# EDGAR Filing Document

**Accession Number:** 0000892538
**File Stem:** 0001752724-23-070695
**Filing Date:** 2023-3
**Character Count:** 359373
**Document Hash:** 1251ad3defd7c7465f2071214fb5d777
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-070695.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0001752724-23-070695

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SUNAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000892538
- **IRS NUMBER:** 137002445
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07238
- **FILM NUMBER:** 23772232

**BUSINESS ADDRESS:**
- **STREET 1:** 21650 OXNARD STREET, 10TH FLOOR
- **CITY:** WOODLAND HILLS
- **STATE:** CA
- **ZIP:** 91367
- **BUSINESS PHONE:** 201-324-6378

**MAIL ADDRESS:**
- **STREET 1:** HARBORSIDE 5
- **STREET 2:** 185 HUDSON STREET, SUITE 3300
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07311

## Series and Classes Contracts Data

### SA Goldman Sachs Global Bond Portfolio (Series ID: S000008097)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000022015 | Class 1      |  |
| C000022016 | Class 2      |  |
| C000022017 | Class 3      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SUNAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-07238

- **c. CIK number of Registrant:** 0000892538

- **d. LEI of Registrant:** 549300YDIAXUNCUXFM44

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

  - **Street Address 1:** 21650 Oxnard Street, 10th Floor

  - **City:** Woodland Hills

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 91367

  - **Telephone number:** 800-445-7862

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

- **a. Name of Series:** SA Goldman Sachs Global Bond Portfolio

- **b. EDGAR series identifier (if any):** S000008097

- **c. LEI of Series:** 3FB0L8OH80Z6N1SBMD85

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

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $335361259.41

**Total Liabilities:** $18817295.55

**Net Assets:** $316543963.86

**Cash Not Reported:** $3554994.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -129.42000000 | **1-Year:** -5356.74000000 | **5-Year:** -10375.65000000 | **10-Year:** -7747.76000000 | **30-Year:** -1936.90000000

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

- **3-Month:** -20.43000000 | **1-Year:** -1900.06000000 | **5-Year:** 993.43000000 | **10-Year:** -1881.02000000 | **30-Year:** -1611.15000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000022016 | 5.48%                | -0.33%               | 3.22%                |
| Class ID C000022017 | 5.56%                | -0.34%               | 3.15%                |
| Class ID C000022015 | 5.42%                | -0.22%               | 3.18%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-373705.04              | $15405645.64                               |
| Month 2  | $1816764.77              | $-1452057.00                               |
| Month 3  | $778544.20               | $6903332.29                                |

