# EDGAR Filing Document

**Accession Number:** 0001394396
**File Stem:** 0001752724-25-150429
**Filing Date:** 2025-6
**Character Count:** 212236
**Document Hash:** 8c49d1d5dfb6db100759c8047025592b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-150429.hdr.sgml**: 20250623

**ACCESSION NUMBER**: 0001752724-25-150429

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250623

**DATE AS OF CHANGE**: 20250623

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** International Income Portfolio
- **CENTRAL INDEX KEY:** 0001394396

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22049
- **FILM NUMBER:** 251063202

**BUSINESS ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 617-482-8260

**MAIL ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

## Series and Classes Contracts Data

### International Income Portfolio (Series ID: S000017995)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000049878 | International Income Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** International Income Portfolio

- **b. Investment Company Act file number:** 811-22049

- **c. CIK number of Registrant:** 0001394396

- **d. LEI of Registrant:** 4DW003P2NT3VNILVWA58

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** One Post Office Square

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-482-8260

**Item A.2. Information about the Series.**

- **a. Name of Series:** International Income Portfolio

- **b. EDGAR series identifier (if any):** S000017995

- **c. LEI of Series:** 4DW003P2NT3VNILVWA58

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $39297117.77

**Total Liabilities:** $6410804.58

**Net Assets:** $32886313.19

**Delayed Delivery Securities:** $2669196.09

**Cash Not Reported:** $668786.24

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -2.43000000 | **1-Year:** -44.25000000 | **5-Year:** -192.29000000 | **10-Year:** -1247.73000000 | **30-Year:** -355.80000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -13.81000000 | **1-Year:** -109.05000000 | **5-Year:** -286.94000000 | **10-Year:** -333.28000000 | **30-Year:** -6.20000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000049878 | 1.43%                | 0.97%                | 4.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-35239.72               | $69358.98                                  |
| Month 2  | $-98592.83               | $300018.38                                 |
| Month 3  | $-387437.63              | $551347.13                                 |

