1,508
(6
.5)
Unipol
Gruppo
SpA
7,989
43,819
433
(1
.9)
Netherlands
ASML
Holding
NV
101
67,490
(1,833)
7
.9
ASR
Nederland
NV
1,254
58,544
727
(3
.1)
Koninklijke
Ahold
Delhaize
NV
2,744
88,262
1,524
(6
.5)
Koninklijke
KPN
NV
13,630
47,296
14
(0
.1)
NN
Group
NV
1,352
68,518
2,065
(8
.9)
Singapore
STMicroelectronics
NV
1,491
64,805
(1,494)
6
.4
Spain
Banco
de
Sabadell
SA
63,546
51,927
386
(1
.7)
Banco
Santander
SA
17,416
59,213
296
(1
.3)
Endesa
SA
2,366
51,587
3,369
(14
.5)
Iberdrola
SA
4,326
47,283
1,637
(7
.0)
Red
Electrica
Corp.
SA
2,973
61,039
3,059
(13
.1)
Telefonica
SA
16,235
78,679
2,537
(10
.9)
Short
Positions
Common
Stocks
Finland
Fortum
OYJ
(2,525)
(46,150)
214
(0
.9)
France
Aeroports
de
Paris
(367)
(54,881)
1,088
(4
.7)
Air
Liquide
SA
(372)
(65,079)
(137)
0
.6
L'Oreal
SA
(113)
(45,137)
(1,462)
6
.3
Safran
SA
(537)
(63,224)
(1,166)
5
.0
SOITEC
(373)
(69,969)
772
(3
.3)
Germany
Deutsche
Telekom
AG
(Registered)
(3,950)
(73,565)
407
(1
.7)
Fresenius
Medical
Care
AG
&
Co.
KGaA
(1,110)
(74,382)
(548)
2
.3
Hannover
Rueck
SE
(328)
(55,720)
(1,035)
4
.4
RWE
AG
(1,600)
(69,668)
(3,378)
14
.5
Siemens
Healthineers
AG
(1,098)
(68,044)
(2,632)
11
.3
Italy
Banca
Generali
SpA
(1,423)
(52,651)
(554)
2
.4
Ferrari
NV
(320)
(69,715)
(1,704)
7
.3
FinecoBank
Banca
Fineco
SpA
(4,631)
(70,253)
659
(2
.8)
Intesa
Sanpaolo
SpA
(22,089)
(50,557)
(874)
3
.8
Netherlands
IMCD
NV
(320)
(54,590)
(458)
2
.0
Saudi
Arabia
Delivery
Hero
SE
(1,280)
(55,787)
(3,036)
13
.0
244
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Spain
Aena
SME
SA
(268)
(44,676)
(1,111)
4
.8
Amadeus
IT
Group
SA
(899)
(58,451)
(2,152)
9
.2
Cellnex
Telecom
SA
(1,559)
(75,026)
(104)
0
.4
Ferrovial
SA
(2,318)
(61,647)
1,466
(6
.3)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-3.25%
to
0.23%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
03/25/2024
$2,495,944
$(25,356)
$(16,312)
$(41,668)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
1,431
114,404
3,022
(7
.3)
Italy
Coca-Cola
HBC
AG
988
20,606
(164)
0
.4
United
Kingdom
abrdn
plc
9,137
25,584
1,154
(2
.8)
Associated
British
Foods
plc
895
19,442
(600)
1
.4
Aviva
plc
3,292
19,478
543
(1
.3)
BAE
Systems
plc
5,209
48,920
(2,735)
6
.6
Barclays
plc
21,376
41,437
(5,532)
13
.3
Barratt
Developments
plc
3,901
26,557
439
(1
.1)
Bellway
plc
720
22,888
(1,607)
3
.9
Berkeley
Group
Holdings
plc
641
31,266
(1,062)
2
.5
DCC
plc
743
57,534
763
(1
.8)
Diageo
plc
1,594
80,855
924
(2
.2)
Direct
Line
Insurance
Group
plc
6,348
22,874
57
(0
.1)
Entain
plc
1,068
22,878
(496)
1
.2
Howden
Joinery
Group
plc
5,475
54,887
(958)
2
.3
Inchcape
plc
2,836
24,816
(949)
2
.3
InterContinental
Hotels
Group
plc
452
30,571
(273)
0
.7
Intertek
Group
plc
574
39,157
756
(1
.8)
J
Sainsbury
plc
9,127
30,208
(941)
2
.3
Kingfisher
plc
15,284
51,013
(2,059)
4
.9
Lloyds
Banking
Group
plc
88,624
53,969
(2,790)
6
.7
Man
Group
