# EDGAR Filing Document

**Accession Number:** 0000892538
**File Stem:** 0001410368-26-033275
**Filing Date:** 2026-3
**Character Count:** 271111
**Document Hash:** d6c80f8b9dbee38d1725a441d61904af
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-033275.hdr.sgml**: 20260327

**ACCESSION NUMBER**: 0001410368-26-033275

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260327

**DATE AS OF CHANGE**: 20260327

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SUNAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000892538

**ORGANIZATION NAME:**
- **EIN:** 137002445
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131
- **LEGAL ENTITY IDENTIFIER:** 549300E40BQMHI2LOX26

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07238
- **FILM NUMBER:** 26804281

**BUSINESS ADDRESS:**
- **STREET 1:** 21650 OXNARD STREET
- **STREET 2:** 10TH FLOOR
- **CITY:** WOODLAND HILLS
- **STATE:** CA
- **BUSINESS PHONE:** 551-235-3560

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

## Series and Classes Contracts Data

### SA PIMCO Global Bond Opportunities Portfolio (Series ID: S000008097)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77007

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

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

- **a. Name of Series:** SA PIMCO Global Bond Opportunities Portfolio

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

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

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $693265441.11

**Total Liabilities:** $413574930.48

**Net Assets:** $279690510.63

**Delayed Delivery Securities:** $158102783.30

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -356.78000000 | **1-Year:** -7418.00000000 | **5-Year:** -16745.24000000 | **10-Year:** -14542.65000000 | **30-Year:** -2282.57000000

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

- **3-Month:** -89.82000000 | **1-Year:** -4383.07000000 | **5-Year:** -90945.04000000 | **10-Year:** 19277.36000000 | **30-Year:** -3924.79000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000022015 | 0.59%                | 0.42%                | 0.32%                |
| Class ID C000022016 | 0.51%                | 0.43%                | 0.43%                |
| Class ID C000022017 | 0.56%                | 0.44%                | 0.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-944866.69              | $1108127.93                                |
| Month 2  | $-975880.04              | $1320771.11                                |
| Month 3  | $1178474.80              | $422669.98                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate (USD Hedged)