**Designated Index Information**

- **Index Name:** JPM Global GBI

- **Index Identifier:** JPMGGLBL

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $4577.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNP ASSURANCES                                   | CNP Assurances                                                                                                   | CUSIP: 000000000<br>LEI: 969500QKVPV2H8UXM738 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $177705.16    | 0.06%             | 2028-03-08      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $1058.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS05367A SWAPTION EUR006M                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | DE        |   -1260000 | NC      | $-49758.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                      | Swedbank AB                                                                                                      | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |     500000 | PA      | $488366.40    | 0.15%             | 2027-02-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| AFRICAN EXPORT-IMPORT BA                         | African Export-Import Bank/The                                                                                   | CUSIP: 00831TAC5<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | XX        |     200000 | PA      | $170036.00    | 0.05%             | 2031-05-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                         | Petroleos de Venezuela SA                                                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     390000 | PA      | $17550.00     | 0.01%             | 2027-04-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $942.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $-7502.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ILS                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-923.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ZAR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $-107.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIAUUS2023021510895                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |    -782000 | OU      | $-3861.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $26350.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUEUSE2023022211150                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DE        |    -508000 | OU      | $-11638.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219280  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR219280  IRS EUR P F  2.75000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-2124.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $3401.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CAD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $2930.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $1406.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      70000 | PA      | $53940.05     | 0.02%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219087  IRS BRL R V 01MBRCDI CCPNDFPREDISWAP / Short: BR219087  IRS BRL P F 13.30000 CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |    4550000 | OU      | $-6071.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 3138EKWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5581 | PA      | $5938.75      | 0.00%             | 2041-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED KRW / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $514.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                             | Japan Government Two Year Bond                                                                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  833750000 | PA      | $6408278.15   | 2.02%             | 2024-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Asian Development Bank                           | Asian Development Bank                                                                                           | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | XX        |   40000000 | PA      | $335567.87    | 0.11%             | 2027-06-21      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSINZUS2023022306495                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |   -3364000 | OU      | $-34809.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-1435.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | OPS05512A SWAPTION SPFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1360000 | NC      | $-41452.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS04972A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    2990000 | NC      | $72054.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR218545  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR218545  IRS EUR P F  1.45150 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6780000 | OU      | $160635.05    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | CTHSBEUCH2023021510045                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-1200.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4000.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31416WMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7071 | PA      | $7107.46      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CZK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |          1 | NC      | $1754.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                                                  | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $379580.55    | 0.12%             | 2025-03-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                                                             | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     297000 | PA      | $267392.57    | 0.08%             | 2026-04-27      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD COP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1375.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-959.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED INR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $10.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-3729.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         36 | NC      | $-53538.85    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3948.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3968.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE MAR23                                                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          8 | NC      | $-989.31      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $7531.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-296.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5321.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $826.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $996.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS05593A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-14292.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-57143.04    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                           | VICI Properties LP / VICI Note Co Inc                                                                            | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |     575000 | PA      | $535462.17    | 0.17%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                     | ING Groep NV                                                                                                     | CUSIP: 456837BC6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $185777.46    | 0.06%             | 2033-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | CTJPMAUNZ2023020710872                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |    -778000 | OU      | $-3787.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | OPS05587A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -1410000 | NC      | $-37927.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-264.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05507A SWAPTION SOFFRATE                                                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1360000 | NC      | $-41417.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1547.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $5001.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-470.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219356  IRS SEK R F  3.00000 2 CCPVANILLA / Short: SR219356  IRS SEK P V 03MSTIBO 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   86900000 | OU      | $-18423.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-4198.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-12649.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-554.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8350000 | PA      | $6083105.43   | 1.92%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-381.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 1 Ltd.                      | Diameter Capital Clo 1 Ltd                                                                                       | CUSIP: 25255DAA8<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1083011.60   | 0.34%             | 2036-07-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $13449.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSIEUCZ2023022123990                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    -508000 | OU      | $-4507.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE MAR23                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          9 | NC      | $949.29       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                      | Long: SR219298  IRS GBP R F  3.50000 2 CCPOIS / Short: SR219298  IRS GBP P V 00MSONIA 1 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2790000 | OU      | $-12837.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PTBNPGBUS2023022312100                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |    1776000 | OU      | $8720.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $1111.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43499 | PA      | $46532.29     | 0.01%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $13445.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $244846.01    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219262  IRS USD R F  4.00000 2 CCPOIS / Short: SR219262  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $56917.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2020-HQA4                                                                          | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400398 | PA      | $421396.02    | 0.13%             | 2050-09-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    7820000 | PA      | $8019258.43   | 2.53%             | 2025-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                                                       | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     145000 | PA      | $140581.76    | 0.04%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $509.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $9703.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Global Advisors                     | State Street Institutional US Government Money Market Fund                                                       | CUSIP: 857492656<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   19252587 | NS      | $19252587.49  | 6.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1615.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $443.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $49.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | OPS05576A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |   -1400000 | NC      | $-15672.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $1019.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS05605A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-23022.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-7117.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $5193.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     328000 | PA      | $315495.69    | 0.10%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                             | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     175000 | PA      | $157716.81    | 0.05%             | 2029-08-08      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3151.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CNH                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-13639.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                               | Denmark Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    4700000 | PA      | $867001.81    | 0.27%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $6942.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                    | AIB Group PLC                                                                                                    | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     274000 | PA      | $273509.69    | 0.09%             | 2031-05-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     364000 | PA      | $282593.68    | 0.09%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | PTHSBUSSG2023020213370                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |    -532000 | OU      | $-9483.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PTCITEUSE2023022411185                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | DE        |    -503000 | OU      | $-1292.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         11 | NC      | $-5328.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1660.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3376.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13060000 | PA      | $9816936.75   | 3.10%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2110000 | PA      | $1935563.64   | 0.61%             | 2034-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3425.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $4112.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSINZUS2023020706100                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |    3381500 | OU      | $203.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6983.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS04948A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    3040000 | NC      | $13755.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31417E6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37752 | PA      | $39489.23     | 0.01%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FCC Aqualia SA                                   | FCC Aqualia SA                                                                                                   | CUSIP: 000000000<br>LEI: 959800BYDMFZGPTXHN28 | Long             | DBT              | CORP              | ES        |     365000 | PA      | $371856.08    | 0.12%             | 2027-06-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $765.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $2819.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMUSJP2023041812525                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    2185000 | OU      | $28453.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-1027.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1060.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIUSKR2023020812713                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |   -1060000 | OU      | $-646.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-19696.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-2657.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                          | HCA Inc                                                                                                          | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     300000 | PA      | $308571.37    | 0.10%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                          | MPT Operating Partnership LP / MPT Finance Corp                                                                  | CUSIP: 55342UAL8<br>LEI: N/A                  | Long             | DBT              |  | US        |     450000 | PA      | $396591.66    | 0.13%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-60.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $1364.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank SA                                     | CaixaBank SA                                                                                                     | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $101246.22    | 0.03%             | 2030-04-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-989.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSIAUUS2023021510895                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |    -782000 | OU      | $-2434.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIEUCH2023022209950                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    -508000 | OU      | $-3550.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $8401.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                     | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     230000 | PA      | $235911.00    | 0.07%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                                              | CUSIP: 949831AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22669 | PA      | $20690.94     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                            | Aeroporti di Roma SpA                                                                                            | CUSIP: 000000000<br>LEI: 8156007259ABDEA3F444 | Long             | DBT              | CORP              | IT        |     250000 | PA      | $232082.13    | 0.07%             | 2029-02-02      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     130000 | PA      | $115507.22    | 0.04%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                     | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $293668.94    | 0.09%             | 2024-09-18      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     200000 | PA      | $153923.09    | 0.05%             | 2067-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR217947  IRS USD R F  2.50000 2 CCPOIS / Short: SR217947  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4460000 | OU      | $-24848.