# EDGAR Filing Document

**Accession Number:** 0001003239
**File Stem:** 0001410368-25-030845
**Filing Date:** 2025-11
**Character Count:** 92615
**Document Hash:** a172956740e2ccd3c057bd3899ce49db
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-030845.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001410368-25-030845

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07725
- **FILM NUMBER:** 251519161

**BUSINESS ADDRESS:**
- **STREET 1:** 21650 OXNARD STREET, 10TH FLOOR
- **CITY:** WOODLAND HILLS
- **STATE:** CA
- **ZIP:** 91367
- **BUSINESS PHONE:** 551-235-3560

**MAIL ADDRESS:**
- **STREET 1:** 30 HUDSON STREET
- **STREET 2:** 16TH FLOOR
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07302

## 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:** 21650 Oxnard Street

  - **City:** Woodland Hills

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 91367

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

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

- **a. Name of Series:** SA 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:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $546874385.22

**Total Liabilities:** $7479919.92

**Net Assets:** $539394465.30

**Delayed Delivery Securities:** $4638533.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -478.97000000 | **1-Year:** -10174.61000000 | **5-Year:** -26077.00000000 | **10-Year:** -4884.88000000 | **30-Year:** -259.67000000

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

- **3-Month:** -78.94000000 | **1-Year:** -210.55000000 | **5-Year:** -18.20000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000109742 | 0.11%                | 1.58%                | 0.55%                |
| Class ID C000021826 | 0.11%                | 1.48%                | 0.56%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-465022.84              | $-1495517.83                               |
| Month 2  | $-1265056.03             | $6624357.71                                |
| Month 3  | $-542712.37              | $2391376.07                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CVS HEALTH CORP                               | CVS Health Corp                                                                                                                            | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1358236.02   | 0.25%             | 2030-02-21      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MARS INC                                      | Mars Inc                                                                                                                                   | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1855177.80   | 0.34%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                             | Cedar Funding VIII Clo Ltd                                                                                                                 | CUSIP: 15032EAY5<br>LEI: 549300PTCF9P2JDL1E69 | Long             | ABS-CBDO         | CORP              | KY        |   2225000 | PA      | $2225028.93   | 0.41%             | 2038-01-17      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                  | Synopsys Inc                                                                                                                               | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    790000 | PA      | $804670.98    | 0.15%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6202445 | PA      | $3358200.66   | 0.62%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                      | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1109155.67   | 0.21%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720649 | PA      | $723496.46    | 0.13%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                      | OBX 2024-J1 Trust                                                                                                                          | CUSIP: 67119QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772544 | PA      | $774989.25    | 0.14%             | 2054-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Federal National Mortgage Association                                                                                                      | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   4974000 | PA      | $5621930.25   | 1.04%             | 2030-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6783682 | PA      | $4008630.18   | 0.74%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                         | US Bank NA/Cincinnati OH                                                                                                                   | CUSIP: 90331HPP2<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1384468.04   | 0.26%             | 2027-10-22      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19446709 | PA      | $18158919.30  | 3.37%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                            | Roche Holdings Inc                                                                                                                         | CUSIP: 771196BV3<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1782089.18   | 0.33%             | 2027-03-10      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                            | Subway Funding LLC                                                                                                                         | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735442 | PA      | $754359.77    | 0.14%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                       | United Kingdom Inflation-Linked Gilt                                                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   4089072 | PA      | $5433879.82   | 1.01%             | 2026-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $178406.69    | 0.03%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                            | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $27881.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                         | BANK5 2024-5YR7                                                                                                                            | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2032000 | PA      | $2120737.85   | 0.39%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                            | Royalty Pharma PLC                                                                                                                         | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1864000 | PA      | $1848464.31   | 0.34%             | 2031-03-25      | Fixed         | 4.45%                 | 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      | $17851.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $-1216.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21973764 | PA      | $21314202.58  | 3.95%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                  | New Zealand Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |  10300000 | PA      | $5349074.10   | 0.99%             | 2032-05-15      | Fixed         | 2.00%                 | 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        |   1996864 | PA      | $2003770.61   | 0.37%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                    | AbbVie Inc                                                                                                                                 | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1166453.40   | 0.22%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1930772 | PA      | $1958342.96   | 0.36%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                      | HPS Corporate Lending Fund                                                                                                                 | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    590000 | PA      | $586962.49    | 0.11%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                       | Canada Government Bonds                                                                                                                    | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |  10720000 | PA      | $7107459.37   | 1.32%             | 2031-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1418688 | PA      | $1425293.55   | 0.26%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                  | Synopsys Inc                                                                                                                               | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    795000 | PA      | $803897.94    | 0.15%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2024-11                                                                                                           | CUSIP: 46659AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945037 | PA      | $1971295.92   | 0.37%             | 2055-04-25      | Variable      | 6.00%                 | 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      | $143153.76    | 0.03%             |  |  |  | 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        |   1900000 | PA      | $1914114.72   | 0.35%             | 2056-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust Series 2024-6                                                                                                     | CUSIP: 46657YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569436 | PA      | $572459.37    | 0.11%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                                                                             | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    676000 | PA      | $689502.19    | 0.13%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                       | Canada Government Bonds                                                                                                                    | CUSIP: 135087T38<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   5970000 | PA      | $4291690.88   | 0.80%             | 2030-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                      | Long: BL2I4KS13 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL2I4KS13 IRS USD P F  3.54000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  50000000 | OU      | $332088.00    | 0.06%             |  |  |  | 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        |   2685837 | PA      | $2702250.25   | 0.50%             | 2056-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12210907 | PA      | $11834214.44  | 2.19%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                       | Jersey Central Power & Light Co                                                                                                            | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1492000 | PA      | $1486734.06   | 0.28%             | 2031-01-15      | Fixed         | 4.40%                 | 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      | $70144.60     | 0.01%             |  |  |  | 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      | $560798.93    | 0.10%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                  | New Zealand Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |  10300000 | PA      | $5339907.25   | 0.99%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2024-INV1                                                                                                         | CUSIP: 46658PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136258 | PA      | $1152302.51   | 0.21%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                           | Highwoods Realty LP                                                                                                                        | CUSIP: 431282AP7<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              |  | US        |   1410000 | PA      | $1395773.73   | 0.26%             | 2027-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                       | GA Global Funding Trust                                                                                                                    | CUSIP: 36143L2N4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1397824.83   | 0.26%             | 2027-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                      | Wisconsin Electric Power Co                                                                                                                | CUSIP: 976656CU0<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |   1112000 | PA      | $1107303.12   | 0.21%             | 2030-10-15      | Fixed         | 4.15%                 | 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      | $63231.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                            | F&G Global Funding                                                                                                                         | CUSIP: 30321L2K7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1262000 | PA      | $1266467.88   | 0.23%             | 2028-09-08      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                    | Intel Corp                                                                                                                                 | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $993625.17    | 0.18%             | 2029-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                       | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | CA        |         1 | NC      | $-2301.54     | -0.00%            |  |  |  | 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      | $1992371.53   | 0.37%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $123814.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                     | Apple Inc                                                                                                                                  | CUSIP: 037833EZ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1490904.63   | 0.28%             | 2030-05-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4401216 | PA      | $3520888.12   | 0.65%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                       | Canada Government Bonds                                                                                                                    | CUSIP: 135087M27<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |  11950000 | PA      | $7994487.32   | 1.48%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2024-9                                                                                                            | CUSIP: 46593DAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897657 | PA      | $898358.33    | 0.17%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3141124 | PA      | $2985440.73   | 0.55%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                            | Realty Income Corp                                                                                                                         | CUSIP: 756109CW2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    790000 | PA      | $786084.22    | 0.15%             | 2029-02-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1538615.04   | 0.29%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                       | Nationwide Building Society                                                                                                                | CUSIP: 63861VAP2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1415000 | PA      | $1409693.34   | 0.26%             | 2030-09-30      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2325749 | PA      | $2349270.96   | 0.44%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                              | Black Hills Corp                                                                                                                           | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   2088000 | PA      | $2087900.72   | 0.39%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14966229 | PA      | $11151683.47  | 2.07%             | 2045-02-15      | Fixed         | 0.75%                 | 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      | $338916.