plc
6,567
20,040
730
(1
.8)
245
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Marks
&
Spencer
Group
plc
21,374
43,140
(459)
1
.1
Persimmon
plc
961
26,948
485
(1
.2)
Royal
Mail
plc
14,805
63,612
(6,419)
15
.4
Sage
Group
plc
(The)
4,995
45,768
489
(1
.2)
Spectris
plc
838
28,420
(106)
0
.3
Unilever
plc
1,511
68,604
1,375
(3
.3)
Vodafone
Group
plc
12,933
21,207
(85)
0
.2
WPP
plc
1,567
20,509
(891)
2
.1
United
States
GlaxoSmithKline
plc
4,317
93,407
1,329
(3
.2)
Short
Positions
Common
Stocks
United
Kingdom
Abcam
plc
(1,345)
(24,311)
(313)
0
.8
Admiral
Group
plc
(1,020)
(34,206)
(235)
0
.6
AstraZeneca
plc
(774)
(102,642)
(2,556)
6
.1
AVEVA
Group
plc
(1,586)
(50,658)
(543)
1
.3
B&M
European
Value
Retail
SA
(6,901)
(48,281)
2,446
(5
.9)
BT
Group
plc
(12,955)
(30,889)
733
(1
.8)
Compass
Group
plc
(2,230)
(47,990)
467
(1
.1)
easyJet
plc
(2,677)
(19,421)
(1,255)
3
.0
Experian
plc
(802)
(30,898)
344
(0
.8)
Halma
plc
(2,473)
(80,909)
(726)
1
.7
Hargreaves
Lansdown
plc
(3,872)
(51,036)
1,638
(3
.9)
HSBC
Holdings
plc
(3,341)
(22,821)
(138)
0
.3
Informa
plc
(3,218)
(25,213)
(100)
0
.2
JD
Sports
Fashion
plc
(10,671)
(20,562)
497
(1
.2)
Ocado
Group
plc
(2,991)
(45,671)
(3,344)
8
.0
Prudential
plc
(2,601)
(38,399)
(1,985)
4
.8
Reckitt
Benckiser
Group
plc
(335)
(25,556)
(1,568)
3
.8
Rolls-Royce
Holdings
plc
(19,909)
(26,180)
2,619
(6
.3)
Severn
Trent
plc
(1,517)
(61,142)
(2,650)
6
.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.40%
to
0.23%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
03/25/2024
$605,666
$873
$(685)
$188
246
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
12,000
45,153
1,265
673
.1
Hong
Kong
AIA
Group
Ltd.
2,000
20,884
408
216
.8
ASM
Pacific
Technology
Ltd.
2,500
25,169
(698)
(371
.5)
Bank
of
East
Asia
Ltd.
(The)
1,800
2,813
92
48
.9
CK
Asset
Holdings
Ltd.
2,000
13,671
37
19
.7
Hang
Seng
Bank
Ltd.
2,100
40,389
(92)
(48
.9)
Hong
Kong
Exchanges
&
Clearing
Ltd.
100
4,687
(82)
(43
.6)
Kerry
Properties
Ltd.
2,000
5,634
196
104
.3
Man
Wah
Holdings
Ltd.
13,600
14,712
(11)
(5
.7)
MTR
Corp.
Ltd.
500
2,693
9
4
.6
New
World
Development
Co.
Ltd.
2,000
8,114
(171)
(90
.8)
Sino
Land
Co.
Ltd.
6,000
7,736
(368)
(195
.5)
Sun
Hung
Kai
Properties
Ltd.
5,000
59,487
(1,630)
(867
.0)
Swire
Properties
Ltd.
1,400
3,460
(177)
(94
.4)
WH
Group
Ltd.
57,000
35,793
1,668
887
.0
Macau
Sands
China
Ltd.
8,400
19,983
832
442
.8
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(13,500)
(35,649)
(665)
(353
.5)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(8,600)
(15,533)
(383)
(203
.5)
ESR
Cayman
Ltd.
(7,600)
(23,552)
267
142
.1
SITC
International
Holdings
Co.
Ltd.
(2,000)
(6,993)
66
35
.1
Hong
Kong
Hang
Lung
Properties
Ltd.
(3,000)
(6,047)
(3)
(1
.8)
Henderson
Land
Development
Co.
Ltd.
(5,000)
(20,755)
692
368
.0
Power
Assets
Holdings
Ltd.
(1,000)
(6,517)
26
13
.6
Techtronic
Industries
Co.