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                         | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     112000 | PA      | $95629.35     | 0.03%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219275  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR219275  IRS EUR P F  3.00000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2580000 | OU      | $-20704.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $4531.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-7247.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1200.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CAD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $7346.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                         | Banco Mercantil del Norte SA/Grand Cayman                                                                        | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $184692.31    | 0.06%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-810.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIEUCZ2023022423825                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-2403.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                   | European Union                                                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    5240000 | PA      | $5177701.24   | 1.64%             | 2026-07-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $92.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8237.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-122403.19   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2186.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARCELORMITTAL                                    | ArcelorMittal SA                                                                                                 | CUSIP: 03938LBC7<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     155000 | PA      | $148465.48    | 0.05%             | 2029-07-16      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $1417.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1464.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $7137.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $-704.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL (CAYMAN)                         | Banco do Brasil SA/Cayman                                                                                        | CUSIP: 000000000<br>LEI: QE0Q0253K88YAGNPE356 | Long             | DBT              | CORP              | BR        |     240000 | PA      | $217712.25    | 0.07%             | 2024-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219251  IRS USD R F  4.43000 2 CCPOIS / Short: SR219251  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10390000 | OU      | $32754.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31412UQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $982.82       | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $13618.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-381.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3549.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $3812.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANPACK SA/CANPACK US                            | Canpack SA / Canpack US LLC                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     200000 | PA      | $180814.41    | 0.06%             | 2027-11-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $32323.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-SCHATZ FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         31 | NC      | $-29896.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219590  IRS JPY R F  1.60000 CCPVANILLA 1 / Short: SR219590  IRS JPY P V 12MTONAR CCPVANILLA 2           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | JP        |  124000000 | OU      | $-5046.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2770000 | PA      | $2850320.23   | 0.90%             | 2027-04-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219371  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR219371  IRS NOK P F  3.50000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   26190000 | OU      | $-56800.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219433  IRS MXN R F  8.25000 2 CCPVANILLA / Short: SR219433  IRS MXN P V 01MTIIE 1 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9045000 | OU      | $-3358.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                           | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $226801.76    | 0.07%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $992.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -47 | NC      | $-121853.49   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $6040.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR216975  IRS BRL R F 11.81400 CCPNDFPREDISWAP / Short: SR216975  IRS BRL P V 01MBRCDI CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |   15010000 | OU      | $-44098.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ILS                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1946.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-993.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     330000 | PA      | $248225.77    | 0.08%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMUSJP2023022712710                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    4359000 | OU      | $29205.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $5739.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $3609.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1869.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31416VJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8752 | PA      | $9197.91      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4422.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $237.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5223.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-3947.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUAUNZ2023022210810                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |    -785000 | OU      | $-1760.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUUSKR2023022312522                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    2193000 | OU      | $11793.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         65 | NC      | $-53048.82    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR216961  IRS BRL R F 12.30000 CCPNDFPREDISWAP / Short: SR216961  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |    1630000 | OU      | $-1716.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | PTHSBEUCH2023021510045                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-6873.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219054  IRS CNY R V 03MCNRR CCPNDF / Short: BR219054  IRS CNY P F  2.50000 CCPNDF                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CN        |   12630000 | OU      | $35934.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2740000 | PA      | $2610064.05   | 0.82%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $3388.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TWD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $2853.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $6358.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $8586.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5210.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMAUNZ2023020710872                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |    -778000 | OU      | $-1317.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $2840.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $2959.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Securities Ltd.                 | PTBARGBUS2023022312395                                                                                           | CUSIP: 000000000<br>LEI: K9WDOH4D2PYBSLSOB484 | N/A              | DFE              |  | GB        |    -881000 | OU      | $-14129.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219029  IRS BRL R F 11.48800 2 CCPNDFPREDISWAP / Short: SR219029  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    4470000 | OU      | $-20074.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1097.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BTP FUTURE MAR23                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          2 | NC      | $-6261.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 2003-1                                                                                    | CUSIP: 78442GFK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     913296 | PA      | $811865.38    | 0.26%             | 2032-12-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219281  IRS EUR R F  2.25000 2 CCPVANILLA / Short: SR219281  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-4161.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR218991  IRS USD R F  3.35000 2 CCPOIS / Short: SR218991  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22360000 | OU      | $231481.90    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05186A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -3200000 | NC      | $-7286.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $7771.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust Inc                                                                                | CUSIP: 17307GP77<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      59875 | PA      | $58098.71     | 0.02%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $2301.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                       | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      75000 | PA      | $66713.62     | 0.02%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05571A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |    5520000 | NC      | $3221.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $13.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                               | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1411116 | PA      | $1401686.78   | 0.44%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2226.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $11203.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                                                  | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     700000 | PA      | $674509.79    | 0.21%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSIL2023022434340                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -1091000 | OU      | $-14736.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219402  IRS ZAR R F  9.50000 2 CCPVANILLA / Short: SR219402  IRS ZAR P V 03MJIBAR 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14180000 | OU      | $41261.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                  | Lehman XS Trust Series 2007-7N                                                                                   | CUSIP: 52524GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187901 | PA      | $168882.91    | 0.05%             | 2047-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PTUBSEUCZ2023021524090                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -502000 | OU      | $-6606.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                          | GE Capital International Funding Co Unlimited Co                                                                 | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |     655000 | PA      | $637004.94    | 0.20%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1210000 | PA      | $1201536.38   | 0.38%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     350000 | PA      | $295502.13    | 0.09%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                            | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41307 | PA      | $42496.91     | 0.01%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $2105.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $9103.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2565.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                       | Allianz SE                                                                                                       | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $322040.00    | 0.10%             | 2027-10-30      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $9524.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                 | ABN AMRO Bank NV                                                                                                 | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $438726.27    | 0.14%             | 2027-06-16      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS04947A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -3040000 | NC      | $-3796.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-10777.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1359.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2678.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA ACQUISITIO                         | Smurfit Kappa Acquisitions ULC                                                                                   | CUSIP: 000000000<br>LEI: 6354002XN4LUSDRPTR29 | Long             | DBT              | CORP              | IE        |     210000 | PA      | $223733.25    | 0.07%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $1517.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $997.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $-7535.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                                                       | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     750000 | PA      | $722781.22    | 0.23%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SR219057  IRS KRW R F  4.50000 CCPNDF / Short: SR219057  IRS KRW P V 03MKSDA CCPNDF                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | KR        | 3795830000 | OU      | $198062.33    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-338.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYST EU                         | American Medical Systems Europe BV                                                                               | CUSIP: 000000000<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |     800000 | PA      | $820347.98    | 0.26%             | 2025-03-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $4924.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                         | Electricite de France SA                                                                                         | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $557708.11    | 0.18%             | 2026-12-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BR218982  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR218982  IRS BRL P F 12.79500 CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | BR        |    7090000 | OU      | $10481.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $6553.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219591  IRS JPY R V 12MTONAR CCPVANILLA 1 / Short: BR219591  IRS JPY P F  1.15000 CCPVANILLA 2           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | JP        |  118000000 | OU      | $6837.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                           | Asian Development Bank                                                                                           | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | XX        |    2700000 | PA      | $3123533.00   | 0.99%             | 2025-06-10      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1100000 | PA      | $838591.00    | 0.26%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMEUSE2023020911205                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | DE        |    -500000 | OU      | $-510.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                            | CUSIP: 3132GDUL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167801 | PA      | $172636.47    | 0.05%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS05606A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-13687.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re Ltd                                                                                                | CUSIP: 07876AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     225000 | PA      | $219564.79    | 0.07%             | 2031-06-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2413.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS04973A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -2990000 | NC      | $-24988.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ZAR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $-2957.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2073.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219400  IRS PLN R F  5.50000 2 CCPVANILLA / Short: SR219400  IRS PLN P V 06MWIBOR 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6175000 | OU      | $17519.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                          | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                      | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     550000 | PA      | $537466.07    | 0.17%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $690.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SR219391  IRS BRL R F 13.95000 CCPNDFPREDISWAP / Short: SR219391  IRS BRL P V 01MBRCDI CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | BR        |   13810000 | OU      | $9479.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS05368A SWAPTION EUR006M                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | DE        |    3000000 | NC      | $56406.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                  | Nigeria Government International Bond                                                                            | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     490000 | PA      | $368725.00    | 0.12%             | 2032-02-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5913.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-302.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1020000 | PA      | $1236166.63   | 0.39%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                                                        | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $172999.90    | 0.05%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $-996.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS05592A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-17451.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | CTHSBUSSG2023020213370                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |    -532000 | OU      | $-9.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR218471  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR218471  IRS USD P F  2.68000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     630000 | OU      | $6295.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $24499.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                             | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $965620.37    | 0.31%             | 2026-01-23      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                 | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     675000 | PA      | $638522.95    | 0.20%             | 2030-05-04      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    3030000 | PA      | $3565047.26   | 1.13%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                            | Bank of Ireland Group PLC                                                                                        | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     350000 | PA      | $332445.89    | 0.11%             | 2031-08-11      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18080000 | PA      | $16398418.80  | 5.18%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust               | Wells Fargo Alternative Loan 2007-PA6 Trust                                                                      | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98341 | PA      | $89392.48     | 0.03%             | 2037-12-28      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CAD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $46125.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                          | MPT Operating Partnership LP / MPT Finance Corp                                                                  | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              |  | US        |     300000 | PA      | $233250.00    | 0.07%             | 2029-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | OPS05588A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -1410000 | NC      | $-3042.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUUS2023020910700                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    2022000 | OU      | $39477.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD PLN                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-765.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | Long: BR218674  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR218674  IRS EUR P F  2.35000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DIR              |  | US        |    1620000 | OU      | $18136.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-5753.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      40000 | PA      | $38202.46     | 0.01%             | 2038-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ILS                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $851.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                      | Citycon Oyj                                                                                                      | CUSIP: 000000000<br>LEI: 549300P8N0P6KDGTJ206 | Long             | DBT              | CORP              | FI        |     230000 | PA      | $136024.25    | 0.04%             | 2026-06-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2017-RC1                                                                   | CUSIP: 95001FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $109493.57    | 0.03%             | 2060-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $-2027.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05438A SWAPTION EUR006M                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |    2970000 | NC      | $21819.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | CTCITUSBR2023020256620                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    2128000 | OU      | $2.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | OPS05511A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1360000 | NC      | $-42368.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $2555.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                            | Bank of Ireland Group PLC                                                                                        | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     375000 | PA      | $359509.74    | 0.11%             | 2027-05-10      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05570A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -2810000 | NC      | $-3817.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS04949A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -3040000 | NC      | $-890.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05581A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-14110.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED COP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |          1 | NC      | $-7621.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1100000 | PA      | $859859.67    | 0.27%             | 2066-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $1685.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5036.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05552A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -1410000 | NC      | $-7389.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2450000 | PA      | $3189030.44   | 1.01%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $502.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMGBUS2023020912175                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |   -1768000 | OU      | $-6257.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                 | T-Mobile USA Inc                                                                                                 | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148578.09    | 0.05%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR218992  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR218992  IRS USD P F  3.24000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5210000 | OU      | $-112947.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                               | Vodafone Group PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     210000 | PA      | $219820.62    | 0.07%             | 2025-09-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                           | Mexico City Airport Trust                                                                                        | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     210000 | PA      | $200657.10    | 0.06%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $150248.14    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2841.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-2331.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSZA2023022117885                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    4400000 | OU      | $30012.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $109.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                                                               | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $177172.84    | 0.06%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1177.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $810.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR218473  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR218473  IRS USD P F  2.08000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1080000 | OU      | $11559.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3265.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSIUSSG2023022713125                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |    -545000 | OU      | $-3237.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $-1190.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                          | Becton Dickinson and Co                                                                                          | CUSIP: 075887CN7<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     230000 | PA      | $229004.82    | 0.07%             | 2025-08-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                           | Credit Suisse AG/New York NY                                                                                     | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $230835.45    | 0.07%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-7580.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD INR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1513.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                          | Inter-American Development Bank                                                                                  | CUSIP: 458182BV3<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |     850000 | PA      | $902411.14    | 0.29%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219297  IRS GBP R F  3.50000 2 CCPOIS / Short: SR219297  IRS GBP P V 00MSONIA 1 CCPOIS                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    1320000 | OU      | $-10600.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-662.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                           | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     275000 | PA      | $246615.54    | 0.08%             | 2027-06-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1435.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | CTBOAUSBR2023022451020                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1091000 | OU      | $-18518.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $463442.40    | 0.15%             | 2029-05-28      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219534  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR219534  IRS USD P F  3.49000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   10960000 | OU      | $-18957.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS04971A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -2990000 | NC      | $-7291.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                                                   | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2050000 | PA      | $1987653.82   | 0.63%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                           | Logicor Financing Sarl                                                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     350000 | PA      | $349986.30    | 0.11%             | 2025-05-13      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUEUSE2023020711147                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-93.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        124 | NC      | $125721.77    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                         | Cheniere Energy Partners LP                                                                                      | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     145000 | PA      | $121050.35    | 0.04%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 3YR BOND FUT MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          6 | NC      | $-1110.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-567.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                            | Japan Government Twenty Year Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  692000000 | PA      | $5072097.11   | 1.60%             | 2042-09-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Dollar Tree Inc                                  | Dollar Tree Inc                                                                                                  | CUSIP: 256746AG3<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |     400000 | PA      | $392589.86    | 0.12%             | 2025-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-428.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $616.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAND NORDRHEIN-WESTFALEN                         | State of North Rhine-Westphalia Germany                                                                          | CUSIP: 000000000<br>LEI: 529900VWPV1LPOHGJ702 | Long             | DBT              | NUSS              | DE        |     400000 | PA      | $472155.66    | 0.15%             | 2025-06-13      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $749.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE EUROPE                          | Glencore Finance Europe Ltd                                                                                      | CUSIP: 000000000<br>LEI: 213800WHKNIC1JQQG433 | Long             | DBT              | CORP              | JE        |     100000 | PA      | $117256.32    | 0.04%             | 2026-03-26      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMGBUS2023020711935                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |    -886000 | OU      | $-334.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     390000 | PA      | $396310.65    | 0.13%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 2008-4                                                                                    | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |     219985 | PA      | $219955.32    | 0.07%             | 2022-07-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CAD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1634.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $5113.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                           | BP Capital Markets PLC                                                                                           | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $288618.84    | 0.09%             | 2029-03-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-7408.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BS006149  CDS EUR R V 03MEVENT 1 CCPCORPORATE / Short: BS006149  CDS EUR P F  1.00000 2 CCPCORPORATE       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2875000 | OU      | $-50809.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                 | CUSIP: 31329KLV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1666 | PA      | $1704.19      | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CNH / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $2314.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2190000 | PA      | $2101972.27   | 0.66%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $2561.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $6744.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $2614.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 2008-5                                                                                    | CUSIP: 78444YAD7<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |     423115 | PA      | $420379.43    | 0.13%             | 2023-07-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-1994.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1524.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3011.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2021-LTV2                                                                             | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688754 | PA      | $575191.28    | 0.18%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219450  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR219450  IRS EUR P F  2.50000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4460000 | OU      | $54280.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CAD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $2231.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMUSJP2023022312700                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    4352000 | OU      | $26011.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 10YR BOND FUT MAR23                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         12 | NC      | $7034.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                                                          | CUSIP: 404119CE7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $90517.79     | 0.03%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2440000 | PA      | $2057129.69   | 0.65%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $4195.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                                                               | CUSIP: 05971KAD1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $581368.07    | 0.18%             | 2024-06-27      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                            | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3011015.61   | 0.95%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                         | Anheuser-Busch InBev SA/NV                                                                                       | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |     245000 | PA      | $261272.50    | 0.08%             | 2026-03-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Strip Coupon                                                                              | CUSIP: 912834AT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     670000 | PA      | $371148.66    | 0.12%             | 2038-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $17.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $-3847.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     740000 | PA      | $481851.05    | 0.15%             | 2039-06-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     333000 | PA      | $284389.14    | 0.09%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-366.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | CTSCBUSKR20230207126725                                                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |   -1067000 | OU      | $-625.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $3481.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUCZ2023021524090                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -502000 | OU      | $-441.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-189.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $3126.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France SA                         | Electricite de France SA                                                                                         | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     350000 | PA      | $453198.67    | 0.14%             | 2034-06-02      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2264.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                           | Galaxy Pipeline Assets Bidco Ltd                                                                                 | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     184932 | PA      | $159567.86    | 0.05%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2234.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-1233.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $701.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219272  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR219272  IRS EUR P F  3.00000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2190000 | OU      | $8686.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CZK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |          1 | NC      | $1156.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                            | CUSIP: 3128M7HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12804 | PA      | $13172.48     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FMS WERTMANAGEMENT                               | FMS Wertmanagement                                                                                               | CUSIP: 000000000<br>LEI: HZFDOR6TCRSIQLKQTX32 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $699895.58    | 0.22%             | 2025-03-07      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CLP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-13757.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSINZUS2023022306370                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |    6728000 | OU      | $34552.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR218472  IRS USD R F  2.91000 2 CCPOIS / Short: SR218472  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1530000 | OU      | $-14279.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1049.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                         | Province of British Columbia Canada                                                                              | CUSIP: 11070TAF5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    3600000 | PA      | $2650966.89   | 0.84%             | 2025-06-18      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BX003108  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003108  CDS EUR P F  1.00000 2 CCPCDX                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |    5125000 | OU      | $-28908.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | CTSCBAUNZ2023022410945                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | AU        |    -776000 | OU      | $-3714.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31411JPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145082 | PA      | $153381.89    | 0.05%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-7850.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                            | Indonesia Government International Bond                                                                          | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     860000 | PA      | $855872.98    | 0.27%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $4444.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $-125.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR216871  IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BR216871  IRS BRL P F 11.23000 2 CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    4130000 | OU      | $30826.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED KRW / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $-19.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05185A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    3200000 | NC      | $16903.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR218553  IRS USD R F  2.72000 2 CCPOIS / Short: SR218553  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12200000 | OU      | $-193133.32   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                               | Province of Quebec Canada                                                                                        | CUSIP: 000000000<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    1360000 | PA      | $1571920.03   | 0.50%             | 2026-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219449  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR219449  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3950000 | OU      | $-50472.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUUSSG2023022313150                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -545000 | OU      | $-2819.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUNO2023022110886                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    4062000 | OU      | $36878.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                               | Realty Income Corp                                                                                               | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |     650000 | PA      | $647544.70    | 0.20%             | 2025-11-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2355.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AID-ISRAEL                                       | Israel Government AID Bond                                                                                       | CUSIP: 46513EFF4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     300000 | PA      | $301161.57    | 0.10%             | 2023-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05598A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -1420000 | NC      | $-10534.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219328  IRS AUD R F  4.50000 2 CCPVANILLA / Short: SR219328  IRS AUD P V 06MBBSW 1 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7030000 | OU      | $154853.01    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219512  IRS GBP R F  4.00000 2 CCPOIS / Short: SR219512  IRS GBP P V 00MSONIA 1 CCPOIS                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9410000 | OU      | $21234.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMUSJP2023022712960                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -2180000 | OU      | $-29900.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                                                 | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     550000 | PA      | $472905.79    | 0.15%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PTSCBAUNZ2023022410945                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | AU        |    -776000 | OU      | $-4630.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1690.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-864.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $17207.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18220000 | PA      | $14533296.88  | 4.59%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219286  IRS EUR R V 12MESTR CCPVANILLA / Short: BR219286  IRS EUR P F  2.75000 CCPVANILLA                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | ER        |    1820000 | OU      | $-7217.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIUSCH2023022709180                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |   -2180000 | OU      | $-15266.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $990.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $203.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | Long: BR218676  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR218676  IRS EUR P F  1.80000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DIR              |  | US        |     510000 | OU      | $14399.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CZK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |          1 | NC      | $3702.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $11840.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $751.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BX003093  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003093  CDS EUR P F  1.00000 2 CCPCDX                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   16700000 | OU      | $-168391.43   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $5462.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4465.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUCH2023022410010                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -503000 | OU      | $-2327.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                           | CUSIP: 853254CB4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $190058.93    | 0.06%             | 2025-03-23      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIEUUS2023020110975                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    1006000 | OU      | $17.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $280.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $133.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                                                           | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     925000 | PA      | $985804.01    | 0.31%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR217949  IRS USD R F  2.73000 2 CCPOIS / Short: SR217949  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7470000 | OU      | $-40809.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                           | Logicor Financing Sarl                                                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $282157.25    | 0.09%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219335  IRS JPY R V 12MTONA CCPVANILLA / Short: BR219335  IRS JPY P F   .25000 CCPVANILLA                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | JP        | 4061680000 | OU      | $379694.45    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                      | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     250000 | PA      | $242253.37    | 0.08%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $5803.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $1421.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENGIE SA                                         | Engie SA                                                                                                         | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $201279.79    | 0.06%             | 2026-03-13      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14880000 | PA      | $14993343.79  | 4.74%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     350000 | PA      | $345611.16    | 0.11%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1581000 | PA      | $1656908.41   | 0.52%             | 2043-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                     | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     275000 | PA      | $250892.30    | 0.08%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219045  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR219045  IRS GBP P F  3.91250 2 CCPOIS                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1400000 | OU      | $-53233.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                 | Spirit Realty LP                                                                                                 | CUSIP: 84861TAH1<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              |  | US        |     175000 | PA      | $146435.16    | 0.05%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2021-R01                                                                     | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     381000 | PA      | $364449.36    | 0.12%             | 2041-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-7749.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $310.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSIEUCH2023022209950                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    -508000 | OU      | $-3896.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3469.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-716.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     490000 | PA      | $362270.26    | 0.11%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CNH                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-955.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8536.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUAUUS2023022307000                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |   -3137000 | OU      | $-21394.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CAD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $5194.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05582A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-15800.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                         | Province of British Columbia Canada                                                                              | CUSIP: 110709FY3<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     400000 | PA      | $336672.80    | 0.11%             | 2040-06-18      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    6450000 | PA      | $5545212.19   | 1.75%             | 2031-04-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        269 | NC      | $39298.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $-159.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $4988.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2290.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | Bank 2019-BNK19                                                                                                  | CUSIP: 06540WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $63639.16     | 0.02%             | 2061-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1662.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1888.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                         | Mill City Mortgage Loan Trust 2017-2                                                                             | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121249 | PA      | $114289.82    | 0.04%             | 2059-07-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR217948  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217948  IRS USD P F  2.57000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11760000 | OU      | $69202.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219307  IRS CAD R F  4.00000 2 CCPVANILLA / Short: SR219307  IRS CAD P V 03MCDOR 1 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   10730000 | OU      | $-16456.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED KRW / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $-9.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TWD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $1829.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                               | Elmwood CLO IV Ltd                                                                                               | CUSIP: 29002GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1093125.00   | 0.35%             | 2033-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR218383  IRS EUR R F  2.85500 2 CCPVANILLA / Short: SR218383  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3990000 | OU      | $5101.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    2550000 | PA      | $2769128.41   | 0.87%             | 2023-03-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-56.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-7350.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05564A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |    5520000 | NC      | $3221.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $79168.72     | 0.03%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219338  IRS JPY R V 12MTONA CCPVANILLA / Short: BR219338  IRS JPY P F   .50000 CCPVNILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | JP        |  939660000 | OU      | $279637.73    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PTUBSEUCH2023022410010                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -503000 | OU      | $-6061.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                             | Westpac Banking Corp                                                                                             | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     525000 | PA      | $412370.85    | 0.13%             | 2035-11-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUCZ2023020724060                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -503000 | OU      | $-169.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1313.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219410  IRS MXN R F  9.25000 2 CCPVANILLA / Short: SR219410  IRS MXN P V 01MTIIE 1 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4080000 | OU      | $-1450.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                     | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $135320.38    | 0.04%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     950000 | PA      | $932187.88    | 0.29%             | 2037-01-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $10032.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                   | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     338000 | PA      | $301825.35    | 0.10%             | 2029-10-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5588.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2020-DNA4                                                                          | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     541511 | PA      | $578790.57    | 0.18%             | 2050-08-25      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $1865.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-7615.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-612.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMGBUS2023020711705                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |    1772000 | OU      | $72.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD TWD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $450.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-10872.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     470000 | PA      | $329865.98    | 0.10%             | 2052-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                   | AutoNation Inc                                                                                                   | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $103601.58    | 0.03%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CAD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4328.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-63.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $-326.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33925 | PA      | $35446.79     | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE MAR23                                                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -21 | NC      | $22493.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    6170000 | PA      | $6338793.00   | 2.00%             | 2029-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     293000 | PA      | $283117.01    | 0.09%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $16224.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $5005.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                             | Booking Holdings Inc                                                                                             | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     325000 | PA      | $375571.95    | 0.12%             | 2034-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3147.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2732.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-1012.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | CTCITUSBR2023020254840                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1064000 | OU      | $-1.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-1551.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $11318.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                             | BAT International Finance PLC                                                                                    | CUSIP: 05530QAK6<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $972076.54    | 0.31%             | 2025-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                           | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $85661.79     | 0.03%             | 2028-01-14      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PTBNPGBUS2023022412210                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |    3554000 | OU      | $29027.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $12381.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIUSSG2023022713125                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |    -545000 | OU      | $-3422.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219383  IRS NZD R F  4.50000 2 CCPVANILLA / Short: SR219383  IRS NZD P V 03MNZDBB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3770000 | OU      | $17031.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                           | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $623236.60    | 0.20%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                               | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1288385 | PA      | $1315942.02   | 0.42%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2018-B6 Mortgage Trust                                                                                 | CUSIP: 08162CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $171632.23    | 0.05%             | 2051-10-10      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CZK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |          1 | NC      | $543.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                                                     | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $292870.47    | 0.09%             | 2026-11-18      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SR219058  IRS KRW R F  4.25000 CCPNDF / Short: SR219058  IRS KRW P V 03MKSDA CCPNDF                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | KR        |  679040000 | OU      | $57537.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-38.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                          | Australia & New Zealand Banking Group Ltd                                                                        | CUSIP: 052528AL0<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |     400000 | PA      | $367487.94    | 0.12%             | 2030-07-22      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219380  IRS NZD R F  5.00000 2 CCPVANILLA / Short: SR219380  IRS NZD P V 03MNZDBB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7550000 | OU      | $-512.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05187A SWAPTION SOFRRATE                                                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -3200000 | NC      | $-2968.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-883.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSSG2023021713185                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    -546000 | OU      | $-1968.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUUSSG2023022313150                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -545000 | OU      | $-3645.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $58104.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $276081.82    | 0.09%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05565A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -2800000 | NC      | $-3804.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                                                          | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1424402.43   | 0.45%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                         | International Flavors & Fragrances Inc                                                                           | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     300000 | PA      | $269770.23    | 0.09%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond                                                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |    1080000 | PA      | $935706.15    | 0.30%             | 2032-06-22      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | Long: SR218675  IRS EUR R F  2.65000 2 CCPVANILLA / Short: SR218675  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DIR              |  | US        |    2390000 | OU      | $-13150.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REGION WALLONNE                                  | Region Wallonne Belgium                                                                                          | CUSIP: 000000000<br>LEI: 529900HPQFHMCG25MZ72 | Long             | DBT              | NUSS              | BE        |     800000 | PA      | $804412.96    | 0.25%             | 2038-01-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1635.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-1276.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL SPA                                         | Enel SpA                                                                                                         | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     135000 | PA      | $134106.79    | 0.04%             | 2026-08-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219513  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR219513  IRS USD P F  4.00000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11020000 | OU      | $-34762.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED KRW / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $883.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1390.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-1516.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSIEUCZ2023022423825                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-1757.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                 | Deutsche Bank AG                                                                                                 | CUSIP: 251525AX9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $363061.56    | 0.11%             | 2025-10-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $7322.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                           | BP Capital Markets PLC                                                                                           | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $101104.98    | 0.03%             | 2026-03-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                              | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     350000 | PA      | $303643.08    | 0.10%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2020-DNA5                                                                          | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     578000 | PA      | $601495.64    | 0.19%             | 2050-10-25      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05506A SWAPTION SOFFRATE                                                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1360000 | NC      | $-42121.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                                                                          | CUSIP: 3130A6C70<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    2200000 | PA      | $2112576.36   | 0.67%             | 2025-09-12      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-784.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219301  IRS GBP R F  3.00000 2 CCPOIS / Short: SR219301  IRS GBP P V 00MSONIA 1 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     620000 | OU      | $-23544.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust                                 | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199346 | PA      | $154898.10    | 0.05%             | 2046-06-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | OPS05554A SWAPTION JPY OTC                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | JP        | -355000000 | NC      | $-11585.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                    | McKesson Corp                                                                                                    | CUSIP: 581557BG9<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205733.20    | 0.06%             | 2025-11-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KOREA HYDRO & NUCLEAR PO                         | Korea Hydro & Nuclear Power Co Ltd                                                                               | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | NUSS              | KR        |     220000 | PA      | $214764.00    | 0.07%             | 2027-07-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR218547  IRS EUR R F  1.05100 2 CCPVANILLA / Short: SR218547  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3750000 | OU      | $-59220.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219322  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR219322  IRS AUD P F  4.00000 2 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12190000 | OU      | $-24490.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | CTBOAUSBR2023021653320                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    2183000 | OU      | $5852.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                         | Teledyne Technologies Inc                                                                                        | CUSIP: 879360AB1<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |     400000 | PA      | $381014.62    | 0.12%             | 2024-04-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS05557A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-27086.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8257.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                             | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     218000 | PA      | $201725.44    | 0.06%             | 2030-05-09      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5063.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                              | Macquarie Group Ltd                                                                                              | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     225000 | PA      | $199973.25    | 0.06%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     160000 | PA      | $152405.95    | 0.05%             | 2030-10-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2132.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4706.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-419.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $315195.10    | 0.10%             | 2024-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219368  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR219368  IRS NOK P F  3.75000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   63070000 | OU      | $-48291.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2896.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $9465.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ILS                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $5578.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-110.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $8749.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $3650.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3689.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                           | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     100000 | PA      | $84413.96     | 0.03%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-631.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUCH2023020809870                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-5352.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR218559  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR218559  IRS USD P F  2.17000 2 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5890000 | OU      | $201167.65    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUNO2023022110716                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |   -2031000 | OU      | $-37604.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSIL2023022434920                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    2182000 | OU      | $14457.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-OAT FUTURE MAR23                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         19 | NC      | $-69784.18    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO (PROVINCE OF)                            | Province of Ontario Canada                                                                                       | CUSIP: 68323ABN3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1200000 | PA      | $896850.17    | 0.28%             | 2023-06-02      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     470000 | PA      | $618980.21    | 0.20%             | 2046-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-618392.26   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                               | Sweden Government Bond                                                                                           | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    4610000 | PA      | $420744.49    | 0.13%             | 2026-11-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED BRL / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $2977.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERISURE HOLDING AB                              | Verisure Holding AB                                                                                              | CUSIP: 000000000<br>LEI: 549300VQQCWGISM3N408 | Long             | DBT              | CORP              | SE        |     150000 | PA      | $143918.05    | 0.05%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $115.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1381.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PTBNPGBUS2023022312320                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |    -888000 | OU      | $-10851.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ZAR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $-3318.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      70000 | PA      | $71197.66     | 0.02%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSSE20230221102825                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -1100000 | OU      | $-24131.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EMD Finance LLC                                  | EMD Finance LLC                                                                                                  | CUSIP: 26867LAL4<br>LEI: 529900C8KS5G529A0B76 | Long             | DBT              | CORP              | US        |     900000 | PA      | $871159.97    | 0.28%             | 2025-03-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2475000 | OU      | $24672.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51232 | PA      | $53926.36     | 0.02%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                            | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196817 | PA      | $202473.07    | 0.06%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PTUBSEUCZ2023020724060                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -503000 | OU      | $-6208.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUEUSE2023022211150                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DE        |    -508000 | OU      | $-849.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac Structured Agency Credit Risk Debt Notes                                                             | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105549 | PA      | $106606.19    | 0.03%             | 2050-11-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUUSKR2023022312297                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |   -1097000 | OU      | $-13281.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                 | Deutsche Bank AG                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $523462.88    | 0.17%             | 2027-10-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-5635.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIUSKR2023020812975                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |    2119000 | OU      | $169.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CNH / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $-1682.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SX003066  CDS USD R F  1.00000 2 CCPCDX / Short: SX003066  CDS USD P V 03MEVENT 1 CCPCDX                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   13225000 | OU      | $197014.15    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219274  IRS EUR R F  3.00000 2 CCPVANILLA / Short: SR219274  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     330000 | OU      | $859.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $151424.87    | 0.05%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                      | ONE Gas Inc                                                                                                      | CUSIP: 68235PAL2<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     270000 | PA      | $258811.95    | 0.08%             | 2024-03-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31406ARR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14629 | PA      | $15027.75     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219359  IRS SEK R F  3.00000 2 CCPVANILLA / Short: SR219359  IRS SEK P V 03MSTIBO 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   13060000 | OU      | $13220.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                          | Becton Dickinson and Co                                                                                          | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     431000 | PA      | $422382.29    | 0.13%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $11540.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $3205.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TWD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $4724.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-1371.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | CTJPMEUSE2023020911205                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | DE        |    -500000 | OU      | $-8453.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                                                   | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     350000 | PA      | $328377.02    | 0.10%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUEUSE2023020711147                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-10896.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                                                  | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     115000 | PA      | $113869.30    | 0.04%             | 2026-02-26      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR23                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         16 | NC      | $-4375.01     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-3655.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-2633.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  560150000 | PA      | $4109516.71   | 1.30%             | 2052-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05439A SWAPTION EUR006M                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -1200000 | NC      | $-22591.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219347  IRS CHF R F  1.50000 CCPVANILLA1 / Short: SR219347  IRS CHF P V 12MSARON CCPVANILLA2             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    2050000 | OU      | $-2151.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SS006203  CDS EUR R F  5.00000 2 CCPCORPORATE / Short: SS006203  CDS EUR P V 03MEVENT 1 CCPCORPORATE       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1400000 | OU      | $228250.88    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                             | Japan Government Two Year Bond                                                                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1449300000 | PA      | $11138115.18  | 3.52%             | 2025-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $1219.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1892.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSEUUS2023020910900                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |   -3033000 | OU      | $-18313.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $891.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1350000 | PA      | $1025894.54   | 0.32%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                     | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     325000 | PA      | $261180.52    | 0.08%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1065.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $902.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                            | Venezuela Government International Bond                                                                          | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     230000 | PA      | $21266.67     | 0.01%             | 2028-05-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219277  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR219277  IRS EUR P F  3.00000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6050000 | OU      | $-69263.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1078.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                          | Ireland Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     140000 | PA      | $121432.99    | 0.04%             | 2032-10-18      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $49601.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $474.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-10247.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     237000 | PA      | $214286.20    | 0.07%             | 2027-04-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     660000 | PA      | $674360.43    | 0.21%             | 2032-10-31      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA SPA                               | Telecom Italia SpA/Milano                                                                                        | CUSIP: 000000000<br>LEI: 549300W384M3RI3VXU42 | Long             | DBT              | CORP              | IT        |     150000 | PA      | $159941.55    | 0.05%             | 2024-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $9310.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR217280  IRS BRL R V 01MBRCDI CCPNDFPREDISWAP / Short: BR217280  IRS BRL P F 10.95000 CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |    5150000 | OU      | $39789.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                                                                                         | CUSIP: 135087D35<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1500000 | PA      | $1076859.19   | 0.34%             | 2048-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-366.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    3130000 | PA      | $3550835.86   | 1.12%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3223.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TRY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |          1 | NC      | $185.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank SA                                     | CaixaBank SA                                                                                                     | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $422064.80    | 0.13%             | 2024-05-17      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-836.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                   | ICG US CLO 2017-1 Ltd                                                                                            | CUSIP: 449259AJ9<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2063856.90   | 0.65%             | 2034-07-28      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Strip Coupon                                                                              | CUSIP: 912833Z60<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     350000 | PA      | $198003.90    | 0.06%             | 2038-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $5711.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CNH / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $814.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $8790.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIEUCZ2023022123990                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DE        |    -508000 | OU      | $-999.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                    | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     425000 | PA      | $428363.77    | 0.14%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $733.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND MAR23                                                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         12 | NC      | $-159593.67   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED ILS / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $1566.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3063.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $5296.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | OPS05558A SWAPTION USD OTC                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1740000 | NC      | $-1324.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 3138AVQW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41653 | PA      | $42789.70     | 0.01%             | 2041-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05551A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -1410000 | NC      | $-11194.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                 | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     250000 | PA      | $242761.14    | 0.08%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5829.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                 | Hewlett Packard Enterprise Co                                                                                    | CUSIP: 42824CBG3<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     350000 | PA      | $348646.08    | 0.11%             | 2023-10-02      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1783.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5023.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $3142.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                    | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      50000 | PA      | $40533.75     | 0.01%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                           | Home Equity Loan Trust                                                                                           | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     285271 | PA      | $274691.28    | 0.09%             | 2037-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2022-BNK44                                                                                                  | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $650925.12    | 0.21%             | 2055-11-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                               | Macquarie Bank Ltd                                                                                               | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |     475000 | PA      | $370707.22    | 0.12%             | 2036-03-03      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6988.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-1112.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | CTBOAUSBR2023021651580                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1092000 | OU      | $-10454.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-28.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $512.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-974.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1328.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Trysail CLO Ltd                                  | Trysail CLO 2021-1 Ltd                                                                                           | CUSIP: 89855AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2065037.10   | 0.65%             | 2032-07-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $5674.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     770000 | PA      | $746542.62    | 0.24%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     475000 | PA      | $488536.25    | 0.15%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CNH / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $886.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $3209.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1806.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219374  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR219374  IRS NOK P F  3.50000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27000000 | OU      | $-107839.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $3112.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                         | Sabine Pass Liquefaction LLC                                                                                     | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     650000 | PA      | $655796.59    | 0.21%             | 2025-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $1528.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-8057.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMUSJP2023022312925                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -2176000 | OU      | $-25759.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CNH / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $10025.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $935.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                         | Bellis Acquisition Co PLC                                                                                        | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $101401.87    | 0.03%             | 2026-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $1514.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      10000 | PA      | $6645.75      | 0.00%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                         | Enel SpA                                                                                                         | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     700000 | PA      | $620691.08    | 0.20%             | 2027-06-08      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $240.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                 | Deutsche Bank AG                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $89089.79     | 0.03%             | 2030-11-19      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PTUBSEUCH2023020809870                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DE        |    -504000 | OU      | $-942.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                               | Credit Agricole SA                                                                                               | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     650000 | PA      | $581185.18    | 0.18%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CNH                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $365.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                   | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     275000 | PA      | $309200.67    | 0.10%             | 2028-10-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TRY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |          1 | NC      | $293.