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DUXJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3745428 | PA      | $3786955.86   | 0.70%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12317002 | PA      | $12300060.70  | 2.28%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                         | Truist Financial Corp                                                                                                                      | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $2127890.26   | 0.39%             | 2033-10-28      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $33904.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QRD75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473246 | PA      | $2543808.29   | 0.47%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                           | Sprint Capital Corp                                                                                                                        | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1376829.81   | 0.26%             | 2028-11-15      | Fixed         | 6.88%                 | 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      | $829165.10    | 0.15%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1624073.14   | 0.30%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    601828 | PA      | $628806.44    | 0.12%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                   | Citibank NA                                                                                                                                | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2317916.82   | 0.43%             | 2027-11-19      | Fixed         | 4.88%                 | 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      | $28542.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC               | Cologix Data Centers US Issuer LLC                                                                                                         | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2175000 | PA      | $2122664.28   | 0.39%             | 2051-12-26      | Fixed         | 3.30%                 | 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        |    330855 | PA      | $322645.12    | 0.06%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6266220 | PA      | $6467895.35   | 1.20%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890894 | PA      | $892640.95    | 0.17%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                               | CVS Health Corp                                                                                                                            | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    805000 | PA      | $823632.43    | 0.15%             | 2033-02-21      | Fixed         | 5.25%                 | 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      | $228617.90    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation            | Chase Home Lending Mortgage Trust Series 2024-2                                                                                            | CUSIP: 161929BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518214 | PA      | $524036.07    | 0.10%             | 2055-02-25      | Variable      | 6.00%                 | 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      | $-11210.24    | -0.00%            |  |  |  | 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        |  34216652 | NS      | $34216651.51  | 6.34%             |  |  |  | No            |                  1 | 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      | $62875.66     | 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      | $153371.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                          | Atlas Warehouse Lending Co LP                                                                                                              | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1089899.44   | 0.20%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2024-11                                                                                                           | CUSIP: 46659AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    784179 | PA      | $790661.95    | 0.15%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9596355 | PA      | $7283109.60   | 1.35%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                     | Stonepeak 2021-1 ABS                                                                                                                       | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    598117 | PA      | $577889.73    | 0.11%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12338046 | PA      | $9507403.99   | 1.76%             | 2046-02-15      | Fixed         | 1.00%                 | 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      | $296482.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                          | M&T Bank Corp                                                                                                                              | CUSIP: 55261FAH7<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     59000 | PA      | $58741.89     | 0.01%             | 2026-11-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| University of California                      | UNIV OF CALIFORNIA CA REVENUES                                                                                                             | CUSIP: 91412HGF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1570000 | PA      | $1512359.02   | 0.28%             | 2027-05-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                           | RATE Mortgage Trust 2024-J3                                                                                                                | CUSIP: 75409UAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458482 | PA      | $459344.99    | 0.09%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | PA      | $264790.63    | 0.05%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                       | Oncor Electric Delivery Co LLC                                                                                                             | CUSIP: 68233JCQ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   2175000 | PA      | $2188587.70   | 0.41%             | 2028-05-15      | Fixed         | 4.30%                 | 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      | $-1642.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $-2446.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7977112 | PA      | $6321577.27   | 1.17%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    569000 | PA      | $573861.58    | 0.11%             | 2028-10-22      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244750 | PA      | $1249439.25   | 0.23%             | 2055-03-25      | Variable      | 5.50%                 | 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        |   1242685 | PA      | $1258480.94   | 0.23%             | 2055-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1044517.60   | 0.19%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                    | BFLD Trust 2025-FPM                                                                                                                        | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $2256400.38   | 0.42%             | 2030-10-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33426891 | PA      | $33911974.59  | 6.29%             | 2034-07-15      | Fixed         | 1.88%                 | 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      | $46292.00     | 0.01%             |  |  |  | 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      | $-15765.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $-2683.