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| ABN AMRO BANK NV                                  | ABN AMRO Bank NV                                                                                                                 | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $495258.60    | 0.18%             | 2027-06-16      | Fixed         | 1.54%                 | No            | 2                  | On Loan: No      |
| American Money Management Corporation             | AMMC CLO 24 Ltd                                                                                                                  | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $701529.50    | 0.25%             | 2035-01-20      | Floating      | 4.87%                 | No            | 2                  | On Loan: No      |
| ABU DHABI DEVELOPMENT HO                          | Abu Dhabi Developmental Holding Co PJSC                                                                                          | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $200866.81    | 0.07%             | 2030-05-06      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F020422<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4100000 | PA      | $-3786691.65  | -1.35%            | 2041-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F020638<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -26900000 | PA      | $-21806386.01 | -7.80%            | 2056-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -200000 | PA      | $-177237.42   | -0.06%            | 2056-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18950000 | PA      | $18563736.09  | 6.64%             | 2056-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F042624<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -100000 | PA      | $-97961.67    | -0.04%            | 2056-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1400000 | PA      | $-1369877.42  | -0.49%            | 2056-03-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53500000 | PA      | $53485260.75  | 19.12%            | 2056-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $14974773.75  | 5.35%             | 2056-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4500000 | PA      | $-4557148.07  | -1.63%            | 2056-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -22095000 | PA      | $-22613605.44 | -8.09%            | 2055-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31000000 | PA      | $32108008.20  | 11.48%            | 2055-03-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| AMETEK INC                                        | AMETEK Inc                                                                                                                       | CUSIP: 03111CBD4<br>LEI: 549300WZDEF9KKE40E98 | Long             | STIV             | CORP              | US        |     300000 | PA      | $299554.08    | 0.11%             | 2026-02-13      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     365901 | PA      | $365901.05    | 0.13%             | 2037-01-15      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| ARROW ELECTRONICS INC                             | Arrow Electronics Inc                                                                                                            | CUSIP: 04273MB44<br>LEI: 549300YNNLBXT8N8R512 | Long             | STIV             | CORP              | US        |     800000 | PA      | $799556.80    | 0.29%             | 2026-02-04      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C7 Mortgage Trust                                                                                                       | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1175809.14   | 0.42%             | 2056-12-15      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C5 Mortgage Trust                                                                                                       | CUSIP: 055988AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $837042.80    | 0.30%             | 2056-06-15      | Fixed         | 5.77%                 | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C5 Mortgage Trust                                                                                                       | CUSIP: 055988AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $844102.48    | 0.30%             | 2056-06-15      | Fixed         | 5.99%                 | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2022-C3 MORTGAGE TRUST                                                                                                       | CUSIP: 05602QAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $154246.26    | 0.06%             | 2054-09-15      | Fixed         | 5.31%                 | No            | 2                  | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL4                                                                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904834 | PA      | $905399.84    | 0.32%             | 2039-02-15      | Floating      | 5.12%                 | No            | 2                  | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL5                                                                                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315918 | PA      | $316312.90    | 0.11%             | 2041-03-15      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| BLP Commercial Mortgage Trust                     | BLP Commercial Mortgage Trust 2024-IND2                                                                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471161 | PA      | $471602.43    | 0.17%             | 2041-03-15      | Floating      | 5.02%                 | No            | 2                  | On Loan: No      |
| BACARDI-MARTINI BV                                | Bacardi-Martini BV                                                                                                               | CUSIP: 05634FCC1<br>LEI: 5493002XXBV8B88K2408 | Long             | STIV             | CORP              | US        |     450000 | PA      | $447862.37    | 0.16%             | 2026-03-12      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-5 Ltd                                                                                               | CUSIP: 05682EAN3<br>LEI: 2549004H0JOYEPRCTE90 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500365.50    | 0.18%             | 2034-10-23      | Floating      | 4.82%                 | No            | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit Clo 2019-4 Ltd                                                                                               | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     400000 | PA      | $400224.40    | 0.14%             | 2035-04-23      | Floating      | 4.66%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     300000 | PA      | $308178.91    | 0.11%             | 2034-04-25      | Fixed         | 5.29%                 | No            | 2                  | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR3                                                                                                                  | CUSIP: 06211EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $528099.20    | 0.19%             | 2056-09-15      | Variable      | 6.72%                 | No            | 2                  | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR4                                                                                                                  | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259684 | PA      | $273113.49    | 0.10%             | 2056-12-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| BANK OF NOVA SCOTIA                               | Bank of Nova Scotia/The                                                                                                          | CUSIP: 06418BAK4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1400000 | PA      | $1414745.40   | 0.51%             | 2028-03-20      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| Bank                                              | BANK 2018-BNK13                                                                                                                  | CUSIP: 06539LBB5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $799977.36    | 0.29%             | 2061-08-15      | Variable      | 4.22%                 | No            | 2                  | On Loan: No      |
| Bank                                              | BANK 2023-BNK46                                                                                                                  | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $948910.77    | 0.34%             | 2056-08-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                     | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $728923.39    | 0.26%             | 2030-03-12      | Fixed         | 5.69%                 | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                     | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $704397.38    | 0.25%             | 2029-11-11      | Fixed         | 4.48%                 | No            | 2                  | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                                                  | CUSIP: 06742LAX1<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $901700.37    | 0.32%             | 2029-02-15      | Fixed         | 4.72%                 | No            | 2                  | On Loan: No      |
| BDS Ltd                                           | BDS 2025-FL14 LLC                                                                                                                | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $699781.74    | 0.25%             | 2042-10-17      | Floating      | 4.96%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2023-C20                                                                                                    | CUSIP: 07336DAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $638567.58    | 0.23%             | 2056-07-15      | Fixed         | 5.86%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C24                                                                                                    | CUSIP: 07336VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $391216.05    | 0.14%             | 2057-02-15      | Fixed         | 5.42%                 | No            | 2                  | On Loan: No      |
