# EDGAR Filing Document

**Accession Number:** 0000719423
**File Stem:** 0001752724-23-015147
**Filing Date:** 2023-1
**Character Count:** 73675
**Document Hash:** 00c749f7a7f3a14a170e56b5b64ce957
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-015147.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-015147

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VALIC Co I
- **CENTRAL INDEX KEY:** 0000719423
- **IRS NUMBER:** 720029692
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03738
- **FILM NUMBER:** 23558190

**BUSINESS ADDRESS:**
- **STREET 1:** HARBORSIDE 5
- **STREET 2:** 185 HUDSON STREET, SUITE 3300
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07311
- **BUSINESS PHONE:** 201-324-6378

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIG Retirement CO I
- **DATE OF NAME CHANGE:** 20080501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VALIC CO I
- **DATE OF NAME CHANGE:** 20020110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NORTH AMERICAN FUNDS VARIABLE PRODUCT SERIES CO I
- **DATE OF NAME CHANGE:** 20000929

## Series and Classes Contracts Data

### Inflation Protected Fund (Series ID: S000008017)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000021786 | Inflation Protected Fund | VCTPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VALIC Co I

- **b. Investment Company Act file number:** 811-03738

- **c. CIK number of Registrant:** 0000719423

- **d. LEI of Registrant:** 549300N3XZ1M1QABFI47

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

  - **Street Address 1:** 2929 ALLEN PARKWAY

  - **City:** HOUSTON

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77019

  - **Telephone number:** 800-448-2542

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

- **a. Name of Series:** Inflation Protected Fund

- **b. EDGAR series identifier (if any):** S000008017

- **c. LEI of Series:** 549300CUFR3ZO1RZIT41

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $868740093.15

**Total Liabilities:** $69021417.63

**Net Assets:** $799718675.52

**Delayed Delivery Securities:** $40791396.49

**Cash Not Reported:** $214315.18

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -120.44000000 | **1-Year:** -5984.42000000 | **5-Year:** -27879.44000000 | **10-Year:** -67527.33000000 | **30-Year:** -16211.41000000