**Designated Index Information**

- **Index Name:** FTSE World Govt Bond Index USD

- **Index Identifier:** CG_WGBI

### Schedule of Portfolio Investments

| Name                                       | Title                                                                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Goldman Sachs International                | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-8522.27     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |           1 | NC      | $16708.28     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe   | Bundesrepublik Deutschland Bundesanleihe                                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     1500000 | PA      | $1641683.06   | 4.99%             | 2032-08-15      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED EUR / SOLD ISK                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $284.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHFGP8 IRS CNY R F  1.49250 BMIEHFGQ6 CCPNDF / Short: SMIEHFGP8 IRS CNY P V 00MCNRR BMIEHFGR4 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4020000 | OU      | $1960.12      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEC9E20 IRS TWD R V 03MCPTW BMIEC9E46 CCPNDF / Short: BMIEC9E20 IRS TWD P F  1.91050 BMIEC9E38 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6900000 | OU      | $-3945.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHAM72 IRS CNY R F  1.52000 BMIEHAM80 CCPNDF / Short: SMIEHAM72 IRS CNY P V 00MCNRR BMIEHAM98 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2900000 | OU      | $1932.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |           1 | NC      | $28034.46     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQTQ44 IRS THB R F  1.41300 BMIEQTQ51 CCPNDFOIS / Short: SMIEQTQ44 IRS THB P V 12MTHOR BMIEQTQ69 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    24600000 | OU      | $281.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIESUPQ1 IRS SGD R F  1.95700 BMIESUPR9 CCPOIS / Short: SMIESUPQ1 IRS SGD P V 06MSORA BMIESUPS7 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      650000 | OU      | $1756.66      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                           | PURCHASED CZK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CZ        |           1 | NC      | $6594.08      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIC2UXS0 IRS AUD R F  4.48120 2 CCPVANILLA / Short: SMIC2UXS0 IRS AUD P V 06MBBSW 1 CCPVANILLA                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      500000 | OU      | $-33.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD EGP                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1835.32     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                         | Dominican Republic International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    20150000 | PA      | $320592.36    | 0.97%             | 2027-02-12      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $17672.41     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-1844.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |           1 | NC      | $-51.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-122.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-213.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |           1 | NC      | $14385.08     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | AU        |           1 | NC      | $9401.66      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $10.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-71.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Agricole CIB                        | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: 1VUV7VQFKUOQSJ21A208 | N/A              | DFE              |  | US        |           1 | NC      | $-9263.34     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $7018.81      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED SEK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |           1 | NC      | $11416.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds               | New Zealand Government Bonds                                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      270000 | PA      | $132535.01    | 0.40%             | 2037-04-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $2954.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMICB7SM0 IRS EUR R F  3.13530 BMICB7SN8 CCPVANILLA / Short: SMICB7SM0 IRS EUR P V 06MEURIB BMICB7SP3 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      308567 | OU      | $12820.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | KR        |           1 | NC      | $3231.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                     | U.S. Treasury Bills                                                                                                                | CUSIP: 912797ND5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3000000 | PA      | $3000000.00   | 9.12%             | 2025-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                           | BMIEEFP14 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -1000000 | OU      | $-2708.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD INR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-7529.50     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-968.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED GBP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |           1 | NC      | $72156.12     | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIED1R22 IRS KRW R V 03MKSDA BMIED1R48 CCPNDF / Short: BMIED1R22 IRS KRW P F  2.69000 BMIED1R30 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   353000000 | OU      | $-6936.70     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ZA        |           1 | NC      | $27890.32     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-13845.21    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |           1 | NC      | $4777.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                           | BMIEEFP22 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -1000000 | OU      | $-3913.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-189.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEBHSA0 IRS INR R F  6.18000 BMIEBHSB8 CCPNDFOIS / Short: SMIEBHSA0 IRS INR P V 06MMIBOR BMIEBHSC6 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11068000 | OU      | $3148.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                           | BMIEEFP06 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |     1000000 | OU      | $6078.00      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $3551.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-227.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2885.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $5433.50      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED EUR / SOLD CZK                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-6243.48     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-10.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $2145.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMICA0SP9 IRS EUR R F  3.19880 BMICA0SQ7 CCPVANILLA / Short: SMICA0SP9 IRS EUR P V 06MEURIB BMICA0SR5 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2065000 | OU      | $90640.39     | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |           1 | NC      | $5645.91      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHH9R8 IRS CNY R F  1.51470 BMIEHH9S6 CCPNDF / Short: SMIEHH9R8 IRS CNY P V 00MCNRR BMIEHH9T4 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4210000 | OU      | $2660.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIDYQ1C2 IRS TWD R V 03MCPTW BMIDYQ1E8 CCPNDF / Short: BMIDYQ1C2 IRS TWD P F  1.61600 BMIDYQ1D0 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8100000 | OU      | $-1008.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-18377.69    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD EGP                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-7392.77     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $-61.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIEUDAJ8 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |     -960000 | OU      | $-4034.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RIKISBREF                                  | Iceland Rikisbref                                                                                                                  | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |    87865651 | PA      | $682938.70    | 2.08%             | 2025-06-12      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $7458.03      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                | Long: SMIEU6526 IRS COP R F  8.24000 BMIEU6534 CCPNDFOIS / Short: SMIEU6526 IRS COP P V 03MCPIBR BMIEU6542 CCPNDFOIS               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  1658630000 | OU      | $-1211.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-6521.69     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | Long: BMIELFGM0 IRS MYR R F  3.48250 BMIELFGN8 NDF / Short: BMIELFGM0 IRS MYR P V 03MKLIBO BMIELFGP3 NDF                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     1537000 | OU      | $3257.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-18883.71    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | Long: BMIESGLL7 TRS COP R V 00MDTF DTF RATE 90D NON COMPOUNDING / Short: BMIESGLL7 TRS COP P F   .00000 ACI2Q1VT3 BOND TRS         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |   101210000 | OU      | $-323.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEK8RZ6 IRS JPY R F  1.24970 BMIEK8S02 CCPOIS / Short: SMIEK8RZ6 IRS JPY P V 12MTONAR BMIEK8S10 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   100000000 | OU      | $13339.97     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $174.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED EUR / SOLD ISK                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $80.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED NZD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NZ        |           1 | NC      | $14304.08     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-649.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $1230.