| BEIGNET INVESTOR LLC                              | Beignet Investor LLC                                                                                                             | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2915406.96   | 1.04%             | 2049-05-30      | Fixed         | 6.58%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B39 Mortgage Trust                                                                                                | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $635984.82    | 0.23%             | 2056-07-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2024-NQM1                                                                                        | CUSIP: 10570FAA3<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     528547 | PA      | $532854.82    | 0.19%             | 2063-12-01      | Variable      | 5.94%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL3 Trust                                                                                                             | CUSIP: 12661GAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    1388560 | PA      | $1233950.54   | 0.44%             | 2060-01-25      | Variable      | 2.00%                 | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-82                                                                                                   | CUSIP: 12668A5X9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     177184 | PA      | $153937.53    | 0.06%             | 2036-02-25      | Floating      | 4.33%                 | No            | 2                  | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                          | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    3300000 | PA      | $2370576.14   | 0.85%             | 2034-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                          | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2800000 | PA      | $2047157.49   | 0.73%             | 2030-03-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                          | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Short            | DBT              | NUSS              | CA        |   -2800000 | PA      | $-2047157.49  | -0.73%            | 2030-03-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| CANADIAN IMPERIAL BANK                            | Canadian Imperial Bank of Commerce                                                                                               | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    1900000 | PA      | $1963256.47   | 0.70%             | 2030-01-14      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-RPL3                                                                               | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707310 | PA      | $631665.40    | 0.23%             | 2064-09-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-6                                                                                  | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712465 | PA      | $715349.77    | 0.26%             | 2055-05-25      | Floating      | 4.95%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                                                                                | CUSIP: 17307GP77<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      16097 | PA      | $15957.06     | 0.01%             | 2035-10-25      | Floating      | 4.46%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                                                                      | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255000 | PA      | $243152.19    | 0.09%             | 2072-12-15      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2023-PRM3                                                                                    | CUSIP: 17331LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $519194.70    | 0.19%             | 2028-07-10      | Variable      | 6.36%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF COLOMBIA                              | Colombia Government International Bond                                                                                           | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1100000 | PA      | $1095380.00   | 0.39%             | 2031-01-21      | Fixed         | 6.13%                 | No            | 2                  | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                                                                              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     500000 | PA      | $492562.06    | 0.18%             | 2035-09-01      | Fixed         | 4.98%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                       | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6900000 | PA      | $6228972.10   | 2.23%             | 2056-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                       | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6100000 | PA      | $6307683.53   | 2.26%             | 2055-02-20      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                               | CUSIP: 22535EAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1100000 | PA      | $1114465.76   | 0.40%             | 2027-03-11      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                     | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $278616.10    | 0.10%             | 2032-05-14      | Fixed         | 3.09%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H3 Mortgage Trust                                                                                                     | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     955088 | PA      | $967359.14    | 0.35%             | 2069-06-25      | Variable      | 6.27%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H4 Mortgage Trust                                                                                                     | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     945012 | PA      | $958154.46    | 0.34%             | 2069-07-25      | Variable      | 6.15%                 | No            | 2                  | On Loan: No      |
| Crown Point CLO 7, Ltd                            | Crown Point CLO 7 Ltd                                                                                                            | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      43121 | PA      | $43142.74     | 0.02%             | 2031-10-20      | Floating      | 4.90%                 | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                     | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     800000 | PA      | $853281.71    | 0.31%             | 2029-11-20      | Fixed         | 6.82%                 | No            | 2                  | On Loan: No      |
| DEVELOPMENT BK OF JAPAN                           | Development Bank of Japan Inc                                                                                                    | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | NUSS              | JP        |     700000 | PA      | $701986.76    | 0.25%             | 2027-08-28      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                     | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     800000 | PA      | $810858.24    | 0.29%             | 2027-07-13      | Fixed         | 7.15%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD DKK                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-408181.31   | -0.15%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-81613.21    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-84903.51    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-54105.53    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-63042.16    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-101621.13   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-34624.63    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $26073.49     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $52180.81     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-874.52      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED RON / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | RO        |          1 | NC      | $5326.27      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TRY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TR        |          1 | NC      | $41193.98     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-46343.44    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-53060.23    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $39468.74     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED RON / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | RO        |          1 | NC      | $2189.21      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $56405.45     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $439854.19    | 0.16%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $8112.51      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-7.87        | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $50003.55     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2105.18      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $46223.26     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KZT                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-605.37      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $119.74       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $30145.96     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-466.42      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $24113.04     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TRY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TR        |          1 | NC      | $91269.91     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $14103.98     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TRY                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-4501.35     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $174072.03    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CZK                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-1302.45     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-25126.30    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $19224.32     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-226.70      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-66.85       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-424.05      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-16.24       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-154.95      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-75.07       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TH        |          1 | NC      | $-14.13       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-310.14      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $16.67        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-677.81      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $-109.44      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-650.41      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-1534.80     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-2348.60     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $1633.97      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $-568.32      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-174.75      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                                                                         | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    1600000 | PA      | $1625312.00   | 0.58%             | 2030-08-17      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-5863.26     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-314.14      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $-1516.51     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5830.57     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TH        |          1 | NC      | $-1989.64     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $-104.33      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1071.11      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $-1695.42     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-19550.93    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $-40.54       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $631.46       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $-2948.55     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ILS                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-486.36      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CNY                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-72.98       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $3038.39      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD NOK                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-70.43       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD NOK                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2416.23     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-4683.