Ltd.
(4,500)
(72,097)
(118)
(62
.6)
Wharf
Real
Estate
Investment
Co.
Ltd.
(10,000)
(49,423)
44
23
.5
Xinyi
Glass
Holdings
Ltd.
(1,000)
(2,398)
53
28
.4
Macau
Galaxy
Entertainment
Group
Ltd.
(7,000)
(41,422)
(227)
(120
.6)
SJM
Holdings
Ltd.
(15,000)
(7,365)
65
34
.3
Wynn
Macau
Ltd.
(10,400)
(7,537)
(222)
(117
.9)
247
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
03/25/2024
$372,666
$(3,726)
$(28)
$(3,754)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
776
38,807
(553)
14
.7
Norway
Leroy
Seafood
Group
ASA
1,870
17,153
70
(1
.9)
Mowi
ASA
711
19,151
(610)
16
.3
Norsk
Hydro
ASA
6,253
60,753
(3,269)
87
.1
Orkla
ASA
5,617
49,904
(405)
10
.8
Telenor
ASA
3,639
52,218
(687)
18
.3
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(184)
(12,342)
(52)
1
.4
France
Adevinta
ASA
(3,464)
(31,624)
1,906
(50
.8)
Norway
Gjensidige
Forsikring
ASA
(348)
(8,629)
41
(1
.1)
Salmar
ASA
(800)
(63,239)
(365)
9
.7
Schibsted
ASA
(284)
(7,000)
222
(5
.9)
TOMRA
Systems
ASA
(110)
(5,612)
(270)
7
.2
United
Kingdom
Subsea
7
SA
(671)
(6,234)
246
(6
.5)
248
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.23%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
03/25/2024
$1,164,835
$(21,556)
$7,543
$(14,013)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
Sweden
Assa
Abloy
AB
95
2,554
18
(0
.1)
Axfood
AB
291
9,477
208
(1
.5)
BillerudKorsnas
AB
1,673
24,792
(343)
2
.4
Boliden
AB
786
39,650
(1,358)
9
.7
Electrolux
AB
1,440
21,791
(448)
3
.2
Elekta
AB
663
5,222
(73)
0
.5
Getinge
AB
620
24,700
1,112
(7
.9)
H
&
M
Hennes
&
Mauritz
AB
3,500
46,997
(5,446)
38
.9
Husqvarna
AB
1,561
16,284
233
(1
.7)
Indutrade
AB
87
2,188
136
(1
.0)
Nibe
Industrier
AB
56
621
52
(0
.4)
Saab
AB
1,165
42,079
(3,196)
22
.8
Securitas
AB
2,567
28,959
(584)
4
.2
Skanska
AB
1,751
39,174
(1,644)
11
.7
SKF
AB
1,845
30,084
851
(6
.1)
SSAB
AB
6,515
43,381
(3,154)
22
.5
SSAB
AB
1,174
8,157
(1,153)
8
.2
Svenska
Handelsbanken
AB
5,134
47,209
(1,155)
8
.2
Swedbank
AB
964
14,398
(1,475)
10
.5
Telefonaktiebolaget
LM
Ericsson
8,912
81,238
(759)
5
.4
Telia
Co.
AB
26,497
106,245
1,768
(12
.6)
Volvo
AB
1,610
30,035
(329)
2
.3
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(809)
(20,538)
(802)
5
.7
Finland
Nordea
Bank
Abp
(379)
(3,901)
32
(0
.2)
249
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
AAK
AB
(852)
(15,790)
(759)
5
.4
Alfa
Laval
AB
(78)
(2,683)
(170)
1
.2
Atlas
Copco
AB
(48)
(2,491)
(11)
0
.1
Beijer
Ref
AB
(1,662)
(30,101)
(1,435)
10
.2
Embracer
Group
AB
(8,317)
(69,423)
780
(5
.6)
Epiroc
AB
(1,317)
(28,169)
(1,099)
7
.8
EQT
AB
(1,042)
(40,636)
(3,233)
23
.1
Essity
AB
(588)
(13,876)
(547)
3
.9
Evolution
AB
(62)
(6,308)
575
(4
.1)
Hexagon
AB
(6,890)
(96,534)
121
(0
.9)
Hexpol
AB
(1,689)
(16,486)
(135)
1
.0
Holmen
AB
(439)
(24,504)
439
(3
.1)
Lifco
AB
(1,512)
(38,383)
(2,162)
15
.4
Sandvik
AB
(149)
(3,165)
49
(0
.3)
Sinch
AB
(3,126)
(21,202)
4,633
(33
.1)
Skandinaviska
Enskilda
Banken
AB
(768)
(8,303)
117
(0
.8)
Svenska
Cellulosa
AB
SCA
(447)
(8,680)
(55)
0
.4
Sweco
AB
(1,259)
(18,304)
(839)
6
.0
Swedish
Match
AB
(1,561)
(11,739)
286
(2
.0)
Tele2
AB
(602)
(9,100)
(498)
3
.6
Trelleborg
AB
(401)
(9,284)
(104)
0
.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.30%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
03/25/2024
$299,593
$1,564
$10,929
$12,493
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
Long
Positions
Common
Stocks
China
Yangzijiang
Shipbuilding
Holdings
Ltd.