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED SEK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |           1 | NC      | $7226.37      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                         | Peru Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2613000 | PA      | $742434.02    | 2.26%             | 2039-08-12      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIDYQ199 IRS TWD R V 03MCPTW BMIDYQ1B4 CCPNDF / Short: BMIDYQ199 IRS TWD P F  1.62500 BMIDYQ1A6 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11463000 | OU      | $-1579.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEB4DQ0 IRS INR R F  6.15000 BMIEB4DR8 CCPNDFOIS / Short: SMIEB4DQ0 IRS INR P V 06MMIBOR BMIEB4DS6 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    25300000 | OU      | $6812.61      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIES6CT2 IRS INR R F  5.70400 BMIES6CU9 CCPNDFOIS / Short: SMIES6CT2 IRS INR P V 06MMIBOR BMIES6CV7 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9100000 | OU      | $492.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-1150.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMICA4JC0 IRS USD R F  4.00900 BMICA4JD8 CCPOIS / Short: SMICA4JC0 IRS USD P V 12MSOFR BMICA4JE6 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1050000 | OU      | $23139.27     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |           1 | NC      | $21557.44     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQY9V2 IRS THB R F  1.36600 BMIEQY9W0 CCPNDFOIS / Short: SMIEQY9V2 IRS THB P V 12MTHOR BMIEQY9X8 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7500000 | OU      | $-424.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIEE3D48 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |    -1000000 | OU      | $-2689.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | AU        |           1 | NC      | $4723.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DOM REP CB NOTES                           | Dominican Republic Central Bank Notes                                                                                              | CUSIP: 000000000<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |      900000 | PA      | $14706.61     | 0.04%             | 2027-03-12      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD EGP                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-7654.73     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $800.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |           1 | NC      | $1962.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $2618.44      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMICA4J97 IRS USD R F  4.00800 BMICA4JA4 CCPOIS / Short: SMICA4J97 IRS USD P V 12MSOFR BMICA4JB2 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      850000 | OU      | $18705.61     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD COP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1120.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                | Long: SMIE2SK14 IRS COP R F  8.44500 BMIE2SK22 CCPNDFOIS / Short: SMIE2SK14 IRS COP P V 12MCPIBR BMIE2SK30 CCPNDFOIS               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   590000000 | OU      | $-901.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1269.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA TREASURY BONDS                      | Serbia Treasury Bonds                                                                                                              | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    41590000 | PA      | $393223.32    | 1.20%             | 2032-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $1616.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-66556.08    | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIE9ENZ0 IRS INR R F  5.93500 BMIE9EP05 CCPNDFOIS / Short: SMIE9ENZ0 IRS INR P V 06MMIBOR BMIE9EP13 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    49000000 | OU      | $7869.87      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $401.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1359.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |           1 | NC      | $1748.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $5739.66      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $626.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIE1LTM5 IRS GBP R F  3.78170 BMIE1LTN3 CCPOIS / Short: SMIE1LTM5 IRS GBP P V 12MSONIA BMIE1LTP8 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      425000 | OU      | $4360.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEF2704 IRS THB R F  1.95800 BMIEF2712 CCPNDFOIS / Short: SMIEF2704 IRS THB P V 12MTHOR BMIEF2720 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5600000 | OU      | $4430.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |           1 | NC      | $-466.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHB9R1 IRS CNY R F  1.51000 BMIEHB9S9 CCPNDF / Short: SMIEHB9R1 IRS CNY P V 00MCNRR BMIEHB9T7 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3950000 | OU      | $2375.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMID0VS88 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |      600000 | OU      | $6207.00      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $1302.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                       | Paraguay Government International Bond                                                                                             | CUSIP: 699149BX7<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |  4462000000 | PA      | $550750.23    | 1.67%             | 2035-03-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEPM378 IRS NZD R V 03MNZDBB BMIEPM394 CCPVANILLA / Short: BMIEPM378 IRS NZD P F  4.17900 BMIEPM386 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      600000 | OU      | $-7114.78     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PHP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2864.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-138075.21   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIBCSGK2 IRS USD R F  3.06000 2 CCPVANILLA / Short: SMIBCSGK2 IRS USD P V 12MSOFR 1 CCPVANILLA                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $-29375.20    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |           1 | NC      | $80937.79     | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIED9T15 IRS KRW R V 03MKSDA BMIED9T31 CCPNDF / Short: BMIED9T15 IRS KRW P F  2.79200 BMIED9T23 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   134000000 | OU      | $-3509.77     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-414.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEEULF4 IRS KRW R F  2.60000 BMIEEULG2 CCPNDF / Short: SMIEEULF4 IRS KRW P V 03MKSDA BMIEEULH0 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   327000000 | OU      | $3636.84      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEGHUB0 IRS KRW R F  2.56500 BMIEGHUC8 CCPNDF / Short: SMIEGHUB0 IRS KRW P V 03MKSDA BMIEGHUD6 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   151000000 | OU      | $1524.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-8230.19     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $2197.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1394.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $5207.26      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-20466.15    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $3540.68      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIED9UW5 IRS KRW R V 03MKSDA BMIED9UY1 CCPNDF / Short: BMIED9UW5 IRS KRW P F  2.80500 BMIED9UX3 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   357000000 | OU      | $-9648.29     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $2173.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds               | New Zealand Government Bonds                                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     1329000 | PA      | $783992.22    | 2.38%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $833.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-4697.38     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $849.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                         | Dominican Republic International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     3970000 | PA      | $63488.31     | 0.19%             | 2027-01-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIERHEA8 IRS ZAR R F  7.70890 BMIERHEB6 CCPVANILLA / Short: SMIERHEA8 IRS ZAR P V 03MJIBAR BMIERHEC4 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11260000 | OU      | $4636.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $30.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD PHP                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-4337.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $77.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED COP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CO        |           1 | NC      | $-1834.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | RU        |           1 | NC      | $340.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEDQCK3 IRS INR R F  6.25800 BMIEDQCL1 CCPNDFOIS / Short: SMIEDQCK3 IRS INR P V 06MMIBOR BMIEDQCM9 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17000000 | OU      | $5505.58      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | Long: BMIDJJRY9 CYS PLN R V 03MWIBOR WIBO3+63BPS / Short: BMIDJJRY9 CYS EUR P V 03MEURIB EUR003M+0BPS                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | PL        |     8421053 | NC      | $15402.72     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $2090.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $-15.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |           1 | NC      | $58576.31     | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $898.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED EUR / SOLD PLN                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |           1 | NC      | $-197.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIERGTA4 IRS ILS R F  3.87750 BMIERGTB2 CCPVANILLA / Short: SMIERGTA4 IRS ILS P V 03MTELBO BMIERGTC0 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2150000 | OU      | $789.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | AU        |           1 | NC      | $7037.70      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $3847.