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7602672 | PA      | $7579552.20   | 1.41%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                         | Athene Global Funding                                                                                                                      | CUSIP: 04685A3X7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1056000 | PA      | $1075761.40   | 0.20%             | 2027-07-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                            | Elmwood CLO 39 Ltd                                                                                                                         | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2775000 | PA      | $2775111.00   | 0.51%             | 2038-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                     | Amgen Inc                                                                                                                                  | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1149783.31   | 0.21%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                         | Palmer Square CLO 2024-4 Ltd                                                                                                               | CUSIP: 69703WAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    775000 | PA      | $776018.35    | 0.14%             | 2038-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                            | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $164716.79    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                    | U.K. Gilts                                                                                                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |  10750000 | PA      | $14593375.48  | 2.71%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3133C6BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3202086 | PA      | $3182916.23   | 0.59%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                          | Royal Bank of Canada                                                                                                                       | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    553000 | PA      | $560239.39    | 0.10%             | 2031-08-06      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13455601 | PA      | $9928830.93   | 1.84%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                     | Towd Point Mortgage Trust 2024-CES3                                                                                                        | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645356 | PA      | $653473.27    | 0.12%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                           | Charles Schwab Corp/The                                                                                                                    | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1651214.17   | 0.31%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                          | BANK 2020-BNK29                                                                                                                            | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6867099 | PA      | $365125.02    | 0.07%             | 2053-11-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                | PMT Loan Trust 2025-J2                                                                                                                     | CUSIP: 69392TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3036849 | PA      | $3056333.83   | 0.57%             | 2056-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                             | Hyatt Hotels Corp                                                                                                                          | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    262000 | PA      | $273245.02    | 0.05%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    880287 | PA      | $906208.55    | 0.17%             | 2035-01-15      | Fixed         | 2.13%                 | 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      | $2908707.26   | 0.54%             | 2049-05-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8003934 | PA      | $7515129.51   | 1.39%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                        | American International Group Inc                                                                                                           | CUSIP: 026874DS3<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1903141.29   | 0.35%             | 2033-03-27      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2024-9                                                                                                              | CUSIP: 81749PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010596 | PA      | $1014645.33   | 0.19%             | 2054-10-25      | Variable      | 5.50%                 | 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      | $27222.00     | 0.01%             |  |  |  | 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      | $13208.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                   | Oracle Corp                                                                                                                                | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1359332.73   | 0.25%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                        | US 10YR NOTE (CBT)DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        23 | NC      | $-19794.85    | -0.00%            |  |  |  | No            |                  1 | 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      | $1181053.34   | 0.22%             | 2032-01-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2772100 | PA      | $2369142.94   | 0.44%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29728458 | PA      | $29268801.83  | 5.43%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1482000 | PA      | $1563917.28   | 0.29%             | 2029-10-23      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                   | RCKT Mortgage Trust 2024-CES3                                                                                                              | CUSIP: 74942AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475783 | PA      | $483495.99    | 0.09%             | 2044-05-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC               | Aligned Data Centers Issuer LLC                                                                                                            | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1364321.00   | 0.25%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823149 | PA      | $824188.53    | 0.15%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11833710 | PA      | $11743016.56  | 2.18%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                          | Cross 2025-H5 Mortgage Trust                                                                                                               | CUSIP: 227920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2077308 | PA      | $2093107.69   | 0.39%             | 2070-07-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                        | Rockford Tower CLO 2017-2 Ltd                                                                                                              | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   3053000 | PA      | $3053986.12   | 0.57%             | 2029-10-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7728764 | PA      | $5787282.33   | 1.07%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                 | Citigroup Inc                                                                                                                              | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    655000 | PA      | $679334.13    | 0.13%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                           | American Express Co                                                                                                                        | CUSIP: 025816EJ4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1383112.38   | 0.26%             | 2029-07-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust Series 2025-7MPR                                                                                                  | CUSIP: 46594CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1441509 | PA      | $1442424.83   | 0.27%             | 2056-02-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                         | Athene Global Funding                                                                                                                      | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1378887.07   | 0.26%             | 2026-08-27      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                         | Evergy Kansas Central Inc                                                                                                                  | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1336122.27   | 0.25%             | 2028-03-13      | Fixed         | 4.70%                 | 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      | $26452.