63,200
70,975
2,888
23
.1
Singapore
Genting
Singapore
Ltd.
25,500
15,241
(188)
(1
.5)
Oversea-Chinese
Banking
Corp.
Ltd.
6,600
59,874
(268)
(2
.1)
Singapore
Technologies
Engineering
Ltd.
13,400
40,589
(442)
(3
.5)
Singapore
Telecommunications
Ltd.
8,400
16,311
(113)
(0
.9)
250
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Singapore
(continued)
United
Overseas
Bank
Ltd.
2,100
49,136
(682)
(5
.5)
Venture
Corp.
Ltd.
200
2,577
(26)
(0
.2)
Short
Positions
Common
Stocks
China
Wilmar
International
Ltd.
(3,200)
(11,082)
298
2
.4
Singapore
City
Developments
Ltd.
(800)
(4,625)
(44)
(0
.4)
DBS
Group
Holdings
Ltd.
(600)
(15,721)
40
0
.3
UOL
Group
Ltd.
(2,600)
(13,462)
101
0
.8
251
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
March
31,
2022
(Unaudited)
Abbreviations
ADR
-
American
Depositary
Receipt
CVR
-
Contingent
Value
Rights
OJSC
-
Open
Joint
Stock
Company
OYJ
-
Public
Traded
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference.  Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
SDR
-
Swedish
Depositary
Receipt
Currencies
AUD
-
Australian
Dollar
BRL
-
Brazilian
Real
CAD
-
Canadian
Dollar
CHF
-
Swiss
Franc
CLP
-
Chilean
Peso
CNY
-
Chinese
Renminbi
COP
-
Colombian
Peso
CZK
-
Czech
Republic
Koruna
DKK
-
Danish
Krone
EUR
-
Euro
GBP
-
British
Pound
HKD
-
Hong
Kong
Dollar
HUF
-
Hungarian
Forint
IDR
-
Indonesian
Rupiah
ILS
-
Israeli
Shekel
INR
-
Indian
Rupee
JPY
-
Japanese
Yen
KRW
-
Korean
Won
MXN
-
Mexican
Peso
MYR
-
Malaysian
Ringgit
NOK
-
Norwegian
Krone
NZD
-
New
Zealand
Dollar
PHP
-
Philippine
Peso
PLN
-
Poland
Zloty
RUB
-
Russian
Ruble
SEK
-
Swedish
Krona
SGD
-
Singapore
Dollar
THB
-
Thai
Baht
TWD
-
New
Taiwan
Dollar
USD
-
United
States
Dollar
ZAR
-
South
African
Rand
The
following
abbreviations
are
used
for
counterparty
descriptions:
BANA
-
Bank
of
America,
NA
BNPP
-
BNP
Paribas
SA
CITI
-
Citibank
NA
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
MACQ
-
Macquarie
Bank
Ltd.
MLIN
-
Merrill
Lynch
International
MPFS
-
Merrill
Lynch,
Pierce,
Fenner
&
Smith,
Inc.
MSCS
-
Morgan
Stanley
Capital
Services
LLC
MSIP
-
Morgan
Stanley
&
Co.
International
plc
SOCG
-
Societe
Generale
252
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
See
notes
to
Schedule
of
Investments.