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |           1 | NC      | $7143.77      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEK8RA1 IRS JPY R F   .99230 BMIEK8RB9 CCPOIS / Short: SMIEK8RA1 IRS JPY P V 12MTONAR BMIEK8RC7 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    94000000 | OU      | $6731.01      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD CNH                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-4817.86     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMID18J62 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |      510000 | OU      | $5288.70      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEF2621 IRS THB R F  1.96500 BMIEF2639 CCPNDFOIS / Short: SMIEF2621 IRS THB P V 12MTHOR BMIEF2647 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7100000 | OU      | $5689.48      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED PLN / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |           1 | NC      | $-20478.60    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | ZA        |           1 | NC      | $10137.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DOM REP CB NOTES                           | Dominican Republic Central Bank Notes                                                                                              | CUSIP: 25714PEU8<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |     6240000 | PA      | $106739.38    | 0.32%             | 2026-01-30      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |           1 | NC      | $1417.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | Long: BMIDJYNA2 CYS PLN R V 03MWIBOR WIBO3+59BPS / Short: BMIDJYNA2 CYS EUR P V 03MEURIB EUR003+0BPS                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | PL        |     4411843 | NC      | $7059.17      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED CZK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CZ        |           1 | NC      | $375.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $-1824.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $466.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SG        |           1 | NC      | $15687.66     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-274.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEUGCQ3 IRS PLN R V 06MWIBOR BMIEUGCS9 CCPVANILLA / Short: BMIEUGCQ3 IRS PLN P F  4.26550 BMIEUGCR1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      560387 | OU      | $100.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQTGD5 IRS THB R F  1.41000 BMIEQTGE3 CCPNDFOIS / Short: SMIEQTGD5 IRS THB P V 12MTHOR BMIEQTGF0 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12000000 | OU      | $85.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-84.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $5954.38      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-4761.76     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $1326.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEDFPS6 IRS KRW R F  2.71750 BMIEDFPT4 CCPNDF / Short: SMIEDFPS6 IRS KRW P V 03MKSDA BMIEDFPU1 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   335000000 | OU      | $5104.04      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RIKISBREF                                  | Iceland Rikisbref                                                                                                                  | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |    15870840 | PA      | $125411.72    | 0.38%             | 2035-09-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $1070.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED CNH / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |           1 | NC      | $-860.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1347.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | RU        |           1 | NC      | $1151.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $692.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEPUHL4 IRS NZD R V 03MNZDBB BMIEPUHN0 CCPVANILLA / Short: BMIEPUHL4 IRS NZD P F  4.25000 BMIEPUHM2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      900000 | OU      | $-13841.06    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $214.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | Long: BMIELETZ0 IRS MYR R F  3.50500 BMIELEU05 NDF / Short: BMIELETZ0 IRS MYR P V 03MKLIBO BMIELEU13 NDF                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | FR        |     1300000 | OU      | $3163.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-8740.47     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED EGP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | EG        |           1 | NC      | $11268.39     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                         | Peru Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1870000 | PA      | $470475.10    | 1.43%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | RRP NEW ZEALAND CASH/RRP REPO                                                                                                      | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Short            | RA               | CORP              | NZ        |    -1304113 | PA      | $-774642.85   | -2.36%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQTG37 IRS KRW R F  2.50700 BMIEQTG45 CCPNDF / Short: SMIEQTG37 IRS KRW P V 03MKSDA BMIEQTG52 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   941000000 | OU      | $8409.75      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | KR        |           1 | NC      | $2879.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                     | US 10YR NOTE (CBT)JUN25                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -6 | NC      | $-10140.20    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $19215.23     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MY        |           1 | NC      | $3652.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | SG        |           1 | NC      | $15780.09     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-413.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $129.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIKISBREF                                  | Iceland Rikisbref                                                                                                                  | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |     3915800 | PA      | $28361.40     | 0.09%             | 2028-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | JP        |           1 | NC      | $8676.88      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED USD / SOLD ILS                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-32894.04    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIED9SS7 IRS KRW R F  2.71000 BMIED9ST5 CCPNDF / Short: SMIED9SS7 IRS KRW P V 03MKSDA BMIED9SU2 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   255000000 | OU      | $3820.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $81.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |           1 | NC      | $10072.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $64.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIETPME1 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |    -1000000 | OU      | $-4060.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |           1 | NC      | $4773.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |           1 | NC      | $5097.25      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $897.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |           1 | NC      | $5820.12      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIERBZS9 IRS THB R F  1.40500 BMIERBZT7 CCPNDFOIS / Short: SMIERBZS9 IRS THB P V 12MTHOR BMIERBZU4 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7650000 | OU      | $-1.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONO TESORO CAPITALIZAB                    | Bono Del Tesoro Nacional Capitalizable en Pesos                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |    13720000 | PA      | $11750.22     | 0.04%             | 2026-06-30      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $2054.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |           1 | NC      | $8000.11      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4713.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED PHP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PH        |           1 | NC      | $6370.52      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $4421.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $274.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |           1 | NC      | $35375.94     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $1535.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SG        |           1 | NC      | $13369.08     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DOM REP CB NOTES                           | Dominican Republic Central Bank Notes                                                                                              | CUSIP: 25714PER5<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |     5850000 | PA      | $99661.67     | 0.30%             | 2025-12-05      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| BONCER                                     | Argentina Treasury Bond BONCER                                                                                                     | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    13721000 | PA      | $14858.02     | 0.05%             | 2027-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIELEU21 IRS CNY R F  1.57850 BMIELEU39 CCPNDF / Short: SMIELEU21 IRS CNY P V 00MCNRR BMIELEU47 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6300000 | OU      | $6592.58      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | Long: BMIESQGT4 TRS COP R V 00MDTF DTF RATE 90D NON COMPOUNDING / Short: BMIESQGT4 TRS COP P F   .00000 ACI2Q1VT3 BOND TRS         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |   328929535 | OU      | $-1222.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIERFN61 IRS THB R F  1.36400 BMIERFN79 CCPNDFOIS / Short: SMIERFN61 IRS THB P V 12MTHOR BMIERFN87 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3250000 | OU      | $-193.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED ISK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IS        |           1 | NC      | $-1366.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1497.