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

- **3-Month:** -68.60000000 | **1-Year:** -1182.12000000 | **5-Year:** -1620.60000000 | **10-Year:** -906.85000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021786 | -6.22%               | 1.37%                | 2.12%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5789164.74             | $-63001464.87                              |
| Month 2  | $-8485103.64             | $21436122.98                               |
| Month 3  | $-489831.77              | $28701780.25                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclay 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| BENCHMARK Mortgage Trust                        | Benchmark 2020-B22 Mortgage Trust                                                                                            | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3884621 | PA      | $341805.08    | 0.04%             | 2054-01-15      | Variable      | 1.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8410783 | PA      | $8503432.59   | 1.06%             | 2027-10-15      | Fixed         | 1.63%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                 | BRAVO Residential Funding Trust 2021-NQM1                                                                                    | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308520 | PA      | $256161.91    | 0.03%             | 2049-02-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| ONTARIO (PROVINCE OF)                           | Province of Ontario Canada                                                                                                   | CUSIP: 683234XU7<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |  50574365 | PA      | $36556864.72  | 4.57%             | 2036-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs International                     | PURCHASED USD / SOLD EUR                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-104183.90   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| NEW ZEALAND GVT ILB                             | New Zealand Government Inflation Linked Bond                                                                                 | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |  41000000 | PA      | $31731954.40  | 3.97%             | 2025-09-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| PETROLEOS MEXICANOS                             | Petroleos Mexicanos                                                                                                          | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1500000 | PA      | $1230848.42   | 0.15%             | 2030-01-23      | Fixed         | 6.84%                 | No            | 2                  | On Loan: No      |
| ESC LEHMAN BRTH HLDH PROD                       | ESC LEHMAN BRTH HLDH PROD                                                                                                    | CUSIP: 525ESC5W5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $2100.00      | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42556587 | PA      | $30363681.63  | 3.80%             | 2050-02-15      | Fixed         | 0.25%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs International                     | PURCHASED NZD / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |         1 | NC      | $88978.70     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41248042 | PA      | $37246230.43  | 4.66%             | 2031-07-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| MEXICAN UDIBONOS                                | Mexican Udibonos                                                                                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        | 198355524 | PA      | $8981462.89   | 1.12%             | 2031-11-27      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs International                     | PURCHASED USD / SOLD CAD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-30529.81    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11602600 | PA      | $10780446.96  | 1.35%             | 2029-07-15      | Fixed         | 0.25%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                               | EURO-BUXL 30Y BND DEC22                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -48 | NC      | $-288415.54   | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| Starwood Mortgage Residential Trust             | Starwood Mortgage Residential Trust 2021-2                                                                                   | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247573 | PA      | $228090.72    | 0.03%             | 2065-05-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-NQM4                                                                                                               | CUSIP: 12659PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032491 | PA      | $837898.45    | 0.10%             | 2066-05-25      | Variable      | 1.10%                 | No            | 2                  | On Loan: No      |
| Hostess Brands, LLC                             | Hostess Brands, LLC 2019 Term Loan                                                                                           | CUSIP: 44108HAJ0<br>LEI: 549300SW7FLS4O41LD19 | Long             | LON              | CORP              | US        |         0 | PA      | $0.01         | 0.00%             | 2025-08-03      | Floating      | 6.66%                 | No            | 2                  | On Loan: No      |
| Deutsche Bank AG                                | PURCHASED CAD / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CA        |         1 | NC      | $60978.39     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| NMLT Trust                                      | NMLT 2021-INV1 Trust                                                                                                         | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304564 | PA      | $1040468.02   | 0.13%             | 2056-05-25      | Variable      | 1.19%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                               | EURO-BTP FUTURE DEC22                                                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -180 | NC      | $-400173.36   | -0.05%            |  |  |  | No            | 1                  | On Loan: No      |
| BUONI POLIENNALI DEL TES                        | Italy Buoni Poliennali Del Tesoro                                                                                            | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |  34827492 | PA      | $36031289.33  | 4.51%             | 2026-05-21      | Fixed         | 0.55%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                                                                        | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21350000 | PA      | $20777886.61  | 2.60%             | 2053-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                                                                           | CUSIP: 31397KC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191484 | PA      | $190383.57    | 0.02%             | 2037-08-15      | Floating      | 4.57%                 | No            | 2                  | On Loan: No      |