March
31,
2022
(Unaudited)
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
-0.08%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
0.01%
Australian
Overnight
Indexed
Swap
Rate
(“AOISR”):
0.09%
Bank
of
Japan
Estimate
Unsecured
Overnight
Call
Rate
(“MUTSC”)
:
-0.02%
Brazilian
Interbank
Certificate
of
Deposit
(“CDI”):
11.65%
Canadian
Bankers’
Acceptance
Rate
("BA"):
0.96%
Canadian
Dollar
Offered
Rate
(“CDOR”):
0.96%
Canadian
Overnight
Repo
Rate
Average
("CORRA"):
0.42%
Copenhagen
Interbank
Offered
Rate(“CIBOR”):
-0.34%
Denmark
Tomorrow/Next
:
1.01%
Euro
Short-Term
Rate
("ESTR"):
-0.59%
Federal
Funds
Floating
Rate:
0.33%
Hong
Kong
Interbank
Offered
Rate
(“HIBOR”):
0.31%
Hong
Kong
Overnight
Index
Average
(“HONIX”):
0.04%
Johannesburg
Interbank
Agreed
Rate
(“JIBAR”):
4.26%
Mexico
Equilibrium
Interbank
Interest
Rate
("TIIE"):
6.72%
Norway
Interbank
Offered
Rate
("NIBOR"):
1.05%
Norwegian
Overnight
Weighted
Average
("NOWA"):
0.75%
Overnight
Bank
Funding
Rate
("OBFR"):
0.32%
Rand
Overnight
Deposit
Rate:
4.06%
Reserve
Bank
of
Australia
Cash
Rate  (“RBACR”):  0.09%
Singapore
Overnight
Rate
Average
(“SORA”):
0.61%
Sterling
Overnight
Index
Average
(“SONIA”):
0.69%
Swiss
Average
Rate
Overnight
(“SARON”):
-0.70%
Tokyo
Overnight
Average
Rate
(“TONAR”):  -0.02%
Warsaw
Interbank
Offered
Rate(“WIBOR”):
4.02%
253
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
March
31,
2022
(Unaudited)
The
Consolidated
Schedules
of
Investments
of AQR
Alternative
Risk
Premia
Fund,
AQR
Macro
Opportunities
Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund,
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund
and
AQR
Style
Premia
Alternative
Fund
(“Consolidated
Funds”)
include
the
accounts
of
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.,
AQR
Macro
Opportunities
Offshore
Fund
Ltd.,
AQR
Managed
Futures
Strategy
Offshore
Fund
Ltd.,
AQR
Managed
Futures
Strategy
HV
Offshore
Fund
Ltd.,
AQR
Multi-Asset
Offshore
Fund
Ltd.,
AQR
Risk-Balanced
Commodities
Strategy
Offshore
Fund
Ltd.
and
 AQR
Style
Premia
Alternative
Offshore
Fund
Ltd.
respectively,
which
are
wholly-owned
and
controlled
subsidiaries
(the
“Subsidiaries”).
Subsequent
references
to
the
Funds
collectively
refer
to
the
Consolidated
Funds
and
their
Subsidiaries.
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
into
three
broad
levels
as
follows:
Level
1
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities. Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
hierarchy.
Investments
classified
within
Level
3
have
significant
unobservable
inputs,
as
they
trade
infrequently
or
not
at
all.
Level
3
instruments
include
illiquid
securities.
When
observable
prices
are
not
available
for
these
securities,
the
Funds
may
use
one
or
more
valuation
approaches
(e.g.,
the
market
approach,
the
income
approach,
or
the
cost
approach),
including
proprietary
models
for
which
sufficient
and
reliable
data
is
available.
Within
Level
3,
the
market
approach
generally
is
based
on
the
technique
of
using
comparable
market
transactions,
while
the
use
of
the
income
approach
includes
the
estimation
of
future
cash
flows
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
durations
of
any
restrictions
on
the
disposition
of
the
investment
or
adjusted
as
appropriate
for
credit,
market
and/or
other
risk
factors.
Level
3
investments
may
also
be
adjusted
to
reflect
illiquidity
and/or
non-transferability,
with
the
amount
of
such
discount
estimated
by
the
Adviser
in
the
absence
of
market
information.
Assumptions
used
by
the
Funds
due
to
the
lack
of
observable
inputs
may
significantly
impact
the
fair
value
of
the
investment.
254
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
March
31,
2022
(Unaudited)
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments.
AQR
ALTERNATIVE
RISK
PREMIA
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
71,130,158
$
52,934,137
$
$
124,064,295
Preferred
Stocks
................................
148,625
148,625
Short-Term
Investments
...........................
76,742,136
21,867,162
98,609,298
Futures
Contracts*
...............................
5,430,330
5,430,330
Forward
Foreign
Currency
Exchange
Contracts*
........
5,138,101
5,138,101
Interest
Rate
Swap
Contracts*
......................
3,340,953
3,340,953
Total
Return
Swaps
Contracts*
......................