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED EGP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | EG        |           1 | NC      | $2667.98      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-23543.82    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ITAU BBA INTERNATIONAL                     | Itau BBA International PLC                                                                                                         | CUSIP: 000000000<br>LEI: 5493009ADHYKU8V9P697 | Long             | SN               | CORP              | GB        |  1906340000 | PA      | $259205.05    | 0.79%             | 2030-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIESFF93 IRS PLN R V 06MWIBOR BMIESFFB8 CCPVANILLA / Short: BMIESFF93 IRS PLN P F  4.33500 BMIESFFA0 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2899586 | OU      | $-3807.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-310.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIETPMF8 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |    -1000000 | OU      | $-4584.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | Long: BMIES9RD5 TRS COP R V 00MDTF DTF RATE 90D NON COMPOUNDING / Short: BMIES9RD5 TRS COP P F   .00000 ACI2Q1VT3 BOND TRS         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |   657860465 | OU      | $-2053.18     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD PHP                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-8725.63     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-5741.73     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |           1 | NC      | $10252.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-31699.95    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-209.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KR        |           1 | NC      | $6173.16      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHB9U4 IRS CNY R F  1.51500 BMIEHB9V2 CCPNDF / Short: SMIEHB9U4 IRS CNY P V 00MCNRR BMIEHB9W0 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2980000 | OU      | $1888.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2102.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-72736.68    | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-3321.24     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIE1PPQ1 IRS JPY R F  1.64556 BMIE1PPR9 CCPOIS / Short: SMIE1PPQ1 IRS JPY P V 12MTONAR BMIE1PPS7 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   100000000 | OU      | $-44688.63    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $-2712.85     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED HKD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HK        |           1 | NC      | $195.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $1448.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                     | U.S. Treasury Bills                                                                                                                | CUSIP: 912797NN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3500000 | PA      | $3488526.37   | 10.61%            | 2025-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $1736.79      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $116.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA TREASURY BONDS                      | Serbia Treasury Bonds                                                                                                              | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |   133340000 | PA      | $1450188.52   | 4.41%             | 2031-10-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-228.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-258.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd. | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | US        |           1 | NC      | $-203.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-298.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                        | New Zealand Government Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      936832 | PA      | $524795.11    | 1.60%             | 2040-09-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | US        |           1 | NC      | $-798.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |           1 | NC      | $9210.80      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $2984.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-81.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEEULM9 IRS KRW R V 03MKSDA BMIEEULP2 CCPNDF / Short: BMIEEULM9 IRS KRW P F  2.68500 BMIEEULN7 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   172000000 | OU      | $-3278.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $211.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $13.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEBHRV5 IRS INR R F  6.17350 BMIEBHRW3 CCPNDFOIS / Short: SMIEBHRV5 IRS INR P V 06MMIBOR BMIEBHRX1 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14821000 | OU      | $4166.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEQCAY2 IRS TWD R V 03MCPTW BMIEQCB05 CCPNDF / Short: BMIEQCAY2 IRS TWD P F  1.78900 BMIEQCAZ9 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3100000 | OU      | $-1163.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $2.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-457.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $2364.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMID0PTL1 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |     1100000 | OU      | $11379.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD COP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1316.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-236.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |           1 | NC      | $934.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $75069.04     | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIE56VJ8 IRS USD R V 12MUSCPI BMIE56VL3 CCPINFLATIONZERO / Short: BMIE56VJ8 IRS USD P F  2.61750 BMIE56VK5 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      600000 | OU      | $-772.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                | Long: SMIEJXL22 IRS MXN R F  8.41950 BMIEJXL30 CCPOIS / Short: SMIEJXL22 IRS MXN P V 01MTIEF BMIEJXL48 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    10200000 | OU      | $15559.73     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHBBM9 IRS CNY R F  1.50300 BMIEHBBN7 CCPNDF / Short: SMIEHBBM9 IRS CNY P V 00MCNRR BMIEHBBP2 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $1667.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-86.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED NOK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NO        |           1 | NC      | $2384.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                    | Philippine Government International Bond                                                                                           | CUSIP: 718286BM8<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    34000000 | PA      | $595846.44    | 1.81%             | 2036-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $1805.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | Long: BMIEH1PL8 TRS PEN R F   .00000 B23HG0II9 BOND TRS / Short: BMIEH1PL8 TRS USD P V 00MSOFR SOFRRATE+65BPS                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | PE        |     2118054 | OU      | $10567.49     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $4820.43      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-11923.17    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED TWD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $4647.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $1979.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED USD / SOLD ZAR                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-60169.45    | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED USD / SOLD ZAR                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $12330.89     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | US        |           1 | NC      | $-1516.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMID0QUC7 IRS GBP R F  3.82720 BMID0QUD5 CCPOIS / Short: SMID0QUC7 IRS GBP P V 12MSONIA BMID0QUE3 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      670000 | OU      | $8225.48      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $880.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1419.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |           1 | NC      | $52618.37     | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-105.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED EUR / SOLD ISK                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |           1 | NC      | $306.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD COP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1072.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED EUR / SOLD PLN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-5887.39     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $6185.75      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEDQD63 IRS INR R F  6.25550 BMIEDQD71 CCPNDFOIS / Short: SMIEDQD63 IRS INR P V 06MMIBOR BMIEDQD89 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15000000 | OU      | $4838.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MY        |           1 | NC      | $2445.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | BMIEG7UA4 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |     -550000 | OU      | $-1670.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | BMIEG7UF3 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |     -550000 | OU      | $-3066.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD PHP                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-7624.85     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-6425.78     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED CZK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CZ        |           1 | NC      | $655.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                       | Indonesia Treasury Bond                                                                                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 15935000000 | PA      | $994420.80    | 3.02%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |           1 | NC      | $5544.06      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIE57159 IRS USD R V 12MUSCPI BMIE57175 CCPINFLATIONZERO / Short: BMIE57159 IRS USD P F  2.61400 BMIE57167 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      620000 | OU      | $-694.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $303.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQSGD7 IRS THB R F  1.40300 BMIEQSGE5 CCPNDFOIS / Short: SMIEQSGD7 IRS THB P V 12MTHOR BMIEQSGF2 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6300000 | OU      | $-19.