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1230.27     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-4076.91     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CAD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-147994.75   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD JPY                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-46562.76    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-34238.79    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $1189.52      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD AUD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-494801.58   | -0.18%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TRY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TR        |          1 | NC      | $1074.54      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-668321.31   | -0.24%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-12804.87    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $4460.38      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MYR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-15572.69    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD SGD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-90764.44    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD GBP                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-271652.35   | -0.10%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD NZD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-70058.69    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CHF                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-15879.44    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED DKK / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | DK        |          1 | NC      | $58837.66     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ILS                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-803.37      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CHF                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2730.66     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD NOK                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-15441.21    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED RON / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | RO        |          1 | NC      | $338.69       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $21703.10     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED JPY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | JP        |          1 | NC      | $6408.32      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD THB                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3314.68      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $0.04         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $3597.21      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-3680.21     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-6520.34     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |          1 | NC      | $6635.72      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED RON / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | RO        |          1 | NC      | $1911.00      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD AUD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-19437.54    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $5200.48      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD GBP                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-19639.10    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2246.62     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD HKD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $4157.47      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | XX        |          1 | NC      | $12066.73     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-3729.93     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $2639.80      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD THB                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $1598.28      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-6078.02     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $2305.29      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD IDR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2485.47     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD THB                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $15995.54     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-19228.11    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $1301.04      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-3919.42     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $314.30       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CHF                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5293.97     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $18288.36     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD NOK                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-5047.04     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $8884.07      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $400.59       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-389.99      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-97103.43    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $106739.18    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $60931.15     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-17.51       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ZAR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-6222.64     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $30805.12     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $1601.65      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-1251.97     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $616.18       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-684.51      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $152.78       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $47.30        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED KRW / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KR        |          1 | NC      | $-75.54       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3523.65      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $57.34        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED EUR / SOLD RON                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | XX        |          1 | NC      | $-325.12      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED RON / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | RO        |          1 | NC      | $360.55       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED SGD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $-1832.24     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-179.73      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-16454.57    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED JPY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | JP        |          1 | NC      | $-18619.44    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD IDR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $544.95       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $733.83       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $6529.03      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1553.68      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3178.17      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $798.35       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED KRW / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KR        |          1 | NC      | $-6992.50     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $9876.84      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-749.71      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-36771.21    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED CHF / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |          1 | NC      | $-1341.80     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1469.25      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $-16260.38    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD IDR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6.55        | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-3220.64     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3220.64      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-11.14       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MXN                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $4621.18      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $-4633.17     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-13557.41    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $13548.63     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MXN                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $2496.30      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD RON                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-346.23      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED RON / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | RO        |          1 | NC      | $334.93       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CHF                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $5332.22      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED CHF / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CH        |          1 | NC      | $-5327.65     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD BRL                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $4829.74      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |          1 | NC      | $-9429.05     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $6.55         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1246808 | PA      | $1285254.55   | 0.46%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1194344 | PA      | $1227133.19   | 0.44%             | 2053-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DWJE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2333020 | PA      | $2339875.71   | 0.84%             | 2053-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11663586 | PA      | $11939097.73  | 4.27%             | 2054-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8077349 | PA      | $8286163.99   | 2.96%             | 