1,066,340
1,066,340
Total
Assets
$
153,451,249
$
84,346,693
$
$
237,797,942
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(66,692,835)
$
(49,244,588)
$
$
(115,937,423)
Warrants
(Sold
Short)
............................
(7,817)
(7,817)
Futures
Contracts*
...............................
(5,015,020)
(5,015,020)
Forward
Foreign
Currency
Exchange
Contracts*
........
(4,561,239)
(4,561,239)
Interest
Rate
Swap
Contracts*
......................
(3,478,541)
(3,478,541)
Total
Return
Swaps
Contracts*
......................
(62,518)
(62,518)
Total
Liabilities
$
(71,715,672)
$
(57,346,886)
$
$
(129,062,558)
AQR
DIVERSIFIED
ARBITRAGE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
222,538,456
$
53,317,945
$
1,257,402
$
277,113,803
Corporate
Bonds
................................
219,779
219,779
Convertible
Bonds
...............................
220,036,313
220,036,313
Closed
End
Funds
...............................
9,756,115
9,756,115
Rights
........................................
194,360
80,676
274,639
549,675
Securities
in
Litigation
............................
514
514
Warrants
......................................
10,956,504
883,055
489,577
12,329,136
Units
.........................................
69,975,682
13,822,599
83,798,281
Short-Term
Investments
...........................
468,157,638
335,455,062
803,612,700
Futures
Contracts*
...............................
3,044,270
3,044,270
Forward
Foreign
Currency
Exchange
Contracts*
........
130,564
130,564
Total
Return
Basket
Swaps
Contracts*
................
7,001,905
7,001,905
Total
Assets
$
784,623,025
$
630,728,119
$
2,241,911
$
1,417,593,055
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(80,852,146)
$
$
(a)
$
(80,852,146)
Convertible
Bonds
(Sold
Short)
.....................
(11,515,150)
(11,515,150)
Futures
Contracts*
...............................
(725,314)
(725,314)
Forward
Foreign
Currency
Exchange
Contracts*
........
(591,312)
(591,312)
Credit
Default
Swap
Contracts*
.....................
(3,306,203)
(3,306,203)
Total
Return
Basket
Swaps
Contracts*
................
(17,497,383)
(17,497,383)
Total
Liabilities
$
(81,577,460)
$
(32,910,048)
$
(a)
$
(114,487,508)
AQR
DIVERSIFYING
STRATEGIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Investment
Companies
...........................
$
62,808,399
$
$
$
62,808,399
Short-Term
Investments
...........................
1,269,333
1,269,333
Total
Assets
$
64,077,732
$
$
$
64,077,732
255
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
March
31,
2022
(Unaudited)
AQR
EQUITY
MARKET
NEUTRAL
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
$
5,743,202
$
$
5,743,202
Short-Term
Investments
...........................
56,401,893
51,239,791
107,641,684
Futures
Contracts*
...............................
240,917
240,917
Forward
Foreign
Currency
Exchange
Contracts*
........
18,974
18,974
Total
Return
Basket
Swaps
Contracts*
................
344,529
344,529
Total
Assets
$
56,642,810
$
57,346,496
$
$
113,989,306
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
$
(5,690,297)
$
$
(5,690,297)
Forward
Foreign
Currency
Exchange
Contracts*
........
(6,096)
(6,096)
Total
Return
Basket
Swaps
Contracts*
................
(4,309,731)
(4,309,731)
Total
Liabilities
$
$
(10,006,124)
$
$
(10,006,124)
AQR
LONG-SHORT
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
127,500,819
$
234,160,698
$
$
361,661,517
Futures
Contracts*
...............................
7,418,837
7,418,837
Forward
Foreign
Currency
Exchange
Contracts*
........
302,825
302,825
Total
Return
Basket
Swaps
Contracts*
................
2,802,234
2,802,234
Total
Return
Swaps
Contracts*
......................
1,786,246
1,786,246
Total
Assets
$
134,919,656
$
239,052,003
$
$
373,971,659
LIABILITIES
Futures
Contracts*
...............................
$
(5,704)
$
$
$
(5,704)
Forward
Foreign
Currency
Exchange
Contracts*
........
(1,277,448)
(1,277,448)
Total
Return
Basket
Swaps
Contracts*
................
(15,756,869)
(15,756,869)
Total
Liabilities
$
(5,704)
$
(17,034,317)
$
$
(17,040,021)
AQR
MACRO
OPPORTUNITIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
1,582,671
$
4,174,345
$
$
5,757,016
Short-Term
Investments
...........................
16,117,004
23,834,426
39,951,430
Futures
Contracts*
...............................