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $3182.11      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD INR                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-11776.85    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds               | New Zealand Government Bonds                                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      100000 | PA      | $58092.75     | 0.18%             | 2054-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1389.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | RU        |           1 | NC      | $1069.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                     | US ULTRA BOND CBT JUN25                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           5 | NC      | $14782.38     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEF2555 IRS THB R F  1.97000 BMIEF2563 CCPNDFOIS / Short: SMIEF2555 IRS THB P V 12MTHOR BMIEF2571 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15300000 | OU      | $12371.45     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $2893.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | RU        |           1 | NC      | $1376.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-93057.51    | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $147.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED PEN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |           1 | NC      | $332.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $2444.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                         | Peru Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1820000 | PA      | $486444.06    | 1.48%             | 2055-02-12      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHFJ83 IRS CNY R F  1.50000 BMIEHFJ91 CCPNDF / Short: SMIEHFJ83 IRS CNY P V 00MCNRR BMIEHFJA8 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2990000 | OU      | $1603.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-381.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-7634.17     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-9818.87     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MY        |           1 | NC      | $48.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | KR        |           1 | NC      | $3156.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $885.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                | Long: BMIED0Q17 IRS COP R V 12MCPIBR BMIED0Q33 CCPNDFOIS / Short: BMIED0Q17 IRS COP P F  8.44500 BMIED0Q25 CCPNDFOIS               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   590000000 | OU      | $917.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED CNH / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |           1 | NC      | $-197.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                       | Paraguay Government International Bond                                                                                             | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |   686000000 | PA      | $84246.37     | 0.26%             | 2031-02-09      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $443.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED EUR / SOLD PLN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $48753.40     | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                         | Dominican Republic International Bond                                                                                              | CUSIP: 25714RCZ5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    10500000 | PA      | $178314.32    | 0.54%             | 2025-08-08      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED PEN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $-845.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD KWD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $2361.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEBHS10 IRS INR R F  6.17400 BMIEBHS28 CCPNDFOIS / Short: SMIEBHS10 IRS INR P V 06MMIBOR BMIEBHS36 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14760000 | OU      | $4153.52      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BONO TESORO CAPITALIZAB                    | Bono Del Tesoro Nacional Capitalizable en Pesos                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |    21280000 | PA      | $20301.42     | 0.06%             | 2026-02-13      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED PLN / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | PL        |           1 | NC      | $-9309.22     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-50.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED EUR / SOLD CZK                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-4162.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-9996.51     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEUBRC9 IRS PLN R V 06MWIBOR BMIEUBRE5 CCPVANILLA / Short: BMIEUBRC9 IRS PLN P F  4.30978 BMIEUBRD7 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2190027 | OU      | $-1689.23     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-8715.51     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED EUR / SOLD SEK                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |           1 | NC      | $-4431.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEB4EY2 IRS INR R F  6.15500 BMIEB4EZ9 CCPNDFOIS / Short: SMIEB4EY2 IRS INR P V 06MMIBOR BMIEB4F05 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14280000 | OU      | $3881.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQX4H0 IRS THB R F  1.40350 BMIEQX4J6 CCPNDFOIS / Short: SMIEQX4H0 IRS THB P V 12MTHOR BMIEQX4K3 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8000000 | OU      | $-18.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $24807.32     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIDR5JU7 IRS TWD R V 03MCPTW BMIDR5JW3 CCPNDF / Short: BMIDR5JU7 IRS TWD P F  1.89500 BMIDR5JV5 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22000000 | OU      | $-11462.45    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEDFPW7 IRS KRW R V 03MKSDA BMIEDFPY3 CCPNDF / Short: BMIEDFPW7 IRS KRW P F  2.79250 BMIEDFPX5 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   178000000 | OU      | $-4667.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $77.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED PEN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |           1 | NC      | $-43.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |           1 | NC      | $5255.79      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPT GOVERNMENT BOND                      | Egypt Government Bond                                                                                                              | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    38565000 | PA      | $776313.61    | 2.36%             | 2027-10-01      | Fixed         | 24.46%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                        | Freddie Mac STACR REMIC Trust 2022-DNA1                                                                                            | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |     1800000 | PA      | $1827890.28   | 5.56%             | 2042-01-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $7403.91      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEK8RW3 IRS JPY R F  1.24980 BMIEK8RX1 CCPOIS / Short: SMIEK8RW3 IRS JPY P V 12MTONAR BMIEK8RY9 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   120000000 | OU      | $16015.86     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-11827.51    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Hellenic Republic                          | Hellenic Republic Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     9880700 | PA      | $29102.73     | 0.09%             | 2042-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIED1UF9 IRS KRW R F  2.61000 BMIED1UG7 CCPNDF / Short: SMIED1UF9 IRS KRW P V 03MKSDA BMIED1UH5 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   267000000 | OU      | $3101.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $1061.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                   | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                                | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |     1747079 | NS      | $1747079.29   | 5.31%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                  | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2700000 | PA      | $2694410.19   | 8.19%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association   | Government National Mortgage Association                                                                                           | CUSIP: 38384CN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $1035032.20   | 3.15%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEQQP33 IRS NZD R V 03MNZDBB BMIEQQP58 CCPVANILLA / Short: BMIEQQP33 IRS NZD P F  4.03030 BMIEQQP41 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      315000 | OU      | $-1412.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED NOK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NO        |           1 | NC      | $-289.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | Long: BMIELEY19 IRS MYR R F  3.48500 BMIELEY27 NDF / Short: BMIELEY19 IRS MYR P V 03MKLIBO BMIELEY35 NDF                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | FR        |     1263000 | OU      | $2711.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED HKD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | HK        |           1 | NC      | $21.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEQFZ77 IRS NZD R V 03MNZDBB BMIEQFZ93 CCPVANILLA / Short: BMIEQFZ77 IRS NZD P F  4.10930 BMIEQFZ85 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      300000 | OU      | $-2520.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED PEN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $-1457.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PHP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2864.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIC17DS4 IRS GBP R F  4.19930 2 CCPOIS / Short: SMIC17DS4 IRS GBP P V 00MSONIA 1 CCPOIS                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      850000 | OU      | $30835.15     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIED1UC6 IRS KRW R V 03MKSDA BMIED1UE2 CCPNDF / Short: BMIED1UC6 IRS KRW P F  2.70000 BMIED1UD4 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   141000000 | OU      | $-2861.