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                       | Dell International LLC / EMC Corp                                                                                                          | CUSIP: 24703DBR1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    865000 | PA      | $862930.02    | 0.16%             | 2029-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5835054 | PA      | $5488389.14   | 1.02%             | 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        |    872309 | PA      | $878649.36    | 0.16%             | 2054-09-25      | 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        |    216407 | PA      | $213668.73    | 0.04%             | 2038-10-20      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                       | Verdant Receivables 2024-1 LLC                                                                                                             | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1611187 | PA      | $1641593.40   | 0.30%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19345320 | PA      | $18308062.25  | 3.39%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2024-6                                                                                                              | CUSIP: 81743DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439974 | PA      | $443084.58    | 0.08%             | 2054-07-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                       | HCA Inc                                                                                                                                    | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1352472.22   | 0.25%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                           | Consumers Energy Co                                                                                                                        | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   1853000 | PA      | $1871933.34   | 0.35%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6720327 | PA      | $4954943.14   | 0.92%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                         | BANK5 Trust 2024-5YR6                                                                                                                      | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1151249.17   | 0.21%             | 2057-05-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                | Lowe's Cos Inc                                                                                                                             | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1842994.98   | 0.34%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                      | Eagle Funding Luxco Sarl                                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    816000 | PA      | $827880.96    | 0.15%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation            | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336781 | PA      | $1343065.29   | 0.25%             | 2055-09-25      | Variable      | 5.50%                 | 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      | $-4697.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation            | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526050 | PA      | $527118.12    | 0.10%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                      | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp                                                                         | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              |  | US        |   1620000 | PA      | $1605692.69   | 0.30%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7842671 | PA      | $7220761.76   | 1.34%             | 2032-01-15      | Fixed         | 0.13%                 | 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      | $13208.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                           | Charles Schwab Corp/The                                                                                                                    | CUSIP: 808513CB9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1089869.93   | 0.20%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2053240 | PA      | $2093852.27   | 0.39%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    710000 | PA      | $731534.58    | 0.14%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                                            | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2899000 | PA      | $2653093.48   | 0.49%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5193060 | PA      | $4927471.61   | 0.91%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2025-8                                                                                                              | CUSIP: 81749WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1602797 | PA      | $1613678.40   | 0.30%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10160802 | PA      | $10243065.89  | 1.90%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED USD / SOLD GBP                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $153783.86    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15308028 | PA      | $14553689.56  | 2.70%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| NORTH HAVEN PRIVATE INC                       | North Haven Private Income Fund LLC                                                                                                        | CUSIP: 65960NAC4<br>LEI: 2549002BFPESF1EH2765 | Long             | DBT              | CORP              | US        |    965000 | PA      | $960014.48    | 0.18%             | 2028-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DSBD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2234559 | PA      | $2296750.56   | 0.43%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                      | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $4353.29      | 0.00%             |  |  |  | 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        |   1953197 | PA      | $1963151.78   | 0.36%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                            | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |         1 | NC      | $-576.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORTITUDE GLOBAL FUNDING                      | Fortitude Global Funding                                                                                                                   | CUSIP: 34967GAA2<br>LEI: 635400TKBOGEHNO5RT68 | Long             | DBT              | CORP              | US        |    902000 | PA      | $902569.67    | 0.17%             | 2028-10-06      | Fixed         | 4.63%                 | 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      | $336761.17    | 0.06%             |  |  |  | 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      | $39688.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                      | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1832207.95   | 0.34%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-17

**Name of Applicant:** SEASONS SERIES TRUST

**Signature:** Donna McManus

**Name of Signer:** Donna McManus

**Title:** Assistant Treasurer