5,110,802
5,110,802
Forward
Foreign
Currency
Exchange
Contracts*
........
2,027,035
2,027,035
Interest
Rate
Swap
Contracts*
......................
6,818,805
6,818,805
Total
Return
Swaps
Contracts*
......................
75,565
75,565
Total
Assets
$
22,810,477
$
36,930,176
$
$
59,740,653
LIABILITIES
Reverse
Repurchase
Agreements
...................
$
$
(11,709,375)
$
$
(11,709,375)
Futures
Contracts*
...............................
(3,809,927)
(3,809,927)
Forward
Foreign
Currency
Exchange
Contracts*
........
(1,620,208)
(1,620,208)
Interest
Rate
Swap
Contracts*
......................
(4,460,863)
(4,460,863)
Credit
Default
Swap
Contracts*
.....................
(264,109)
(264,109)
Total
Return
Swaps
Contracts*
......................
(144,245)
(144,245)
Total
Liabilities
$
(3,809,927)
$
(18,198,800)
$
$
(22,008,727)
256
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
March
31,
2022
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
223,317,892
$
907,452,710
$
$
1,130,770,602
Futures
Contracts*
...............................
69,383,207
69,383,207
Forward
Foreign
Currency
Exchange
Contracts*
........
63,138,758
63,138,758
Total
Return
Basket
Swaps
Contracts*
................
1,052,972
1,052,972
Total
Return
Swaps
Contracts*
......................
285,628
285,628
Total
Assets
$
292,701,099
$
971,930,068
$
$
1,264,631,167
LIABILITIES
Futures
Contracts*
...............................
$
(28,984,207)
$
$
$
(28,984,207)
Forward
Foreign
Currency
Exchange
Contracts*
........
(51,161,907)
(51,161,907)
Total
Return
Basket
Swaps
Contracts*
................
(4,954,794)
(4,954,794)
Total
Return
Swaps
Contracts*
......................
(1,354,077)
(1,354,077)
Total
Liabilities
$
(28,984,207)
$
(57,470,778)
$
$
(86,454,985)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
21,683,230
$
58,905,648
$
$
80,588,878
Futures
Contracts*
...............................
6,676,155
6,676,155
Forward
Foreign
Currency
Exchange
Contracts*
........
6,346,755
6,346,755
Total
Return
Basket
Swaps
Contracts*
................
168,628
168,628
Total
Return
Swaps
Contracts*
......................
17,036
17,036
Total
Assets
$
28,359,385
$
65,438,067
$
$
93,797,452
LIABILITIES
Futures
Contracts*
...............................
$
(2,851,973)
$
$
$
(2,851,973)
Forward
Foreign
Currency
Exchange
Contracts*
........
(4,515,861)
(4,515,861)
Total
Return
Basket
Swaps
Contracts*
................
(611,205)
(611,205)
Total
Return
Swaps
Contracts*
......................
(140,163)
(140,163)
Total
Liabilities
$
(2,851,973)
$
(5,267,229)
$
$
(8,119,202)
AQR
MULTI-ASSET
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
57,058,922
$
22,249,425
$
9,600
$
79,317,947
Preferred
Stocks
................................
25,975
25,975
Foreign
Government
Securities
.....................
15,014,871
15,014,871
U.S.
Treasury
Obligations
.........................
15,637,485
15,637,485
Short-Term
Investments
...........................
29,538,613
45,279,564
74,818,177
Futures
Contracts*
...............................
3,234,546
3,234,546
Forward
Foreign
Currency
Exchange
Contracts*
........
2,606,391
2,606,391
Total
Return
Swaps
Contracts*
......................
359,923
359,923
Total
Assets
$
89,858,056
$
101,147,659
$
9,600
$
191,015,315
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(12,244,618)
$
(6,482,140)
$
$
(18,726,758)
Reverse
Repurchase
Agreements
...................
(27,828,617)
(27,828,617)
Futures
Contracts*
...............................
(6,200,916)
(6,200,916)
Forward
Foreign
Currency
Exchange
Contracts*
........
(1,930,189)
(1,930,189)
Total
Return
Swaps
Contracts*
......................
(123,469)
(123,469)
Total
Liabilities
$
(18,445,534)
$
(36,364,415)
$
$
(54,809,949)
257
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
March
31,
2022
(Unaudited)
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price.
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
255,551,898
$
220,206,036
$
$
475,757,934
Futures
Contracts*
...............................
78,814,118
78,814,118
Total
Return
Swaps
Contracts*
......................