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEB87K1 IRS INR R F  6.16800 BMIEB87L9 CCPNDFOIS / Short: SMIEB87K1 IRS INR P V 06MMIBOR BMIEB87M7 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14642000 | OU      | $4075.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                     | U.S. Treasury Bills                                                                                                                | CUSIP: 912797LB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      500000 | PA      | $499181.39    | 1.52%             | 2025-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | BMIEG7UC0 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |      550000 | OU      | $3586.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $1572.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | PURCHASED NZD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |           1 | NC      | $1183.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $85.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                       | Indonesia Treasury Bond                                                                                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  7740000000 | PA      | $462838.01    | 1.41%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED SEK / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |           1 | NC      | $-585.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $8799.35      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIES6CJ4 IRS INR R F  5.70020 BMIES6CK1 CCPNDFOIS / Short: SMIES6CJ4 IRS INR P V 06MMIBOR BMIES6CL9 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30000000 | OU      | $1567.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds               | New Zealand Government Bonds                                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2290000 | PA      | $1366263.69   | 4.15%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIES6DV6 IRS INR R F  5.70000 BMIES6DW4 CCPNDFOIS / Short: SMIES6DV6 IRS INR P V 06MMIBOR BMIES6DX2 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22752255 | OU      | $1186.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-118.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                | Long: SMIEU0677 IRS BRL R F 13.52000 BMIEU0685 CCPNDFPREDISWAP / Short: SMIEU0677 IRS BRL P V 00MBRCDI BMIEU0693 CCPNDFPREDISWAP   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1500000 | OU      | $643.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-8190.06     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEK8RD5 IRS JPY R F  1.89741 BMIEK8RE3 CCPOIS / Short: SMIEK8RD5 IRS JPY P V 12MTONAR BMIEK8RF0 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    26000000 | OU      | $-1048.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $3323.81      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | AU        |           1 | NC      | $6297.78      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEREUD1 IRS THB R F  1.39000 BMIEREUE9 CCPNDFOIS / Short: SMIEREUD1 IRS THB P V 12MTHOR BMIEREUF6 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8000000 | OU      | $-174.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEC9FW3 IRS TWD R V 03MCPTW BMIEC9FY9 CCPNDF / Short: BMIEC9FW3 IRS TWD P F  1.90500 BMIEC9FX1 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5800000 | OU      | $-3267.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd. | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | US        |           1 | NC      | $-11650.35    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-91486.18    | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $3986.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                                                                    | CUSIP: 31385HJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69288 | PA      | $68160.90     | 0.21%             | 2035-08-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $4316.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $1362.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | RU        |           1 | NC      | $3064.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-3526.24     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                         | Dominican Republic International Bond                                                                                              | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    19850000 | PA      | $342337.40    | 1.04%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIED1QZ0 IRS KRW R F  2.60000 BMIED1R06 CCPNDF / Short: SMIED1QZ0 IRS KRW P V 03MKSDA BMIED1R14 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   667000000 | OU      | $7522.02      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-4027.41     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $2153.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-22137.68    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD PHP                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-3904.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEPESK0 IRS NZD R V 03MNZDBB BMIEPESM6 CCPVANILLA / Short: BMIEPESK0 IRS NZD P F  4.20400 BMIEPESL8 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1200000 | OU      | $-15717.30    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMICSK5K2 IRS USD R F  3.80000 BMICSK5L0 CCPOIS / Short: SMICSK5K2 IRS USD P V 00MSOFR BMICSK5M8 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1265000 | OU      | $16931.90     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEC9H50 IRS TWD R V 03MCPTW BMIEC9H76 CCPNDF / Short: BMIEC9H50 IRS TWD P F  1.91250 BMIEC9H68 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6300000 | OU      | $-3622.31     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |           1 | NC      | $32647.22     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                    | Mexican Bonos                                                                                                                      | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    20093200 | PA      | $839557.89    | 2.55%             | 2053-07-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $6650.93      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                          | EURO-BOBL FUTURE JUN25                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -1 | NC      | $-985.58      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $1436.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIEE3GX1 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |    -1000000 | OU      | $-4986.00     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                     | Brazil Letras do Tesouro Nacional                                                                                                  | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     7000000 | PA      | $1206407.58   | 3.67%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-322.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                     | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-4994.37     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED EUR / SOLD PLN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-9955.84     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |           1 | NC      | $6788.39      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2806.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | RRP NEW ZEALAND CASH/RRP REPO                                                                                                      | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Short            | RA               | CORP              | NZ        |     -204992 | PA      | $-121764.99   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |           1 | NC      | $3675.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SG        |           1 | NC      | $4393.91      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED ILS / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | IL        |           1 | NC      | $25179.00     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED IDR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |           1 | NC      | $-167.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIERF0M1 IRS THB R F  1.37500 BMIERF0N9 CCPNDFOIS / Short: SMIERF0M1 IRS THB P V 12MTHOR BMIERF0P4 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12800000 | OU      | $-557.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $840.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIED9US4 IRS KRW R F  2.72500 BMIED9UT2 CCPNDF / Short: SMIED9US4 IRS KRW P V 03MKSDA BMIED9UU9 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   673000000 | OU      | $10423.85     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-4012.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-20637.88    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $18864.29     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                     | US 5YR NOTE (CBT) JUN25                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          50 | NC      | $75183.91     | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1089.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-642.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | RU        |           1 | NC      | $785.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $125.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-575.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |           1 | NC      | $68298.98     | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEK6SS5 IRS INR R F  6.01100 BMIEK6ST3 CCPNDFOIS / Short: SMIEK6SS5 IRS INR P V 06MMIBOR BMIEK6SU0 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    81880000 | OU      | $16295.80     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $571.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHH964 IRS CNY R F  1.50200 BMIEHH972 CCPNDF / Short: SMIEHH964 IRS CNY P V 00MCNRR BMIEHH980 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5840000 | OU      | $3208.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHHAJ4 IRS CNY R F  1.52200 BMIEHHAK1 CCPNDF / Short: SMIEHHAJ4 IRS CNY P V 00MCNRR BMIEHHAL9 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4900000 | OU      | $3328.