| SG Capital Partners                             | SG Residential Mortgage Trust 2021-1                                                                                         | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1092787 | PA      | $888780.97    | 0.11%             | 2061-07-25      | Variable      | 1.16%                 | No            | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                | Bain Capital Credit CLO 2017-2 Ltd                                                                                           | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1940000 | PA      | $1881763.14   | 0.24%             | 2034-07-25      | Floating      | 5.54%                 | No            | 2                  | On Loan: No      |
| Navient Student Loan Trust                      | Navient Private Education Refi Loan Trust 2021-E                                                                             | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537925 | PA      | $444394.03    | 0.06%             | 2069-12-16      | Fixed         | 0.97%                 | No            | 2                  | On Loan: No      |
| State Street Global Advisors                    | State Street Navigator Securities Lending Government Money Market Portfolio                                                  | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |    267750 | NS      | $267750.00    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Wingstop Funding LLC                            | Wingstop Funding LLC                                                                                                         | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312638 | PA      | $266090.15    | 0.03%             | 2050-12-05      | Fixed         | 2.84%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                          | US ULTRA BOND CBT MAR23                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        73 | NC      | $69232.47     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                                                                           | CUSIP: 3137AFGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167503 | PA      | $166699.09    | 0.02%             | 2041-01-15      | Floating      | 4.32%                 | No            | 2                  | On Loan: No      |
| NOTA DO TESOURO NACIONAL                        | Brazil Notas do Tesouro Nacional Serie B                                                                                     | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  11416000 | PA      | $8769985.38   | 1.10%             | 2027-05-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Mercury Financial Credit Card Master Trust      | Mercury Financial Credit Card Master Trust                                                                                   | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770000 | PA      | $730317.90    | 0.09%             | 2026-03-20      | Fixed         | 1.54%                 | No            | 2                  | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal      | CAN 10YR BOND FUT MAR23                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |      -521 | NC      | $-104332.23   | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| CAMB Commercial Mortgage Trust                  | CAMB Commercial Mortgage Trust 2019-LIFE                                                                                     | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $734004.15    | 0.09%             | 2037-12-15      | Floating      | 4.94%                 | No            | 2                  | On Loan: No      |
| NBM US Holdings Inc                             | NBM US Holdings Inc                                                                                                          | CUSIP: 000000000<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1579804.26   | 0.20%             | 2026-05-14      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgage Trust           | PRPM 2021-5 LLC                                                                                                              | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819450 | PA      | $739825.99    | 0.09%             | 2026-06-25      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                        | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                                | CUSIP: 709599BH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1179937.74   | 0.15%             | 2029-11-01      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                                                                            | CUSIP: 3136A8GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225919 | PA      | $220272.06    | 0.03%             | 2042-09-25      | Floating      | 4.42%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23708906 | PA      | $22478079.96  | 2.81%             | 2026-04-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| Sound Point CLO LTD                             | Sound Point CLO XXIX Ltd                                                                                                     | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1960000 | PA      | $1882934.76   | 0.24%             | 2034-04-25      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| ASX Clear (Futures)                             | AUST 10Y BOND FUT DEC22                                                                                                      | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       203 | NC      | $150383.26    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32186815 | PA      | $26909518.56  | 3.36%             | 2045-02-15      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| WENDYS FUNDING LLC                              | Wendy's Funding LLC                                                                                                          | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1713312 | PA      | $1376524.95   | 0.17%             | 2051-06-15      | Fixed         | 2.37%                 | No            | 2                  | On Loan: No      |
| VCAT Asset Securitization, LLC                  | VCAT 2021-NPL2 LLC                                                                                                           | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182992 | PA      | $165422.54    | 0.02%             | 2051-03-27      | Variable      | 2.12%                 | No            | 2                  | On Loan: No      |
| Commonwealth of Massachusetts                   | MASSACHUSETTS ST                                                                                                             | CUSIP: 57582RYN0<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |   2077302 | PA      | $1621146.40   | 0.20%             | 2039-09-01      | Fixed         | 2.66%                 | No            | 2                  | On Loan: No      |
| Deutsche Bank AG                                | PURCHASED USD / SOLD EUR                                                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-1746174.37  | -0.22%            |  |  |  | No            | 2                  | On Loan: No      |
| Toorak Mortgage Corp.                           | Toorak Mortgage Corp 2021-1 Ltd                                                                                              | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $911227.12    | 0.11%             | 2024-06-25      | Variable      | 2.24%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    541476 | PA      | $372173.27    | 0.05%             | 2051-02-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                                                                     | CUSIP: 38376WKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152295 | PA      | $151778.05    | 0.02%             | 2040-02-16      | Floating      | 4.44%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23623153 | PA      | $22821873.09  | 2.85%             | 2028-07-15      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                          | US 10YR NOTE (CBT)MAR23                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        31 | NC      | $27189.52     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Westlake Automobile Receivables Trust           | Westlake Automobile Receivables Trust 2020-3                                                                                 | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $728404.56    | 0.09%             | 2026-02-17      | Fixed         | 1.65%                 | No            | 2                  | On Loan: No      |
| Hess Corp                                       | Hess Corp                                                                                                                    | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1483377.12   | 0.19%             | 2029-10-01      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| UBS AG                                          | PURCHASED USD / SOLD AUD                                                                                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-644809.30   | -0.08%            |  |  |  | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgage Trust           | PRPM 2021-3 LLC                                                                                                              | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605273 | PA      | $535841.29    | 0.07%             | 2026-04-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-C                                                                                              | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387796 | PA      | $356619.92    | 0.04%             | 2061-01-25      | Variable      | 2.12%                 | No            | 2                  | On Loan: No      |
| Harriman Park CLO                               | Harriman Park CLO LTD                                                                                                        | CUSIP: 413717AN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2515000 | PA      | $2449428.92   | 0.31%             | 2034-04-20      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | Pretium Mortgage Credit Partners LLC                                                                                         | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295579 | PA      | $1157830.55   | 0.14%             | 2061-02-25      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgage Trust           | PRPM 2021-9 LLC                                                                                                              | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1537361 | PA      | $1369913.75   | 0.17%             | 2026-10-25      | Variable      | 2.36%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-RPL2Trust                                                                                                          | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376575 | PA      | $241597.94    | 0.03%             | 2060-01-25      | Variable      | 3.51%                 | No            | 2                  | On Loan: No      |
| NEW ZEALAND GVT ILB                             | New Zealand Government Inflation Linked Bond                                                                                 | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |  15000000 | PA      | $11450548.36  | 1.43%             | 2040-09-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25798237 | PA      | $21371890.91  | 2.67%             | 2043-02-15      | Fixed         | 0.63%                 | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                                 | Venture 37 CLO Ltd                                                                                                           | CUSIP: 92333BAQ3<br>LEI: 549300IW5Q3C6JHMIU22 | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $1981525.44   | 0.25%             | 2032-07-15      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                          | Credit Suisse Group AG                                                                                                       | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2215000 | PA      | $2009334.17   | 0.25%             | 2028-08-11      | Fixed         | 6.44%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11159809 | PA      | $9815836.29   | 1.23%             | 2046-02-15      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| 510 Assets Backed Trust                         | 510 Asset Backed 2021-NPL1 Trust                                                                                             | CUSIP: 33835CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285918 | PA      | $1186384.99   | 0.15%             | 2061-06-25      | Variable      | 2.24%                 | No            | 2                  | On Loan: No      |
| Battery Park CLO Ltd                            | Battery Park CLO II Ltd                                                                                                      | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-CBDO         | CORP              | KY        |   1695000 | PA      | $1683341.79   | 0.21%             | 2035-10-20      | Floating      | 6.39%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23070800 | PA      | $21061717.91  | 2.63%             | 2030-01-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| SWAP GOLDMAN SACHS COC                          | SWAP GOLDMAN SACHS COC                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     10000 | NS      | $10000.00     | 0.00%             |  |  |  | No            | N/A                | On Loan: No      |
| Goldman Sachs International                     | PURCHASED AUD / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |         1 | NC      | $23849.18     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| AUSTRALIAN GOVERNMENT                           | Australia Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |  18820000 | PA      | $17007525.43  | 2.13%             | 2035-08-21      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Legacy Mortgage Asset Trust                     | Legacy Mortgage Asset Trust 2021-GS3                                                                                         | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579937 | PA      | $513029.23    | 0.06%             | 2061-07-25      | Variable      | 1.75%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                   | PURCHASED USD / SOLD MXN                                                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-486639.03   | -0.06%            |  |  |  | No            | 2                  | On Loan: No      |
| HSBC Bank PLC                                   | PURCHASED EUR / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |         1 | NC      | $51369.18     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS AG                                          | PURCHASED CAD / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |         1 | NC      | $23635.05     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| GCAT                                            | GCAT 2021-NQM3 Trust                                                                                                         | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    811153 | PA      | $651351.43    | 0.08%             | 2066-05-25      | Variable      | 1.09%                 | No            | 2                  | On Loan: No      |
| Fixed Income Clearing Corp                      | FIXED INC CLEARING CORP.REPO                                                                                                 | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  45854421 | PA      | $45854421.24  | 5.73%             |  |  |  | No            | 2                  | On Loan: No      |
| NatWest Markets PLC                             | PURCHASED USD / SOLD AUD                                                                                                     | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |         1 | NC      | $-656437.80   | -0.08%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America N.A.                            | PURCHASED USD / SOLD BRL                                                                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-214204.66   | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| MFRA Trust                                      | MFA 2021-NQM1 Trust                                                                                                          | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392858 | PA      | $339222.29    | 0.04%             | 2065-04-25      | Variable      | 1.15%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley & Co. International PLC          | PURCHASED USD / SOLD AUD                                                                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-81293.67    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                       | Towd Point Mortgage Trust 2021-R1                                                                                            | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1809080 | PA      | $1460178.54   | 0.18%             | 2060-11-30      | Variable      | 2.92%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs International                     | PURCHASED CAD / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |         1 | NC      | $4426.37      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| State of California                             | CALIFORNIA ST                                                                                                                | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1638424.09   | 0.20%             | 2039-04-01      | Fixed         | 7.55%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                               | EURO-BUND FUTURE DEC22                                                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -39 | NC      | $175559.52    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| New Residential Mortgage Loan Trust             | New Residential Mortgage Loan Trust 2021-NQM2R                                                                               | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313492 | PA      | $271389.12    | 0.03%             | 2058-10-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| AUSTRALIAN GOVERNMENT                           | Australia Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |  21000000 | PA      | $16237153.81  | 2.03%             | 2027-11-21      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| City of New York NY                             | NEW YORK NY                                                                                                                  | CUSIP: 64966HTX8<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1580000 | PA      | $1677018.64   | 0.21%             | 2036-12-01      | Fixed         | 5.99%                 | No            | 2                  | On Loan: No      |
| UBS AG                                          | PURCHASED EUR / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $230963.28    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS AG                                          | PURCHASED USD / SOLD EUR                                                                                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-999.37      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| State of Connecticut                            | CONNECTICUT ST                                                                                                               | CUSIP: 20772GF45<br>LEI: 5493007GRO6CU0IKP741 | Long             | DBT              | MUN               | US        |   1630000 | PA      | $1745100.98   | 0.22%             | 2032-03-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| WW International, Inc.                          | WW International, Inc. 2021 Term Loan B                                                                                      | CUSIP: 92941PAC7<br>LEI: SGT8R1MU6ESIC7UJC518 | Long             | LON              | CORP              | US        |     94500 | PA      | $57125.25     | 0.01%             | 2028-04-13      | Floating      | 7.58%                 | No            | 2                  | On Loan: No      |
| State Street Bank & Trust Co.                   | PURCHASED USD / SOLD CAD                                                                                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $17252.23     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10542791 | PA      | $8976747.22   | 1.12%             | 2047-02-15      | Fixed         | 0.88%                 | No            | 2                  | On Loan: No      |
| Bank                                            | BANK 2020-BNK29                                                                                                              | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10931645 | PA      | $823126.60    | 0.10%             | 2053-11-15      | Variable      | 1.45%                 | No            | 2                  | On Loan: No      |
| CANADIAN GOVERNMENT RRB                         | Canadian Government Real Return Bond                                                                                         | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |  28406320 | PA      | $26326237.84  | 3.29%             | 2031-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| CDW LLC/CDW FINANCE                             | CDW LLC / CDW Finance Corp                                                                                                   | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1386000 | PA      | $1175300.28   | 0.15%             | 2029-02-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                         | Romanian Government International Bond                                                                                       | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1850000 | PA      | $1443736.32   | 0.18%             | 2049-04-03      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| AUSTRALIAN GOVERNMENT                           | Australia Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |  24765000 | PA      | $19348777.74  | 2.42%             | 2040-08-21      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Commonwealth Bank of Australia                  | PURCHASED USD / SOLD AUD                                                                                                     | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | US        |         1 | NC      | $-160290.58   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                                       | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    305000 | PA      | $296373.44    | 0.04%             | 2036-05-15      | Floating      | 4.98%                 | No            | 2                  | On Loan: No      |