334,570
334,570
Total
Assets
$
334,366,016
$
220,540,606
$
$
554,906,622
LIABILITIES
Futures
Contracts*
...............................
$
(51,517,279)
$
$
$
(51,517,279)
Total
Return
Swaps
Contracts*
......................
(73,746)
(73,746)
Total
Liabilities
$
(51,517,279)
$
(73,746)
$
$
(51,591,025)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
$
38,660,213
$
$
38,660,213
Short-Term
Investments
...........................
281,732,430
406,810,603
688,543,033
Futures
Contracts*
...............................
31,834,115
31,834,115
Forward
Foreign
Currency
Exchange
Contracts*
........
28,917,875
28,917,875
Interest
Rate
Swap
Contracts*
......................
36,160,818
36,160,818
Total
Return
Basket
Swaps
Contracts*
................
5,052,731
5,052,731
Total
Return
Swaps
Contracts*
......................
9,251,396
9,251,396
Total
Assets
$
313,566,545
$
524,853,636
$
$
838,420,181
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(1,848,954)
$
(38,720,401)
$
(2)
$
(40,569,357)
Futures
Contracts*
...............................
(37,336,054)
(37,336,054)
Forward
Foreign
Currency
Exchange
Contracts*
........
(26,937,198)
(26,937,198)
Interest
Rate
Swap
Contracts*
......................
(35,285,212)
(35,285,212)
Total
Return
Basket
Swaps
Contracts*
................
(49,386,792)
(49,386,792)
Total
Return
Swaps
Contracts*
......................
(379,627)
(379,627)
Total
Liabilities
$
(39,185,008)
$
(150,709,230)
$
(2)
$
(189,894,240)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
3,475,074
$
5,253,514
$
$
8,728,588
Futures
Contracts*
...............................
14,146
14,146
Forward
Foreign
Currency
Exchange
Contracts*
........
8,217
8,217
Total
Return
Basket
Swaps
Contracts*
................
91,033
91,033
Total
Assets
$
3,489,220
$
5,352,764
$
$
8,841,984
LIABILITIES
Forward
Foreign
Currency
Exchange
Contracts*
........
$
$
(35,938)
$
$
(35,938)
Total
Return
Basket
Swaps
Contracts*
................
(131,188)
(131,188)
Total
Liabilities
$
$
(167,126)
$
$
(167,126)
*
Derivative
instruments,
including
futures,
total
return
swap,
total
return
basket
swap
and
forward
foreign
currency
exchange
contracts
are
reported
at
the
cumulative
unrealized
appreciation/
(depreciation)
of
the
instrument
within
the
Funds’
Schedule
of
Investments.
Credit
default
swaps
and
interest
rate
swaps
are
reported
at
market
value.
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
258
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
March
2022
March
31,
2022
(Unaudited)
The
significant
unobservable
inputs
used
in
the
fair
value
measurement
of
a
Fund’s
investments
in
common
stocks,
corporate
bonds,
convertible
bonds,
convertible
preferred
stocks
and
warrants
potentially
include
credit
spread,
liquidity
discount,
earnings
multiples
and
volatility.
Significant
increases
in
the
credit
spread
or
liquidity
discount
inputs
in
isolation
would
potentially
result
in
a
significantly
lower
fair
value
measurement,
whereas
an
increase
in
volatility
generally
results
in
a
higher
fair
value
measurement.
Generally,
a
change
in
the
assumption
used
for
the
credit
spread
would
be
accompanied
by
a
directionally-similar
change
in
the
assumptions
used
for
the
volatility
and
liquidity
discount.
Investments
in
common
stocks
potentially
include
liquidity
discounts,
theoretical
values,
book
to
value
analysis
and/or
broker
quotes.
Significant
changes
in
any
of
these
inputs
would
significantly
change
the
fair
value
measurement
of
the
position.
There
were
no
other
Level
3
securities
held
at
period
end,
except
those
securities
classified
as
Level
3
in
the
Schedules
of
Investments of
AQR
Diversified
Arbitrage
Fund,
AQR
Multi-Asset
Fund and
AQR
Style
Premia
Alternative
Fund
which
are
considered
quantitatively
insignificant
for
additional
disclosure.
For
more
information
on
the
Funds’
policy
regarding
the
valuation
of
investments
and
other
significant
accounting
policies,
please
refer
to
the
notes
to
the
financial
statements
as
disclosed
in
the
most
recent
semi-annual
and
annual
report. 
Subsequent
Events
The
Funds
have
evaluated
subsequent
events
through
the
date
of
issuance
of
this
report
and
have
determined
that
there
are
no
material
events.