2054-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144439 | PA      | $147850.89    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27044 | PA      | $29289.28     | 0.01%             | 2042-10-25      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104188 | PA      | $114301.60    | 0.04%             | 2042-07-25      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                | CUSIP: 3136BTXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     664970 | PA      | $673545.03    | 0.24%             | 2054-12-25      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                | CUSIP: 3136BVBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760077 | PA      | $766554.13    | 0.27%             | 2055-03-25      | Floating      | 4.86%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                               | CUSIP: 3137HCXW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634322 | PA      | $636107.60    | 0.23%             | 2049-04-15      | Floating      | 4.92%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                               | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     782337 | PA      | $786347.28    | 0.28%             | 2054-11-25      | Floating      | 4.64%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 3140A5RL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1365502 | PA      | $1387950.71   | 0.50%             | 2053-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 3140ACBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536282 | PA      | $546201.60    | 0.20%             | 2054-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 3140AFBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255484 | PA      | $255561.15    | 0.09%             | 2054-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 3140MFWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185411 | PA      | $164534.70    | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 3140XPCL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296912 | PA      | $296994.48    | 0.11%             | 2054-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 31418BTA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128575 | PA      | $125323.66    | 0.04%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 31418BU95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107423 | PA      | $104820.93    | 0.04%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 31418EW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165354 | PA      | $165755.45    | 0.06%             | 2053-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                  | CUSIP: 31418FEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189352 | PA      | $175328.42    | 0.06%             | 2054-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2024-REV1                                                                                           | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     725000 | PA      | $743081.21    | 0.27%             | 2036-08-15      | Variable      | 4.87%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286051 | PA      | $265569.45    | 0.09%             | 2052-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5484586 | PA      | $5035723.27   | 1.80%             | 2054-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| General Motors                                    | GMF Floorplan Owner Revolving Trust                                                                                              | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $703783.01    | 0.25%             | 2028-06-15      | Fixed         | 5.34%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3618N5AY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2139770 | PA      | $1962738.41   | 0.70%             | 2054-11-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3618N5GJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376254 | PA      | $340711.28    | 0.12%             | 2055-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3618N5GK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     589773 | PA      | $540591.67    | 0.19%             | 2055-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3618N5H93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6751794 | PA      | $6188753.97   | 2.21%             | 2055-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376508 | PA      | $345170.34    | 0.12%             | 2055-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513678 | PA      | $470839.55    | 0.17%             | 2055-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                               | CUSIP: 3622ABB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2735517 | PA      | $2438973.77   | 0.87%             | 2051-07-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2017-GS7                                                                                            | CUSIP: 36254CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $444722.13    | 0.16%             | 2050-08-10      | Fixed         | 3.43%                 | No            | 2                  | On Loan: No      |
| GCAT                                              | GCAT 2024-NQM2 Trust                                                                                                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     706250 | PA      | $715287.33    | 0.26%             | 2059-06-25      | Variable      | 6.09%                 | No            | 2                  | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                             | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     297000 | PA      | $295268.20    | 0.11%             | 2026-04-27      | Fixed         | 1.63%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                                                                               | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1506493.19   | 0.54%             | 2027-05-21      | Fixed         | 5.41%                 | No            | 2                  | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                          | CUSIP: 40412DBH1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | STIV             | CORP              | US        |    1200000 | PA      | $1197529.32   | 0.43%             | 2026-02-17      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                                | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $623780.84    | 0.22%             | 2029-03-09      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| Home Equity Loan Trust                            | Home Equity Loan Trust                                                                                                           | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     150079 | PA      | $146664.48    | 0.05%             | 2037-04-25      | Floating      | 4.02%                 | No            | 2                  | On Loan: No      |
| Honda Auto Receivables Owner Trust                | Honda Auto Receivables 2023-4 Owner Trust                                                                                        | CUSIP: 438123AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     817627 | PA      | $826333.61    | 0.30%             | 2028-06-21      | Fixed         | 5.67%                 | No            | 2                  | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                                     | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     225000 | PA      | $225107.67    | 0.08%             | 2028-03-28      | Fixed         | 4.02%                 | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                                             | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1700000 | PA      | $1753801.09   | 0.63%             | 2034-03-12      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                                             | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1100000 | PA      | $1135420.26   | 0.41%             | 2030-02-19      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                                             | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $206745.99    | 0.07%             | 2035-02-19      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2023-HE3                                                                                                | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |     120942 | PA      | $121398.99    | 0.04%             | 2054-05-20      | Floating      | 5.30%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                              | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     700000 | PA      | $735759.12    | 0.26%             | 2029-10-23      | Fixed         | 6.09%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                              | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     725000 | PA      | $746768.63    | 0.27%             | 2035-01-23      | Fixed         | 5.34%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                              | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     300000 | PA      | $312017.74    | 0.11%             | 2036-01-24      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-LTV2                                                                                             | CUSIP: 46654VAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     525382 | PA      | $451452.71    | 0.16%             | 2052-05-25      | Variable      | 2.52%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2024-1                                                                                                | CUSIP: 46657PAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     459323 | PA      | $466679.48    | 0.17%             | 2054-06-25      | Variable      | 6.00%                 | No            | 2                  | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                          | Development Bank of Kazakhstan JSC                                                                                               | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |  141000000 | PA      | $284005.05    | 0.10%             | 2028-10-16      | Fixed         | 18.40%                | No            | 2                  | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                                             | CUSIP: 49271KB60<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249817.23    | 0.09%             | 2026-02-06      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                                                                             | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     700000 | PA      | $699323.79    | 0.25%             | 2028-10-09      | Fixed         | 4.02%                 | No            | 2                  | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                                                                             | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     300000 | PA      | $297916.59    | 0.11%             | 2030-10-09      | Fixed         | 4.14%                 | No            | 2                  | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                                                                             | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     500000 | PA      | $492953.57    | 0.18%             | 2035-10-09      