| CANADIAN GOVERNMENT RRB                         | Canadian Government Real Return Bond                                                                                         | CUSIP: 135087YK4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   5581001 | PA      | $4689924.56   | 0.59%             | 2041-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FS LUXEMBOURG SARL                              | FS Luxembourg Sarl                                                                                                           | CUSIP: 30315XAB0<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    400000 | PA      | $403492.00    | 0.05%             | 2025-12-15      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Toronto-Dominion Bank                           | PURCHASED USD / SOLD CAD                                                                                                     | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |         1 | NC      | $1290890.92   | 0.16%             |  |  |  | No            | 2                  | On Loan: No      |
| PETROLEOS MEXICANOS                             | Petroleos Mexicanos                                                                                                          | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    880000 | PA      | $659090.84    | 0.08%             | 2031-01-28      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Toronto-Dominion Bank                           | PURCHASED USD / SOLD NZD                                                                                                     | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |         1 | NC      | $-2466336.17  | -0.31%            |  |  |  | No            | 2                  | On Loan: No      |
| Credit Acceptance Auto Loan Trust               | Credit Acceptance Auto Loan Trust 2021-3                                                                                     | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $509309.10    | 0.06%             | 2030-05-15      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                          | US 2YR NOTE (CBT) MAR23                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       362 | NC      | $183126.91    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12715298 | PA      | $12143606.63  | 1.52%             | 2044-02-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| Tricolor Auto Securitization Trust              | Tricolor Auto Securitization Trust 2021-1                                                                                    | CUSIP: 89615BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $705490.01    | 0.09%             | 2024-06-17      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| SWAP BANK OF AMERICA COC                        | SWAP BANK OF AMERICA COC                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    791000 | NS      | $791000.00    | 0.10%             |  |  |  | No            | N/A                | On Loan: No      |
| Chicago Board of Trade                          | US 5YR NOTE (CBT) MAR23                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -181 | NC      | $-88949.31    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| CHENIERE CORP CHRISTI HD                        | Cheniere Corpus Christi Holdings LLC                                                                                         | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    580000 | PA      | $529087.88    | 0.07%             | 2029-11-15      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs International                     | Long: 99D0S0CF2 IRS USD R V 12MUSCPI 99D0S0CG0 INFLATIONZERO / Short: 99D0S0CF2 IRS USD P F  3.49000 99D0S0CF2 INFLATIONZERO | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |  12000000 | OU      | $-105375.12   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22824514 | PA      | $21763828.31  | 2.72%             | 2028-01-15      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71939133 | PA      | $69525237.60  | 8.69%             | 2029-01-15      | Fixed         | 0.88%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | Pretium Mortgage Credit Partners I 2021-NPL2 LLC                                                                             | CUSIP: 741386AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744709 | PA      | $685961.31    | 0.09%             | 2060-06-27      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO Ltd                 | Benefit Street Partners CLO XXVII Ltd                                                                                        | CUSIP: 08179PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1980000 | PA      | $1957942.80   | 0.24%             | 2035-07-20      | Floating      | 4.29%                 | No            | 2                  | On Loan: No      |
| AUSTRALIAN GOVERNMENT                           | Australia Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |  12165000 | PA      | $12089307.91  | 1.51%             | 2025-09-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| OZLM Ltd                                        | OZLM XVIII Ltd                                                                                                               | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |   1365000 | PA      | $1332529.38   | 0.17%             | 2031-04-15      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| Go Daddy Operating Company, LLC                 | Go Daddy Operating Company, LLC 2017 Repriced Term Loan                                                                      | CUSIP: 38017BAN6<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |         0 | PA      | $0.07         | 0.00%             | 2024-02-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| Avant Loans Funding Trust                       | Avant Loans Funding Trust 2021-REV1                                                                                          | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $629626.32    | 0.08%             | 2030-07-15      | Fixed         | 1.21%                 | No            | 2                  | On Loan: No      |
| UNITED MEXICAN STATES                           | Mexico Government International Bond                                                                                         | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1500000 | PA      | $1293986.16   | 0.16%             | 2030-01-17      | Fixed         | 1.13%                 | No            | 2                  | On Loan: —       |
| Bank of America N.A.                            | Long: 99D0RY4F8 IRS USD R V 12MUSCPI 99D0RY4G6 INFLATIONZERO / Short: 99D0RY4F8 IRS USD P F  3.42950 99D0RY4F8 INFLATIONZERO | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  75000000 | OU      | $-436393.50   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| Venture CLO 43 Limited                          | Venture 43 CLO Ltd                                                                                                           | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $734983.08    | 0.09%             | 2034-04-15      | Floating      | 5.32%                 | No            | 2                  | On Loan: No      |
| Illinois State Toll Highway Authority           | ILLINOIS ST TOLL HIGHWAY AUTH                                                                                                | CUSIP: 452252FK0<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |   1520000 | PA      | $1622463.05   | 0.20%             | 2034-12-01      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12002272 | PA      | $11288387.29  | 1.41%             | 2032-07-15      | Fixed         | 0.63%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2021-NPL3 LLC                                                                                                           | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    642834 | PA      | $573946.09    | 0.07%             | 2051-07-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| Nassau LTD                                      | Nassau 2021-I Ltd                                                                                                            | CUSIP: 631704AA1<br>LEI: 5493000NDRKPTT45F149 | Long             | ABS-CBDO         | CORP              | KY        |   2010000 | PA      | $1901807.73   | 0.24%             | 2034-08-26      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| CANADIAN GOVERNMENT RRB                         | Canadian Government Real Return Bond                                                                                         | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |  28096261 | PA      | $23280325.88  | 2.91%             | 2026-12-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                         | Romanian Government International Bond                                                                                       | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   2765000 | PA      | $2001559.57   | 0.25%             | 2038-02-08      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | Energy Transfer LP                                                                                                           | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1159000 | PA      | $1074676.89   | 0.13%             | 2038-06-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                                                                           | CUSIP: 3137ALEC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161965 | PA      | $158747.66    | 0.02%             | 2042-02-15      | Floating      | 4.37%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage Trust              | Ellington Financial Mortgage Trust 2021-2                                                                                    | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293267 | PA      | $228034.84    | 0.03%             | 2066-06-25      | Variable      | 0.93%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26509294 | PA      | $23747218.82  | 2.97%             | 2032-01-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4920843 | PA      | $4763510.45   | 0.60%             | 2026-01-15      | Fixed         | 0.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3295512 | PA      | $3575179.96   | 0.45%             | 2040-02-15      | Fixed         | 2.13%                 | No            | 2                  | On Loan: No      |
| State Street Bank & Trust Co.                   | PURCHASED CAD / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |         1 | NC      | $213481.54    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| BROADCOM INC                                    | Broadcom Inc                                                                                                                 | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1420135.92   | 0.18%             | 2031-02-15      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgage Trust           | PRPM 2020-6 LLC                                                                                                              | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263725 | PA      | $241073.17    | 0.03%             | 2025-11-25      | Variable      | 2.36%                 | No            | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                               | Wellfleet CLO X LTD                                                                                                          | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |   1530000 | PA      | $1488374.82   | 0.19%             | 2032-07-20      | Floating      | 5.41%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3192685 | PA      | $3087488.71   | 0.39%             | 2024-10-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35855111 | PA      | $32695846.40  | 4.09%             | 2030-07-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                                                                        | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21350000 | PA      | $20779554.69  | 2.60%             | 2052-12-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                                    | Barclays PLC                                                                                                                 | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2210000 | PA      | $2116852.39   | 0.26%             | 2033-08-09      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-RPL4 Trust                                                                                                         | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443147 | PA      | $401414.69    | 0.05%             | 2060-12-27      | Variable      | 1.80%                 | No            | 2                  | On Loan: No      |
| Legacy Mortgage Asset Trust                     | Legacy Mortgage Asset Trust 2021-GS2                                                                                         | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446009 | PA      | $400710.96    | 0.05%             | 2061-04-25      | Variable      | 1.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                          | United States Treasury Inflation Indexed Bonds                                                                               | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24269350 | PA      | $23081241.65  | 2.89%             | 2026-07-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| Bluemountain CLO Ltd                            | BlueMountain CLO XXXI Ltd                                                                                                    | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2370000 | PA      | $2295795.30   | 0.29%             | 2034-04-19      | Floating      | 5.38%                 | No            | 2                  | On Loan: No      |
| BXSC Commercial Mortgage Trust                  | BXSC Commercial Mortgage Trust 2022-WSS                                                                                      | CUSIP: 05610BAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135000 | PA      | $1080946.76   | 0.14%             | 2035-03-15      | Floating      | 6.19%                 | No            | 2                  | On Loan: No      |
| UBS AG                                          | PURCHASED EUR / SOLD USD                                                                                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $118026.84    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2022-12-20

**Name of Applicant:** VALIC Co I

**Signature:** Donna McManus

**Name of Signer:** Donna McManus

**Title:** Assistant Treasurer