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-69443.91    | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $12086.82     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BONCER                                     | Argentina Treasury Bond BONCER                                                                                                     | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    10982000 | PA      | $14888.10     | 0.05%             | 2027-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | RU        |           1 | NC      | $1498.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-109.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-492.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQTG60 IRS KRW R F  2.51300 BMIEQTG78 CCPNDF / Short: SMIEQTG60 IRS KRW P V 03MKSDA BMIEQTG86 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   337600000 | OU      | $3085.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED USD / SOLD TRY                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-1664.77     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED PHP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PH        |           1 | NC      | $6573.70      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $629.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                          | PURCHASED PLN / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-8648.85     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                                                                    | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      836908 | PA      | $821824.67    | 2.50%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |           1 | NC      | $9603.84      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | RU        |           1 | NC      | $937.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                       | Paraguay Government International Bond                                                                                             | CUSIP: 699149AP5<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |  3553000000 | PA      | $436337.25    | 1.33%             | 2031-02-09      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD HKD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1478.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |           1 | NC      | $3880.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $3770.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-657.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED EUR / SOLD ISK                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |           1 | NC      | $87.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIKISBREF                                  | Iceland Rikisbref                                                                                                                  | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |   184453197 | PA      | $1128018.79   | 3.43%             | 2042-02-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.             | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $1663.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |           1 | NC      | $6406.46      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                          | EURO-BUND FUTURE JUN25                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           6 | NC      | $1903.19      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEQG2M8 IRS TWD R V 03MCPTW BMIEQG2P1 CCPNDF / Short: BMIEQG2M8 IRS TWD P F  1.79250 BMIEQG2N6 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4100000 | OU      | $-1561.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CL        |           1 | NC      | $79.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEQC254 IRS TWD R V 03MCPTW BMIEQC270 CCPNDF / Short: BMIEQC254 IRS TWD P F  1.77700 BMIEQC262 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5700000 | OU      | $-2034.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMICB7SJ7 IRS EUR R F  2.95630 BMICB7SK4 CCPVANILLA / Short: SMICB7SJ7 IRS EUR P V 06MEURIB BMICB7SL2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      386467 | OU      | $24826.94     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MY        |           1 | NC      | $1538.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIEUD9H4 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |     -960000 | OU      | $-4447.68     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                           | PURCHASED USD / SOLD ZAR                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $11987.26     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $2346.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEB4DD9 IRS INR R F  6.17000 BMIEB4DE7 CCPNDFOIS / Short: SMIEB4DD9 IRS INR P V 06MMIBOR BMIEB4DF4 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30360000 | OU      | $8482.02      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.              | PURCHASED MYR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MY        |           1 | NC      | $9520.22      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-26329.14    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |           1 | NC      | $-35.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEB4D98 IRS INR R F  6.16700 BMIEB4DA5 CCPNDFOIS / Short: SMIEB4D98 IRS INR P V 06MMIBOR BMIEB4DB3 CCPNDFOIS               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16400000 | OU      | $4556.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $5356.68      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-16230.46    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIE56K19 IRS USD R V 12MUSCPI BMIE56K35 CCPINFLATIONZERO / Short: BMIE56K19 IRS USD P F  2.60000 BMIE56K27 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      800000 | OU      | $-362.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEGHUE4 IRS KRW R V 03MKSDA BMIEGHUG9 CCPNDF / Short: BMIEGHUE4 IRS KRW P F  2.63000 BMIEGHUF1 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    95000000 | OU      | $-1501.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                         | Dominican Republic International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    25400000 | PA      | $512438.20    | 1.56%             | 2034-06-10      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |           1 | NC      | $407813.21    | 1.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEQSGH8 IRS THB R F  1.40630 BMIEQSGJ4 CCPNDFOIS / Short: SMIEQSGH8 IRS THB P V 12MTHOR BMIEQSGK1 CCPNDFOIS                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9200000 | OU      | $16.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | AU        |           1 | NC      | $134.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED ZAR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |           1 | NC      | $3608.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIET4UW9 IRS HUF R F  6.15000 BMIET4UX7 CCPVANILLA / Short: SMIET4UW9 IRS HUF P V 06MBUBOR BMIET4UY5 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   130700000 | OU      | $4192.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                    | PURCHASED TRY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TR        |           1 | NC      | $1059.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED RUB / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | RU        |           1 | NC      | $1361.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | KR        |           1 | NC      | $241.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: BMIEQX4B3 IRS NZD R V 03MNZDBB BMIEQX4D9 CCPVANILLA / Short: BMIEQX4B3 IRS NZD P F  3.94530 BMIEQX4C1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      540000 | OU      | $-144.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | BMIEE3AP4 EATON VANCE                                                                                                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DFE              |  | US        |     1000000 | OU      | $6052.00      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                   | Long: SMIEHFL98 IRS CNY R F  1.49500 BMIEHFLA5 CCPNDF / Short: SMIEHFL98 IRS CNY P V 00MCNRR BMIEHFLB3 CCPNDF                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7010000 | OU      | $3531.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD COP                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-915.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                             | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $4947.25      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2227.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICBC Standard Bank PLC                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: F01VVKN4DRF2NWKGQ283 | N/A              | DFE              |  | US        |           1 | NC      | $-686.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                         | PURCHASED USD / SOLD HKD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-72.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $1423.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                | Long: BMIER3CB9 TRS COP R F   .00000 ACI2Q1VT3 BOND TRS / Short: BMIER3CB9 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |  1088000000 | OU      | $-3495.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                        | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $623.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                    | RRP NEW ZEALAND GOVERNMENT OF                                                                                                      | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Short            | RA               | CORP              | NZ        |    -2270318 | PA      | $-1348568.56  | -4.10%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                     | Republic of Poland Government Bond                                                                                                 | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    10341848 | PA      | $2472702.67   | 7.52%             | 2036-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                     | PURCHASED USD / SOLD RUB                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-141.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                         | Peru Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      317000 | PA      | $92608.19     | 0.28%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-23

**Name of Applicant:** International Income Portfolio

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer