# EDGAR Filing Document

**Accession Number:** 0001003239
**File Stem:** 0001410368-26-055884
**Filing Date:** 2026-5
**Character Count:** 105972
**Document Hash:** 3a874ffce52929e01e7520cf19dff1ed
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-055884.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0001410368-26-055884

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEASONS SERIES TRUST
- **CENTRAL INDEX KEY:** 0001003239

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331
- **LEGAL ENTITY IDENTIFIER:** 549300O318N6OBWGKN57

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07725
- **FILM NUMBER:** 261037672

**BUSINESS ADDRESS:**
- **STREET 1:** 5300 MEMORIAL DRIVE
- **STREET 2:** SUITE 1150
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77007
- **BUSINESS PHONE:** 551-235-3560

**MAIL ADDRESS:**
- **STREET 1:** ONE WORLD TRADE CENTER, SUITE J
- **STREET 2:** 49TH FL
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10007

## Series and Classes Contracts Data

### SA American Century Inflation Managed Portfolio (Series ID: S000008041)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000021826 | Class 3      |  |
| C000109742 | CLASS 1      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-07725

- **c. CIK number of Registrant:** 0001003239

- **d. LEI of Registrant:** 549300O318N6OBWGKN57

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

  - **Street Address 1:** 5300 Memorial Drive

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77007

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

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

- **a. Name of Series:** SA American Century Inflation Managed Portfolio

- **b. EDGAR series identifier (if any):** S000008041

- **c. LEI of Series:** HTUFSP9PEUEQNBLPPW58

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $525436182.24

**Total Liabilities:** $7557932.47

**Net Assets:** $517878249.77

**Delayed Delivery Securities:** $5297521.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -426.43000000 | **1-Year:** -10964.30000000 | **5-Year:** -39711.11000000 | **10-Year:** -15042.41000000 | **30-Year:** -1296.75000000

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

- **3-Month:** -65.15000000 | **1-Year:** -2583.11000000 | **5-Year:** -5094.41000000 | **10-Year:** -1350.87000000 | **30-Year:** -698.35000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021826 | 0.47%                | 1.16%                | -1.37%               |
| Class ID C000109742 | 0.57%                | 1.03%                | -1.36%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-924913.89              | $4528765.18                                |
| Month 2  | $-292636.75              | $6968793.60                                |
| Month 3  | $-644002.06              | $-11714994.77                              |

**Designated Index Information**

- **Index Name:** Bloomberg US TIPS Index

- **Index Identifier:** LBUTTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO BANK NV                                | ABN AMRO Bank NV                                                                                                                           | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1249591.25   | 0.24%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                             | Abbott Laboratories                                                                                                                        | CUSIP: 002824BS8<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2091335.90   | 0.40%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                      | AbbVie Inc                                                                                                                                 | CUSIP: 00287YEE5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2246914.83   | 0.43%             | 2031-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                      | Allianz SE                                                                                                                                 | CUSIP: 018820AC4<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $832894.40    | 0.16%             | 2053-09-06      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | Alphabet Inc                                                                                                                               | CUSIP: 02079KBL0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    975000 | PA      | $962856.55    | 0.19%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | Alphabet Inc                                                                                                                               | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    675000 | PA      | $672108.59    | 0.13%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                  | Amazon.com Inc                                                                                                                             | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    635000 | PA      | $628888.39    | 0.12%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                       | Amgen Inc                                                                                                                                  | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2062718.16   | 0.40%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                       | Apple Inc                                                                                                                                  | CUSIP: 037833EZ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276421.94    | 0.05%             | 2030-05-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AUGUSTA SPINCO CORPORATI                        | Augusta SpinCo Corp                                                                                                                        | CUSIP: 051473AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1893426.80   | 0.37%             | 2033-03-23      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC     | BBCMS Mortgage Trust 2024-5C27                                                                                                             | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533000 | PA      | $552919.92    | 0.11%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                      | BFLD Trust 2025-FPM                                                                                                                        | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $2247777.73   | 0.43%             | 2040-10-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                              | BMO 2023-5C2 Mortgage Trust                                                                                                                | CUSIP: 05610QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176000 | PA      | $2270991.10   | 0.44%             | 2056-11-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                       | BPR Commercial Mortgage Trust 2025-STAR                                                                                                    | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521000 | PA      | $1511190.16   | 0.29%             | 2042-11-05      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                          | Bank of New York Mellon Corp/The                                                                                                           | CUSIP: 06406RCG0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1569133.56   | 0.30%             | 2030-01-22      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Bank                                            | BANK 2020-BNK29                                                                                                                            | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6827033 | PA      | $327726.25    | 0.06%             | 2053-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Bank5                                           | BANK5 Trust 2024-5YR6                                                                                                                      | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1133830.10   | 0.22%             | 2057-05-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Bank5                                           | BANK5 2026-5YR21                                                                                                                           | CUSIP: 06644BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2031000 | PA      | $2093130.93   | 0.40%             | 2059-04-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Trust                | Benchmark 2024-V8 Mortgage Trust                                                                                                           | CUSIP: 08190AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1886000 | PA      | $1961172.57   | 0.38%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                        | BMARK 2023-V4                                                                                                                              | CUSIP: 081926AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449000 | PA      | $1521346.54   | 0.29%             | 2056-11-15      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                | Black Hills Corp                                                                                                                           | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   3638000 | PA      | $3598917.40   | 0.69%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                 | Bravo Residential Funding Trust 2025-NQM9                                                                                                  | CUSIP: 10569WAE1<br>LEI: 254900XY2WSFF1Q6S467 | Long             | ABS-MBS          | CORP              | US        |   1667158 | PA      | $1664784.70   | 0.32%             | 2065-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS Health Corp                                                                                                                            | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1343580.79   | 0.26%             | 2030-02-21      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS Health Corp                                                                                                                            | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    805000 | PA      | $814198.00    | 0.16%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1107785.23   | 0.21%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3845000 | PA      | $4246789.89   | 0.82%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust 2024-10                                                                                                  | CUSIP: 16159YAD2<br>LEI: 529900OE9S6KWRJHHJ57 | Long             | ABS-MBS          | CORP              | US        |    698020 | PA      | $700725.95    | 0.14%             | 2055-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust 2025-10                                                                                                  | CUSIP: 16160BAE7<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |   1523911 | PA      | $1525180.25   | 0.29%             | 2056-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAD6<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    639546 | PA      | $639935.10    | 0.12%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAK0<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    114759 | PA      | $114482.71    | 0.02%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust Series 2025-9                                                                                            | CUSIP: 16160UAE5<br>LEI: 529900II236FJ8MBXS58 | Long             | ABS-MBS          | CORP              | US        |   2090171 | PA      | $2091705.63   | 0.40%             | 2056-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust Series 2024-2                                                                                            | CUSIP: 161929BH6<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    417327 | PA      | $418874.14    | 0.08%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | Citigroup Inc                                                                                                                              | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    655000 | PA      | $663605.23    | 0.13%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                     | Citibank NA                                                                                                                                | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   4625000 | PA      | $4639998.83   | 0.90%             | 2027-11-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc               | Citigroup Mortgage Loan Trust 2024-CMI1                                                                                                    | CUSIP: 17332DAL8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1074069 | PA      | $1074835.65   | 0.21%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                             | Consumers Energy Co                                                                                                                        | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   3153000 | PA      | $3156861.20   | 0.61%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                              | Credit Agricole SA                                                                                                                         | CUSIP: 22535WAT4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1333000 | PA      | $1314671.97   | 0.25%             | 2032-01-12      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                            | Cross 2025-H5 Mortgage Trust                                                                                                               | CUSIP: 227920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1873952 | PA      | $1880005.40   | 0.36%             | 2070-07-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                  | CSTL Commercial Mortgage Trust 2026-GATE3                                                                                                  | CUSIP: 228920AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2166000 | PA      | $2133901.61   | 0.41%             | 2043-02-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust         | DBJPM 16-C1 Mortgage Trust                                                                                                                 | CUSIP: 23312LAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2961000 | PA      | $2930554.70   | 0.57%             | 2049-05-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                         | Duke Energy Florida LLC                                                                                                                    | CUSIP: 26444HAT8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    567000 | PA      | $560774.98    | 0.11%             | 2030-12-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | Ellington Financial Mortgage Trust 2017-1                                                                                                  | CUSIP: 26846MAB0<br>LEI: 254900UDLJF220C8I638 | Long             | ABS-MBS          | CORP              | US        |   2334999 | PA      | $2317970.04   | 0.45%             | 2060-12-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2025-CES1                                                                                                                             | CUSIP: 26846VAB0<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-MBS          | CORP              | US        |   1309100 | PA      | $1316479.32   | 0.25%             | 2060-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                               | EOG Resources Inc                                                                                                                          | CUSIP: 26875PBB6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   2782000 | PA      | $2762181.92   | 0.53%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                        | Eagle Funding Luxco Sarl                                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    816000 | PA      | $820284.00    | 0.16%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                         | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | US        |         1 | NC      | $128427.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                              | PURCHASED USD / SOLD GBP                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $90234.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                              | PURCHASED USD / SOLD AUD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $443925.56    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                        | PURCHASED GBP / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-60330.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                        | PURCHASED NZD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $-920.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EATON CORP                                      | Eaton Corp                                                                                                                                 | CUSIP: 278058DX7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1818305.71   | 0.35%             | 2031-03-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX ASIA FIN CORP                           | Equinix Asia Financing Corp Pte Ltd                                                                                                        | CUSIP: 29447KAA3<br>LEI: 2549002E9B0F5FQ3X427 | Long             | DBT              |  | SG        |    975000 | PA      | $954422.93    | 0.18%             | 2031-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                           | Evergy Kansas Central Inc                                                                                                                  | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1024705.80   | 0.20%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | Meta Platforms Inc                                                                                                                         | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1128815.70   | 0.22%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2979111 | PA      | $2837136.16   | 0.55%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DUXJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3362733 | PA      | $3392519.78   | 0.66%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3133C6BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3017587 | PA      | $2991637.27   | 0.58%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                          | Flexential Issuer LLC                                                                                                                      | CUSIP: 33938MAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1292000 | PA      | $1261601.82   | 0.24%             | 2061-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GLOBAL FUNDING                        | Fortitude Global Funding                                                                                                                   | CUSIP: 34967GAA2<br>LEI: 635400TKBOGEHNO5RT68 | Long             | DBT              | CORP              | US        |   1177000 | PA      | $1165052.07   | 0.22%             | 2028-10-06      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                         | GA Global Funding Trust                                                                                                                    | CUSIP: 36143L2Q7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1366523.60   | 0.26%             | 2031-12-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7169877 | PA      | $7130549.85   | 1.38%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5716149 | PA      | $5369563.20   | 1.04%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                            | GCAT 2024-INV3 Trust                                                                                                                       | CUSIP: 36830FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654963 | PA      | $655678.95    | 0.13%             | 2054-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GGP Trust                                       | GGP 2026-TY                                                                                                                                | CUSIP: 373914AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1729000 | PA      | $1696500.16   | 0.33%             | 2043-03-05      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                            | Glencore Funding LLC                                                                                                                       | CUSIP: 378272CD8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1902268.94   | 0.37%             | 2033-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1152414.83   | 0.22%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1132568.24   | 0.22%             | 2032-01-21      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    375000 | PA      | $366627.06    | 0.07%             | 2037-01-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS PRIVATE CR                        | Goldman Sachs Private Credit Corp                                                                                                          | CUSIP: 38152BAJ0<br>LEI: 549300TD27G6372IYJ65 | Long             | DBT              | CORP              | US        |    825000 | PA      | $812411.86    | 0.16%             | 2028-02-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                         | HCA Inc                                                                                                                                    | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2255249.29   | 0.44%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                        | HPS Corporate Lending Fund                                                                                                                 | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    685000 | PA      | $667322.49    | 0.13%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited | HOMES 2025-AFC3 Trust                                                                                                                      | CUSIP: 43762AAC9<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |   1166826 | PA      | $1162756.09   | 0.22%             | 2060-08-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                         | Honeywell Aerospace Inc                                                                                                                    | CUSIP: 43849RAG0<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1289863.90   | 0.25%             | 2036-03-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| InStar Leasing V, LLC                           | Instar Leasing V LLC                                                                                                                       | CUSIP: 45791PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1295000 | PA      | $1294024.35   | 0.25%             | 2056-04-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                      | Intel Corp                                                                                                                                 | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1923265.52   | 0.37%             | 2029-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2024-9                                                                                                            | CUSIP: 46593DAK3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    165072 | PA      | $164649.11    | 0.03%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2025-7MPR                                                                                                  | CUSIP: 46594CAE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1087131 | PA      | $1083708.54   | 0.21%             | 2056-02-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2735000 | PA      | $2786043.36   | 0.54%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1521295.34   | 0.29%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2024-6                                                                                                     | CUSIP: 46657YAF1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     76689 | PA      | $76482.40     | 0.01%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    767476 | PA      | $768226.55    | 0.15%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAK7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    410308 | PA      | $410059.59    | 0.08%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2024-INV1                                                                                                         | CUSIP: 46658PAD4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    792814 | PA      | $795644.87    | 0.15%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2025-NQM3                                                                                                  | CUSIP: 46659QAB5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2286424 | PA      | $2290009.76   | 0.44%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2026-CES1                                                                                                         | CUSIP: 46660BAD1<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-MBS          | CORP              | US        |   2825000 | PA      | $2801090.05   | 0.54%             | 2056-06-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2026-ACES1                                                                                                 | CUSIP: 46664MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2279000 | PA      | $2256063.69   | 0.44%             | 2066-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                         | Jefferies Financial Group Inc                                                                                                              | CUSIP: 47233WLL1<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1079768.36   | 0.21%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                         | Jersey Central Power & Light Co                                                                                                            | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2517000 | PA      | $2480224.62   | 0.48%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                        | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp                                                                         | CUSIP: 505742AR7<br>LEI: N/A                  | Long             | DBT              |  | US        |   1370000 | PA      | $1416204.62   | 0.27%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LOEWS CORP                                      | Loews Corp                                                                                                                                 | CUSIP: 540424AU2<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |    525000 | PA      | $513768.84    | 0.10%             | 2036-04-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                  | Lowe's Cos Inc                                                                                                                             | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1967000 | PA      | $1930485.44   | 0.37%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                     | MetLife Inc                                                                                                                                | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1097615.85   | 0.21%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC              | MetroNet Infrastructure Issuer LLC                                                                                                         | CUSIP: 59170JBK3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   1507259 | PA      | $1507918.88   | 0.29%             | 2056-04-20      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | Morgan Stanley                                                                                                                             | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    330000 | PA      | $319012.63    | 0.06%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                         | Morgan Stanley Private Bank NA                                                                                                             | CUSIP: 61776NU43<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1658039.20   | 0.32%             | 2030-02-08      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust  | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                                                                                   | CUSIP: 617946AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771008 | PA      | $745756.81    | 0.14%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust  | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10                                                                                  | CUSIP: 617955AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3050000 | PA      | $3037014.93   | 0.59%             | 2070-11-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust             | New Residential Mortgage Loan Trust 2025-NQM7                                                                                              | CUSIP: 64831YAB2<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1295835.84   | 0.25%             | 2065-10-26      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| NORTH HAVEN PRIVATE INC                         | North Haven Private Income Fund LLC                                                                                                        | CUSIP: 65960NAC4<br>LEI: 2549002BFPESF1EH2765 | Long             | DBT              | CORP              | US        |   1387000 | PA      | $1350728.19   | 0.26%             | 2028-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                        | OBX 2024-J1 Trust                                                                                                                          | CUSIP: 67119QAE9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    379402 | PA      | $379606.75    | 0.07%             | 2054-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                        | OBX 2025-NQM15 Trust                                                                                                                       | CUSIP: 67122CAB1<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |   1787366 | PA      | $1781858.86   | 0.34%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                        | OBX 2025-NQM16 Trust                                                                                                                       | CUSIP: 67122DAB9<br>LEI: 254900WI6P4MRT24JH23 | Long             | ABS-MBS          | CORP              | US        |   2557071 | PA      | $2540023.61   | 0.49%             | 2065-08-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                         | Oncor Electric Delivery Co LLC                                                                                                             | CUSIP: 68233JCQ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1999489.32   | 0.39%             | 2028-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | Oracle Corp                                                                                                                                | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3385000 | PA      | $3262061.47   | 0.63%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                  | PMT Loan Trust 2025-J2                                                                                                                     | CUSIP: 69392TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2045935 | PA      | $2045037.93   | 0.39%             | 2056-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                  | PMT Loan Trust 2025-J3                                                                                                                     | CUSIP: 69392XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161114 | PA      | $1162125.15   | 0.22%             | 2056-11-27      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                            | Prologis Targeted US Logistics Fund LP                                                                                                     | CUSIP: 74350LAF1<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |   1855000 | PA      | $1803933.13   | 0.35%             | 2033-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                | Provident Funding Mortgage Trust 2024-1                                                                                                    | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1522963 | PA      | $1523876.17   | 0.29%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                     | RCKT Mortgage Trust 2024-CES6                                                                                                              | CUSIP: 749410AB2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |   1378855 | PA      | $1381515.69   | 0.27%             | 2044-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| RNL PH OWNER LLC                                | RNL PH Owner LLC                                                                                                                           | CUSIP: 74983YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1135282 | PA      | $1117456.60   | 0.22%             | 2056-03-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                             | RATE Mortgage Trust 2024-J3                                                                                                                | CUSIP: 75409UAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168302 | PA      | $168152.89    | 0.03%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                            | Royal Bank of Canada                                                                                                                       | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1003000 | PA      | $1000768.54   | 0.19%             | 2031-08-06      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                              | Royalty Pharma PLC                                                                                                                         | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1619000 | PA      | $1597565.10   | 0.31%             | 2031-03-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                         | SCF Equipment Leasing 2024-1 LLC                                                                                                           | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1168639.66   | 0.23%             | 2032-01-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                    | State Street Institutional U.S. Government Money Market Fund                                                                               | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  19743106 | NS      | $19743106.32  | 3.81%             |  |  |  | No            |                  1 | On Loan: No      |
| SVC ABS LLC                                     | SVC ABS LLC                                                                                                                                | CUSIP: 78488JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1160527 | PA      | $1150384.92   | 0.22%             | 2056-03-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                  | Salesforce Inc                                                                                                                             | CUSIP: 79466LAS3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    890000 | PA      | $888739.49    | 0.17%             | 2031-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                  | Salesforce Inc                                                                                                                             | CUSIP: 79466LAT1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    580000 | PA      | $579009.51    | 0.11%             | 2033-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2025-Ces1                                                                                        | CUSIP: 802650AB7<br>LEI: 254900WEZWXJLYHMU869 | Long             | ABS-MBS          | CORP              | US        |   2240543 | PA      | $2230332.89   | 0.43%             | 2055-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-NQM1                                                                                        | CUSIP: 802931AC9<br>LEI: 254900O64LWPVM9P8N80 | Long             | ABS-MBS          | CORP              | US        |   1470485 | PA      | $1460931.31   | 0.28%             | 2065-11-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-CES1                                                                                        | CUSIP: 802932AA1<br>LEI: 25490018SHMEBF8BBD83 | Long             | ABS-MBS          | CORP              | US        |   1966134 | PA      | $1951128.58   | 0.38%             | 2056-01-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-CES1                                                                                        | CUSIP: 802932AB9<br>LEI: 25490018SHMEBF8BBD83 | Long             | ABS-MBS          | CORP              | US        |   3111408 | PA      | $3084118.32   | 0.60%             | 2056-01-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-NQM2                                                                                        | CUSIP: 802933AC5<br>LEI: 254900X3WQ94L5BYAR60 | Long             | ABS-MBS          | CORP              | US        |   1423361 | PA      | $1407740.52   | 0.27%             | 2066-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-NQM2                                                                                        | CUSIP: 802933AG6<br>LEI: 254900X3WQ94L5BYAR60 | Long             | ABS-MBS          | CORP              | US        |   2764266 | PA      | $2734306.77   | 0.53%             | 2066-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                        | Saudi Government International Bond                                                                                                        | CUSIP: 80413TBR9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1350000 | PA      | $1314548.89   | 0.25%             | 2036-01-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                             | Charles Schwab Corp/The                                                                                                                    | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1658638.99   | 0.32%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2025-11                                                                                                             | CUSIP: 816950AE9<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   2142487 | PA      | $2124847.31   | 0.41%             | 2055-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-6                                                                                                              | CUSIP: 81743DAL7<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    171355 | PA      | $171333.71    | 0.03%             | 2054-07-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-9                                                                                                              | CUSIP: 81749PAE0<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    501529 | PA      | $501796.88    | 0.10%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAE8<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    409232 | PA      | $409601.66    | 0.08%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAL2<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    316191 | PA      | $315808.69    | 0.06%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2025-8                                                                                                              | CUSIP: 81749WAD7<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   1176255 | PA      | $1177048.12   | 0.23%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2025-6                                                                                                              | CUSIP: 81749YAE1<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   1124652 | PA      | $1125267.12   | 0.22%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC               | Sierra Timeshare 2022-1 Receivables Funding LLC                                                                                            | CUSIP: 82652TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169343 | PA      | $168074.97    | 0.03%             | 2038-10-20      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                 | Stack Infrastructure Issuer LLC                                                                                                            | CUSIP: 85236KAR3<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |   1768061 | PA      | $1701233.24   | 0.33%             | 2056-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust             | Starwood Mortgage Residential Trust 2020-3                                                                                                 | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213693 | PA      | $209949.12    | 0.04%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                              | Subway Funding LLC                                                                                                                         | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    731738 | PA      | $738094.40    | 0.14%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                          | Switch ABS Issuer LLC                                                                                                                      | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    825000 | PA      | $808697.01    | 0.16%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| TAKEOFF MERGER SUB INC                          | Takeoff Merger Sub Inc                                                                                                                     | CUSIP: 873923AE6<br>LEI: 984500DF5ACB4A114F45 | Long             | DBT              | CORP              | US        |    895000 | PA      | $883807.77    | 0.17%             | 2031-03-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | Targa Resources Corp                                                                                                                       | CUSIP: 87612GAR2<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    186000 | PA      | $185220.94    | 0.04%             | 2029-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                     | Textron Inc                                                                                                                                | CUSIP: 883203CF6<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    809000 | PA      | $786542.01    | 0.15%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                           | Toronto-Dominion Bank/The                                                                                                                  | CUSIP: 89115KAE0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2980000 | PA      | $2963972.49   | 0.57%             | 2028-10-13      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                     | Truist Bank                                                                                                                                | CUSIP: 89788JAJ8<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1293026.11   | 0.25%             | 2029-01-27      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6831230 | PA      | $6609089.95   | 1.28%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8031015 | PA      | $6184523.55   | 1.19%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9661172 | PA      | $7114246.69   | 1.37%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7674755 | PA      | $6338945.78   | 1.22%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15067365 | PA      | $10819149.48  | 2.09%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12421396 | PA      | $9208422.68   | 1.78%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13546498 | PA      | $9604259.96   | 1.85%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7780979 | PA      | $5586722.46   | 1.08%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6765714 | PA      | $4787249.07   | 0.92%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6829465 | PA      | $3863376.07   | 0.75%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1688136 | PA      | $875792.61    | 0.17%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4430943 | PA      | $3395208.88   | 0.66%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    529830 | PA      | $466947.85    | 0.09%             | 2054-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7083780 | PA      | $7031297.69   | 1.36%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4894852 | PA      | $4760142.20   | 0.92%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7800844 | PA      | $7424865.40   | 1.43%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17333276 | PA      | $16193431.94  | 3.13%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26303785 | PA      | $24816020.83  | 4.79%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11092383 | PA      | $10682899.22  | 2.06%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13010342 | PA      | $12717012.94  | 2.46%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1428273 | PA      | $1422168.28   | 0.27%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35673921 | PA      | $35847525.95  | 6.92%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2067100 | PA      | $2099556.69   | 0.41%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    886230 | PA      | $901171.00    | 0.17%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51755102 | PA      | $51500711.18  | 9.94%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9458127 | PA      | $9343928.91   | 1.80%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                | VB-S1 Issuer LLC                                                                                                                           | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2163000 | PA      | $2125244.62   | 0.41%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                         | Verdant Receivables 2024-1 LLC                                                                                                             | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1287150 | PA      | $1307016.95   | 0.25%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                      | Verus Securitization Trust 2025-7                                                                                                          | CUSIP: 924931AB4<br>LEI: 213800OVCAXDOBS94P47 | Long             | ABS-MBS          | CORP              | US        |   2920096 | PA      | $2911985.51   | 0.56%             | 2070-08-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260373.31    | 0.05%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2370376.38   | 0.46%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173965.69    | 0.03%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U4D2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1641000 | PA      | $1626460.44   | 0.31%             | 2030-01-23      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | Western Midstream Operating LP                                                                                                             | CUSIP: 958667AH0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1047000 | PA      | $1035702.39   | 0.20%             | 2031-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                        | Wisconsin Electric Power Co                                                                                                                | CUSIP: 976656CU0<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |   1887000 | PA      | $1861691.93   | 0.36%             | 2030-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ZIONS BANCORP NA                                | Zions Bancorp NA                                                                                                                           | CUSIP: 98971DAE0<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1860999.24   | 0.36%             | 2029-02-09      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL2I4KRY2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL2I4KRY2 IRS USD P F  3.53750 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  50000000 | OU      | $344130.50    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLA128I45 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLA128I45 IRS USD P F  3.04000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $-84377.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL9K100S9 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL9K100S9 IRS USD P F  3.06000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $-69900.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL034HS49 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL034HS49 IRS USD P F  3.44500 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $68790.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLTQ163Z2 IRS USD R V 12MUSCPI SLTQ163Z2_FLO CCPINFLATIONZERO / Short: BLTQ163Z2 IRS USD P F  2.41500 SLTQ163Z2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  12500000 | OU      | $289920.37    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLTQ16424 IRS USD R V 12MUSCPI SLTQ16424_FLO CCPINFLATIONZERO / Short: BLTQ16424 IRS USD P F  2.43750 SLTQ16424_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $196825.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLP4159L2 IRS USD R V 12MUSCPI SLP4159L2_FLO CCPINFLATIONZERO / Short: BLP4159L2 IRS USD P F  2.61900 SLP4159L2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3800000 | OU      | $-1304.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLXA18D20 IRS USD R V 12MUSCPI SLXA18D20_FLO CCPINFLATIONZERO / Short: BLXA18D20 IRS USD P F  2.49500 SLXA18D20_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3000000 | OU      | $17763.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL5I23EV9 IRS USD R V 12MUSCPI SL5I23EV9_FLO CCPINFLATIONZERO / Short: BL5I23EV9 IRS USD P F  2.65000 SL5I23EV9_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5800000 | OU      | $-55339.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL5I23ES6 IRS USD R V 12MUSCPI SL5I23ES6_FLO CCPINFLATIONZERO / Short: BL5I23ES6 IRS USD P F  2.66250 SL5I23ES6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8000000 | OU      | $-4795.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL4H5FHC1 IRS USD R V 12MUSCPI SL4H5FHC1_FLO CCPINFLATIONZERO / Short: BL4H5FHC1 IRS USD P F  2.37000 SL4H5FHC1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  18300000 | OU      | $304060.54    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL4H5FHF4 IRS USD R V 12MUSCPI SL4H5FHF4_FLO CCPINFLATIONZERO / Short: BL4H5FHF4 IRS USD P F  2.48500 SL4H5FHF4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1700000 | OU      | $3830.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL4H5FHI8 IRS USD R V 12MUSCPI SL4H5FHI8_FLO CCPINFLATIONZERO / Short: BL4H5FHI8 IRS USD P F  2.43250 SL4H5FHI8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $44252.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLAP4LE29 IRS USD R V 12MUSCPI BLAP4LE29_FLO CCPINFLATIONZERO / Short: BLAP4LE29 IRS USD P F  2.38900 BLAP4LE29_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  12000000 | OU      | $125284.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLAPEL3X2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLAPEL3X2 IRS USD P F  2.44600 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  12000000 | OU      | $112160.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLO5K2Q60 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLO5K2Q60 IRS USD P F  2.52250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1500000 | OU      | $9143.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLO5K2OI6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLO5K2OI6 IRS USD P F  2.52250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1500000 | OU      | $9143.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLO5SP4A6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLO5SP4A6 IRS USD P F  2.56250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10700000 | OU      | $29271.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLNMIMIQ8 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLNMIMIQ8 IRS USD P F  2.42000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3000000 | OU      | $9646.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL89H3318 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL89H3318 IRS USD P F  2.57500 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2400000 | OU      | $-25738.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL3IBN1P4 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL3IBN1P4 IRS USD P F  2.59900 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4100000 | OU      | $-56945.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLA4E1BY2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLA4E1BY2 IRS USD P F  2.53250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $-1265.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLA4E1C39 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLA4E1C39 IRS USD P F  2.49500 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7000000 | OU      | $-44039.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLHAMUAK9 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLHAMUAK9 IRS USD P F  2.48000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $97845.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLGMO6UI8 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLGMO6UI8 IRS USD P F  2.36725 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $36329.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLFTI0170 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLFTI0170 IRS USD P F  2.39700 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1750000 | OU      | $6987.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLGMOIYQ0 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLGMOIYQ0 IRS USD P F  2.42350 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $19484.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLG9NQUS2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLG9NQUS2 IRS USD P F  2.52850 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2000000 | OU      | $-31.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   5000000 | PA      | $2916488.43   | 0.56%             | 2030-12-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   5400000 | PA      | $3085277.84   | 0.60%             | 2032-11-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                    | New Zealand Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   6350000 | PA      | $3506240.41   | 0.68%             | 2036-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US LONG BOND(CBT) JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -86 | NC      | $261144.19    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                          | US 10YR NOTE (CBT)JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -47 | NC      | $455.23       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                          | US 2YR NOTE (CBT) JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        79 | NC      | $41814.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   6000000 | PA      | $3531413.43   | 0.68%             | 2031-06-21      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   7000000 | PA      | $3946066.59   | 0.76%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-21

**Name of Applicant:** SEASONS SERIES TRUST

**Signature:** Shawn Parry

**Name of Signer:** Shawn Parry

**Title:** Assistant Treasurer