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                                                                 | CUSIP: 50222CAB6<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1130515.71   | 0.40%             | 2034-03-28      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                             | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     500000 | PA      | $521287.25    | 0.19%             | 2029-08-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-7N                                                                                                   | CUSIP: 52524GAC6<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |     124491 | PA      | $118369.64    | 0.04%             | 2047-06-25      | Floating      | 4.27%                 | No            | 2                  | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                                                                         | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $733672.90    | 0.26%             | 2035-01-05      | Fixed         | 5.68%                 | No            | 2                  | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    3200000 | PA      | $4153775.87   | 1.49%             | 2029-04-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                                            | CUSIP: 55361AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     379660 | PA      | $399493.29    | 0.14%             | 2056-12-15      | Fixed         | 6.89%                 | No            | 2                  | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                                            | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $538998.40    | 0.19%             | 2056-12-15      | Variable      | 6.01%                 | No            | 2                  | On Loan: No      |
| Maricopa County Industrial Development Authority  | MARICOPA CNTY AZ INDL DEV AUTH EDU REVENUE                                                                                       | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $213178.56    | 0.08%             | 2029-10-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2017-2                                                                                             | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52904 | PA      | $52064.23     | 0.02%             | 2059-07-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                                                                               | CUSIP: 606822DM3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $403849.60    | 0.14%             | 2031-09-12      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                                                                           | CUSIP: 61690DK64<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     900000 | PA      | $903906.82    | 0.32%             | 2029-01-12      | Floating      | 4.57%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                                                                           | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     700000 | PA      | $706247.18    | 0.25%             | 2028-01-14      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                                           | CUSIP: 61691YAJ0<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     812000 | PA      | $740740.34    | 0.26%             | 2054-05-15      | Fixed         | 2.73%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                   | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     700000 | PA      | $724671.44    | 0.26%             | 2034-07-21      | Fixed         | 5.42%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                   | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51722.76     | 0.02%             | 2035-01-18      | Fixed         | 5.47%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2022-L8                                                                                           | CUSIP: 61774LBF5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $613386.61    | 0.22%             | 2055-04-15      | Variable      | 3.79%                 | No            | 2                  | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                      | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $691845.42    | 0.25%             | 2030-07-18      | Fixed         | 3.96%                 | No            | 2                  | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $702204.94    | 0.25%             | 2028-03-01      | Floating      | 5.01%                 | No            | 2                  | On Loan: No      |
| BANC OF AMERICA SEURITIES LLC                     | BANC OF AMERICA SEURITIES LLC TBA CASH COLLATERAL USD                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |     -60000 | NS      | $-60000.00    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Nissan Auto Receivables Owner Trust               | Nissan Auto Receivables 2023-B Owner Trust                                                                                       | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     117163 | PA      | $118024.91    | 0.04%             | 2028-03-15      | Fixed         | 5.93%                 | No            | 2                  | On Loan: No      |
| Northwoods Capital Ltd                            | Northwoods Capital XIV-B Ltd                                                                                                     | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |     698889 | PA      | $699851.00    | 0.25%             | 2031-11-13      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM2 Trust                                                                                                              | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |     915440 | PA      | $922674.08    | 0.33%             | 2063-12-25      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                                              | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     563659 | PA      | $567907.27    | 0.20%             | 2063-11-25      | Variable      | 5.93%                 | No            | 2                  | On Loan: No      |
| One Bryant Park Trust                             | One Bryant Park Trust 2019-OBP                                                                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $652193.36    | 0.23%             | 2054-09-15      | Fixed         | 2.52%                 | No            | 2                  | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                | One New York Plaza Trust 2020-1NYP                                                                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $388000.00    | 0.14%             | 2036-01-15      | Floating      | 4.75%                 | No            | 2                  | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                                        | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     400000 | PA      | $401425.50    | 0.14%             | 2027-09-24      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304492.28    | 0.11%             | 2034-02-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                                                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7361000 | PA      | $2453954.35   | 0.88%             | 2031-08-12      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                                                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1500000 | PA      | $484710.29    | 0.17%             | 2032-08-12      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                                                  | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $516156.31    | 0.18%             | 2034-02-13      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     600000 | PA      | $608588.09    | 0.22%             | 2034-09-18      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2024-RCF3 LLC                                                                                                               | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     766183 | PA      | $758791.38    | 0.27%             | 2054-05-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2003-1                                                                                                    | CUSIP: 78442GFK7<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |     511961 | PA      | $487710.64    | 0.17%             | 2032-12-15      | Floating      | 4.50%                 | No            | 2                  | On Loan: No      |
| Citigroup Global Markets, Inc.                    | CITIGROUP REPO                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |    3000000 | PA      | $3000000.00   | 1.07%             |  |  |  | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                              | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     800000 | PA      | $814606.02    | 0.29%             | 2028-01-13      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                              | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     400000 | PA      | $414910.11    | 0.15%             | 2031-01-13      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-10                                                                                                   | CUSIP: 81744FEW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9261 | PA      | $8626.46      | 0.00%             | 2034-11-20      | Floating      | 4.82%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                        | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     300000 | PA      | $311166.21    | 0.11%             | 2034-06-12      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Silver Rock CLO Ltd                               | Silver Rock CLO II Ltd                                                                                                           | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600060.00    | 0.21%             | 2035-01-20      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| SMITH & NEPHEW PLC                                | Smith & Nephew PLC                                                                                                               | CUSIP: 83192PAD0<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $1131317.28   | 0.40%             | 2034-03-20      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2022-1                                                                                       | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     551456 | PA      | $499746.77    | 0.18%             | 2066-12-25      | Variable      | 2.45%                 | No            | 2                  | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                                                                              | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     700000 | PA      | $668824.77    | 0.24%             | 2029-01-14      | Fixed         | 2.47%                 | No            | 2                  | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                      | Sunnova Hestia I Issuer LLC                                                                                                      | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      