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Higher Education Funding                         | Higher Education Funding I                                                                                       | CUSIP: 429827AY4<br>LEI: 635400EWI7RHQRLFJW85 | Long             | ABS-O            | CORP              | US        |     249671 | PA      | $249598.03    | 0.08%             | 2034-05-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-932783.10   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1200000 | PA      | $1256822.30   | 0.40%             | 2025-05-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219325  IRS AUD R F  4.25000 2 CCPVANILLA / Short: SR219325  IRS AUD P V 06MBBSW 1 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3750000 | OU      | $50272.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                    | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     800000 | PA      | $767149.89    | 0.24%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                         | Japan Treasury Discount Bill                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | STIV             | NUSS              | JP        | 1141950000 | PA      | $8774293.48   | 2.77%             | 2023-03-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                            | Japan Government Forty Year Bond                                                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  800000000 | PA      | $4927591.90   | 1.56%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PTUBSUSSG2023021713185                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    -546000 | OU      | $-4178.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                         | Cheniere Energy Partners LP                                                                                      | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     735000 | PA      | $689518.20    | 0.22%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                          | HalseyPoint CLO 3 Ltd                                                                                            | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1225000 | PA      | $1218252.70   | 0.38%             | 2032-11-30      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $181.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NOK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $-5494.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED KRW / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $1057.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-822.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | CTSCBUSKR2023020712940                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |    2134000 | OU      | $200.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | CTBOAUSBR2023022452450                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    2182000 | OU      | $16650.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219313  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR219313  IRS CAD P F  3.50000 2 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2520000 | OU      | $-28511.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25522.46     | 0.01%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $4736.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $5309.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SX003092  CDS USD R F  1.00000 2 CCPCDX / Short: SX003092  CDS USD P V 03MEVENT 1 CCPCDX                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   10025000 | OU      | $127938.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TRY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |          1 | NC      | $114.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1133.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | OPS05599A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | DE        |   -1420000 | NC      | $-23541.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7650000 | PA      | $6712576.19   | 2.12%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 3138EKW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46006 | PA      | $48586.66     | 0.02%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      40000 | PA      | $31190.35     | 0.01%             | 2057-07-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                                                     | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $93753.78     | 0.03%             | 2028-05-26      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219536  IRS BRL R F 12.71300 CCPNDFPREDISWAP / Short: SR219536  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |    4990000 | OU      | $-1050.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-468.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219319  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR219319  IRS AUD P F  4.00000 2 CCPVANILLA            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8840000 | OU      | $-37768.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                          | Bayer US Finance II LLC                                                                                          | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     650000 | PA      | $638802.70    | 0.20%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CTMSIUSCH2023022709300                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |    4359000 | OU      | $14014.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219265  IRS USD R F  3.75000 2 CCPOIS / Short: SR219265  IRS USD P V 00MSOFR 1 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5290000 | OU      | $259725.25    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4621.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | OPS05577A SWAPTION EUR OTC                                                                                       | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |   -1400000 | NC      | $-8995.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                                                              | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     550000 | PA      | $490075.93    | 0.15%             | 2026-12-14      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158359 | PA      | $170905.61    | 0.05%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PTMSINZUS2023020706240                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |   -1690500 | OU      | $-684.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $9174.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | CTCITEUSE2023022411185                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | DE        |    -503000 | OU      | $-10321.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CHF                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4401.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                             | Japan Government Two Year Bond                                                                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1788750000 | PA      | $13749456.75  | 4.34%             | 2024-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2314.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-2111.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust               | Alternative Loan Trust 2005-82                                                                                   | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234063 | PA      | $181098.91    | 0.06%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-333.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR218614  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR218614  IRS EUR P F  2.35000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1070000 | OU      | $19784.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSZA2023022117395                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -2200000 | OU      | $-35635.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3557.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-305.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6523.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $4246.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                          | Imperial Brands Finance PLC                                                                                      | CUSIP: 000000000<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     160000 | PA      | $170997.09    | 0.05%             | 2026-02-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1569.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43790 | PA      | $44502.37     | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1383984.38   | 0.44%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                            | CUSIP: 3128M9D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29225 | PA      | $30066.04     | 0.01%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TECHNIP ENERGIES NV                              | Technip Energies NV                                                                                              | CUSIP: 000000000<br>LEI: 724500FLODI49NSCIP70 | Long             | DBT              | CORP              | NL        |     225000 | PA      | $207570.15    | 0.07%             | 2028-05-28      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Barclays Capital Securities Ltd.                 | PTBARGBUS2023022312180                                                                                           | CUSIP: 000000000<br>LEI: K9WDOH4D2PYBSLSOB484 | N/A              | DFE              |  | GB        |    1762000 | OU      | $12282.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD MXN                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2754.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                | Wellfleet CLO X LTD                                                                                              | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $733685.25    | 0.23%             | 2032-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CHF / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $-3318.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ILS                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2390.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond                                                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     620000 | PA      | $539428.77    | 0.17%             | 2066-06-22      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-959.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ZAR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $9070.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CTUBSUSSE2023022110495                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    2200000 | OU      | $24305.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR219044  IRS GBP R F  4.60500 2 CCPOIS / Short: SR219044  IRS GBP P V 00MSONIA 1 CCPOIS                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2080000 | OU      | $86333.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $534.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2094.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD KRW                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3035.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD ILS                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2836.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUAUNZ2023022210810                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |    -785000 | OU      | $-7585.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     550000 | PA      | $736154.38    | 0.23%             | 2044-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1377.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2019-R02                                                                     | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10082 | PA      | $10081.49     | 0.00%             | 2031-08-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR218384  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR218384  IRS EUR P F  1.56000 2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2840000 | OU      | $35149.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD EUR                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-12123.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1040000 | PA      | $1299521.74   | 0.41%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR218546  IRS EUR R F  2.15200 2 CCPVANILLA / Short: SR218546  IRS EUR P V 06MEURIB 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2980000 | OU      | $-80347.35    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $169.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1164.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-3135.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                                                          | CUSIP: 05583JAF9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1287260.00   | 0.41%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                   | BANK 2021-BNK35                                                                                                  | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $250531.29    | 0.08%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     855000 | PA      | $774569.47    | 0.24%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                     | ING Groep NV                                                                                                     | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     225000 | PA      | $215942.39    | 0.07%             | 2028-03-28      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                                                                                      | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   12610000 | PA      | $12398841.14  | 3.92%             | 2023-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $5588.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PTBNPGBUS2023022412410                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |   -1777000 | OU      | $-30475.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219299  IRS GBP R F  3.25000 2 CCPOIS / Short: SR219299  IRS GBP P V 00MSONIA 1 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-29083.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2018-BNK14                                                                                                  | CUSIP: 06035RAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175000 | PA      | $120805.00    | 0.04%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED TWD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $678.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CNH / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $574.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     350000 | PA      | $292859.16    | 0.09%             | 2028-05-04      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                                                  | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     185000 | PA      | $192607.67    | 0.06%             | 2025-03-26      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1009.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BR219305  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR219305  IRS GBP P F  2.75000 2 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     760000 | OU      | $78602.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $519.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $627.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SGD / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $3221.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SR219362  IRS SEK R F  3.00000 2 CCPVANILLA / Short: SR219362  IRS SEK P V 03MSTIBO 1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6510000 | OU      | $15974.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SEK                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $10465.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2004-10                                                                                   | CUSIP: 81744FEW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13728 | PA      | $11872.80     | 0.00%             | 2034-11-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PTJPMGBUS2023020911950                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |    3536000 | OU      | $2358.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                  | CUSIP: 31405PJC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176962 | PA      | $183767.70    | 0.06%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED SEK / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-325.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BR219304  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR219304  IRS GBP P F  2.75000 2 CCPOIS                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |     490000 | OU      | $47723.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | JPN 10Y BOND(OSE) MAR23                                                                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         23 | NC      | $224100.18    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                  | Venture 39 CLO Ltd                                                                                               | CUSIP: 92332TAB8<br>LEI: 549300VI1BOFEK7C6D74 | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1182967.20   | 0.37%             | 2033-04-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $115587.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUAUUS2023022306860                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |    6273000 | OU      | $19234.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                         | European Investment Bank                                                                                         | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |    1670000 | PA      | $1750762.53   | 0.55%             | 2030-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-15

**Name of Applicant:** SUNAMERICA SERIES TRUST

**Signature:** Shawn Parry

**Name of Signer:** Shawn Parry

**Title:** Assistant Treasurer