86488 | PA      | $85008.11     | 0.03%             | 2050-12-20      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                 | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150000.00    | 0.05%             | 2028-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     328000 | PA      | $327149.63    | 0.12%             | 2027-04-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                                                                        | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1218142.28   | 0.44%             | 2027-07-16      | Fixed         | 4.81%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2024-3                                                                                                 | CUSIP: 89183FAP3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     953910 | PA      | $961549.16    | 0.34%             | 2065-07-25      | Variable      | 5.04%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                              | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     610000 | PA      | $603569.92    | 0.22%             | 2026-05-19      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                              | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1231000 | PA      | $1217199.83   | 0.44%             | 2026-05-26      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1335234.38   | 0.48%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     650000 | PA      | $479628.90    | 0.17%             | 2048-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2206968.74   | 0.79%             | 2048-11-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $187464.84    | 0.07%             | 2049-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $448000.00    | 0.16%             | 2049-11-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6000000 | PA      | $5486718.72   | 1.96%             | 2044-08-15      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8500000 | PA      | $7974394.51   | 2.85%             | 2054-11-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2682312.50   | 0.96%             | 2055-02-15      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $100578.13    | 0.04%             | 2045-08-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                                                                            | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3482464 | PA      | $3373127.06   | 1.21%             | 2033-01-15      | Fixed         | 1.13%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                                                                            | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5080128 | PA      | $5277919.89   | 1.89%             | 2028-10-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $100093.75    | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| CCMSCZUS2 CCPC COC EQUITY                         | CCMSCZUS2 CCPC COC EQUITY                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     910000 | NS      | $910000.00    | 0.33%             |  |  |  | No            | N/A                | On Loan: No      |
| SWAP CCPC MORGAN STANLEY COC                      | SWAP CCPC MORGAN STANLEY COC                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     223000 | NS      | $223000.00    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| Verdelite Static CLO Ltd                          | Verdelite Static CLO 2024-1 Ltd                                                                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     661402 | PA      | $661393.23    | 0.24%             | 2032-07-20      | Floating      | 4.80%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-4                                                                                                | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |     373677 | PA      | $378963.51    | 0.14%             | 2069-06-25      | Variable      | 6.22%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-5                                                                                                | CUSIP: 92540HAA4<br>LEI: 213800YE6HC7EZSFHW30 | Long             | ABS-MBS          | CORP              | US        |     386162 | PA      | $391765.91    | 0.14%             | 2069-06-25      | Variable      | 6.19%                 | No            | 2                  | On Loan: No      |
| CCGSCHUS9 HSBC COC USD                            | CCGSCHUS9 HSBC COC USD                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     153000 | NS      | $153000.00    | 0.05%             |  |  |  | No            | N/A                | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                                                                                       | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     145000 | PA      | $147450.81    | 0.05%             | 2030-05-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| State Street Global Advisors                      | State Street Institutional US Government Money Market Fund                                                                       | CUSIP: 857492656<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |     520641 | NS      | $520641.36    | 0.19%             |  |  |  | No            | 1                  | On Loan: No      |
| CCPC CCMSCHUS2 COC                                | CCPC CCMSCHUS2 COC                                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1034000 | NS      | $1034000.00   | 0.37%             |  |  |  | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust                                                 | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172207 | PA      | $143827.46    | 0.05%             | 2046-06-25      | Floating      | 4.66%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                                                              | CUSIP: 949831AA9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |      17335 | PA      | $15917.94     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Alternative Loan Trust                | Wells Fargo Alternative Loan 2007-PA6 Trust                                                                                      | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66242 | PA      | $60963.79     | 0.02%             | 2037-12-28      | Variable      | 5.90%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                 | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     900000 | PA      | $926735.51    | 0.33%             | 2030-01-23      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                 | CUSIP: 95000U4C4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     700000 | PA      | $699484.80    | 0.25%             | 2030-01-23      | Floating      | 4.41%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2022-C62                                                                                   | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $455025.02    | 0.16%             | 2055-04-15      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| MGCC CCBPGXUS1 LT USD                             | MGCC CCBPGXUS1 LT USD                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     409000 | NS      | $409000.00    | 0.15%             |  |  |  | No            | N/A                | On Loan: No      |
| CCPC/CCBPGCUS7 LT COC                             | CCPC/CCBPGCUS7 LT COC                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     250000 | NS      | $250000.00    | 0.09%             |  |  |  | No            | N/A                | On Loan: No      |
| CCPC/CCBPGHUS6 LT COC                             | CCPC/CCBPGHUS6 LT COC                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     390000 | NS      | $390000.00    | 0.14%             |  |  |  | No            | N/A                | On Loan: No      |
| CCBPGZUS6 CCPC LT USD                             | CCBPGZUS6 CCPC LT USD                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1117000 | NS      | $1117000.00   | 0.40%             |  |  |  | No            | N/A                | On Loan: No      |
| The Federal Republic of Nigeria                   | NIGERIA OMO BILL                                                                                                                 | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | STIV             | NUSS              | NG        |  551000000 | PA      | $368668.17    | 0.13%             | 2026-06-11      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| The Federal Republic of Nigeria                   | NIGERIA OMO BILL                                                                                                                 | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | STIV             | NUSS              | NG        |  551000000 | PA      | $368469.53    | 0.13%             | 2026-06-12      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Cashmere Valley Bank                              | Cashmere Valley Bank                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    4300000 | PA      | $2994305.94   | 1.07%             | 2057-12-30      | Variable      | 4.54%                 | No            | 3                  | On Loan: No      |
| The Federal Republic of Nigeria                   | NIGERIA OMO BILL                                                                                                                 | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | STIV             | NUSS              | NG        | 1423082000 | PA      | $946012.58    | 0.34%             | 2026-06-29      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| CCGSCZUS9 GOLDMAN SACH COC                        | CCGSCZUS9 GOLDMAN SACH COC                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2558000 | NS      | $2558000.00   | 0.91%             |  |  |  | No            | N/A                | On Loan: No      |
| LCH Ltd.                                          | Long: BWU01E105 IRS JPY R V 06MTONA SWUV1E107 CCPOIS / Short: BWU01E105 IRS JPY P F   .40000 SWU01E105 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  470000000 | OU      | $684408.19    | 0.24%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU020E18 IRS GBP R F  3.00000 SWU020E18 CCPOIS / Short: SWU020E18 IRS GBP P V 12MSONIA SWUV20E10 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20800000 | OU      | $-200640.66   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU01ZUN6 IRS CAD R F  3.50000 SWU01ZUN6 CCPOIS / Short: SWU01ZUN6 IRS CAD P V 06MCORRA SWUV1ZUN8 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $23366.29     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU0203Z5 IRS USD R V 12MSOFR SWUV203Z7 CCPOIS / Short: BWU0203Z5 IRS USD P F  4.00000 SWU0203Z5 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   33400000 | OU      | $-34619.10    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU022IB8 IRS JPY R F  1.00000 SWU022IB8 CCPOIS / Short: SWU022IB8 IRS JPY P V 12MTONAR SWUV22IB0 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1730000000 | OU      | $-797513.68   | -0.29%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU01ZUO4 IRS CAD R V 06MCORRA SWUV1ZUO6 CCPOIS / Short: BWU01ZUO4 IRS CAD P F  3.50000 SWU01ZUO4 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $22176.84     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU022IC6 IRS JPY R V 12MTONAR SWUV22IC8 CCPOIS / Short: BWU022IC6 IRS JPY P F  1.50000 SWU022IC6 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  245000000 | OU      | $455772.67    | 0.16%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU021I12 IRS JPY R F  1.00000 SWU021I12 CCPOIS / Short: SWU021I12 IRS JPY P V 12MTONAR SWUV21I14 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  304500000 | OU      | $-470399.38   | -0.17%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU025TX1 IRS USD R V 12MSOFR SWUV25TX3 CCPOIS / Short: BWU025TX1 IRS USD P F  3.75000 SWU025TX1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3400000 | OU      | $12467.80     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU025TK9 IRS USD R V 12MSOFR SWUV25TK1 CCPOIS / Short: BWU025TK9 IRS USD P F  3.75000 SWU025TK9 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2900000 | OU      | $-5724.02     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02AKG6 IRS JPY R F   .60000 SWU02AKG6 CCPOIS / Short: SWU02AKG6 IRS JPY P V 12MTONAR SWUV2AKG8 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  430000000 | OU      | $-92815.38    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02AHF2 IRS JPY R F  1.00000 SWU02AHF2 CCPOIS / Short: SWU02AHF2 IRS JPY P V 12MTONAR SWUV2AHF4 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  950000000 | OU      | $-481569.46   | -0.17%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02CVI6 IRS USD R V 12MSOFR SWUV2CVI8 CCPOIS / Short: BWU02CVI6 IRS USD P F  3.94000 SWU02CVI6 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3900000 | OU      | $-6134.31     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D148 IRS JPY R F  1.00000 SWU02D148 CCPOIS / Short: SWU02D148 IRS JPY P V 12MTONAR SWUV2D140 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1150000000 | OU      | $-296617.67   | -0.11%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D2D7 IRS AUD R F  4.50000 SWU02D2D7 CCPVANILLA / Short: SWU02D2D7 IRS AUD P V 06MBBSW SWUV2D2D9 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $-92833.73    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D718 IRS EUR R F  1.79544 SWU02D718 CCPOIS / Short: SWU02D718 IRS EUR P V 12MESTR SWUV2D710 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-27186.55    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D171 IRS JPY R F   .75000 SWU02D171 CCPOIS / Short: SWU02D171 IRS JPY P V 12MTONAR SWUV2D173 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  640000000 | OU      | $-125980.25   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02DBF2 IRS AUD R F  4.25000 SWU02DBF2 CCPVANILLA / Short: SWU02DBF2 IRS AUD P V 06MBBSW SWUV2DBF4 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-59182.25    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02DC46 IRS USD R V 12MSOFR SWUV2DC48 CCPOIS / Short: BWU02DC46 IRS USD P F  3.00000 SWU02DC46 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   80890000 | OU      | $406407.54    | 0.15%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02D619 IRS USD R V 12MSOFR SWUV2D611 CCPOIS / Short: BWU02D619 IRS USD P F  3.25000 SWU02D619 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3300000 | OU      | $143934.12    | 0.05%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02DU38 IRS EUR R F  1.92272 SWU02DU38 CCPOIS / Short: SWU02DU38 IRS EUR P V 12MESTR SWUV2DU30 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-39248.49    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02DCP9 IRS USD R V 12MSOFR SWUV2DCP1 CCPOIS / Short: BWU02DCP9 IRS USD P F  3.25000 SWU02DCP9 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2390000 | OU      | $391417.47    | 0.14%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02EL10 IRS JPY R F  1.25000 SWU02EL10 CCPOIS / Short: SWU02EL10 IRS JPY P V 12MTONAR SWUV2EL12 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1583450000 | OU      | $-654217.77   | -0.23%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02ES96 IRS GBP R F  4.00000 SWU02ES96 CCPOIS / Short: SWU02ES96 IRS GBP P V 12MSONIA SWUV2ES98 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   31000000 | OU      | $382490.86    | 0.14%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02EVM3 IRS USD R V 12MSOFR SWUV2EVM5 CCPOIS / Short: BWU02EVM3 IRS USD P F  3.95449 SWU02EVM3 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $22561.35     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0N9T5 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0N9T5 CDS USD P V 03MEVENT 2 CCPCORPORATE                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     700000 | OU      | $97238.96     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F3Z2 IRS USD R V 12MSOFR SWUV2F3Z4 CCPOIS / Short: BWU02F3Z2 IRS USD P F  3.96415 SWU02F3Z2 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $17402.16     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F432 IRS USD R V 12MSOFR SWUV2F434 CCPOIS / Short: BWU02F432 IRS USD P F  3.95864 SWU02F432 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $8885.78      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F531 IRS USD R V 12MSOFR SWUV2F533 CCPOIS / Short: BWU02F531 IRS USD P F  3.99801 SWU02F531 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $68095.26     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F762 IRS USD R V 12MSOFR SWUV2F764 CCPOIS / Short: BWU02F762 IRS USD P F  4.11647 SWU02F762 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $1797.75      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FGZ8 IRS USD R V 12MSOFR SWUV2FGZ0 CCPOIS / Short: BWU02FGZ8 IRS USD P F  4.00000 SWU02FGZ8 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     550000 | OU      | $-8056.35     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FPT2 IRS USD R V 12MSOFR SWUV2FPT4 CCPOIS / Short: BWU02FPT2 IRS USD P F  3.76527 SWU02FPT2 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $184400.16    | 0.07%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FQ46 IRS USD R V 12MSOFR SWUV2FQ48 CCPOIS / Short: BWU02FQ46 IRS USD P F  3.77259 SWU02FQ46 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $15129.06     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FWW7 IRS EUR R V 06MEURIB SWUV2FWW9 CCPVANILLA / Short: BWU02FWW7 IRS EUR P F  2.21300 SWU02FWW7 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7900000 | OU      | $817463.50    | 0.29%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02G0N0 IRS USD R V 12MSOFR SWUV2G0N2 CCPOIS / Short: BWU02G0N0 IRS USD P F  3.25000 SWU02G0N0 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4900000 | OU      | $224698.81    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FSI3 IRS USD R V 12MSOFR SWUV2FSI5 CCPOIS / Short: BWU02FSI3 IRS USD P F  3.50000 SWU02FSI3 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $12219.06     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G0H3 IRS USD R F  3.25000 SWU02G0H3 CCPOIS / Short: SWU02G0H3 IRS USD P V 12MSOFR SWUV2G0H5 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $-2975.83     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G6K0 IRS AUD R F  4.50000 SWU02G6K0 CCPVANILLA / Short: SWU02G6K0 IRS AUD P V 06MBBSW SWUV2G6K2 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $-8934.24     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G3S6 IRS JPY R F  1.25000 SWU02G3S6 CCPOIS / Short: SWU02G3S6 IRS JPY P V 12MTONAR SWUV2G3S8 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  120000000 | OU      | $-47025.18    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G3Q0 IRS JPY R F  1.00000 SWU02G3Q0 CCPOIS / Short: SWU02G3Q0 IRS JPY P V 12MTONAR SWUV2G3Q2 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  180000000 | OU      | $-26358.79    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FYC9 IRS AUD R F  4.50000 SWU02FYC9 CCPVANILLA / Short: SWU02FYC9 IRS AUD P V 06MBBSW SWUV2FYC1 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $-20466.05    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FSG7 IRS USD R F  3.75000 SWU02FSG7 CCPOIS / Short: SWU02FSG7 IRS USD P V 12MSOFR SWUV2FSG9 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15900000 | OU      | $88631.37     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0NEX0 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0NEX0 CDS USD P V 03MEVENT 2 CCPCDX                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   23060000 | OU      | $512718.35    | 0.18%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley & Co. LLC                          | Long: BWU02G3U1 IRS JPY R V 12MTONAR SWUV2G3U3 CCPOIS / Short: BWU02G3U1 IRS JPY P F  2.00000 SWU02G3U1 CCPOIS                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   40000000 | OU      | $49877.77     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02HET0 IRS USD R V 12MSOFR SWUV2HET2 CCPOIS / Short: BWU02HET0 IRS USD P F  3.93000 SWU02HET0 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     591000 | OU      | $29066.27     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02HEU7 IRS USD R V 12MSOFR SWUV2HEU9 CCPOIS / Short: BWU02HEU7 IRS USD P F  3.96000 SWU02HEU7 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     761000 | OU      | $33560.86     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02HF36 IRS USD R V 12MSOFR SWUV2HF38 CCPOIS / Short: BWU02HF36 IRS USD P F  4.00500 SWU02HF36 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     648000 | OU      | $23541.39     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02I626 IRS USD R V 12MSOFR SWUV2I628 CCPOIS / Short: BWU02I626 IRS USD P F  3.75000 SWU02I626 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7835000 | OU      | $-54225.25    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02EL02 IRS JPY R F  1.00000 SWU02EL02 CCPOIS / Short: SWU02EL02 IRS JPY P V 12MTONAR SWUV2EL04 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   80000000 | OU      | $-12870.41    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02J2E2 IRS AUD R F  3.50000 SWU02J2E2 CCPVANILLA / Short: SWU02J2E2 IRS AUD P V 06MBBSW SWUV2J2E4 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   71800000 | OU      | $-2472868.40  | -0.88%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02J2I3 IRS GBP R F  3.75000 SWU02J2I3 CCPOIS / Short: SWU02J2I3 IRS GBP P V 12MSONIA SWUV2J2I5 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   17000000 | OU      | $-16599.73    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02J3G6 IRS GBP R V 12MSONIA SWUV2J3G8 CCPOIS / Short: BWU02J3G6 IRS GBP P F  4.00000 SWU02J3G6 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9500000 | OU      | $147299.29    | 0.05%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JBM4 IRS AUD R F  4.25000 SWU02JBM4 CCPVANILLA / Short: SWU02JBM4 IRS AUD P V 06MBBSW SWUV2JBM6 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12700000 | OU      | $-408695.92   | -0.15%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02J3H4 IRS GBP R V 12MSONIA SWUV2J3H6 CCPOIS / Short: BWU02J3H4 IRS GBP P F  4.50000 SWU02J3H4 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $25255.05     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JFZ1 IRS AUD R F  3.75000 SWU02JFZ1 CCPVANILLA / Short: SWU02JFZ1 IRS AUD P V 06MBBSW SWUV2JFZ3 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-50725.01    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02J2H5 IRS GBP R V 12MSONIA SWUV2J2H7 CCPOIS / Short: BWU02J2H5 IRS GBP P F  3.50000 SWU02J2H5 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10400000 | OU      | $6477.88      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JXT5 IRS USD R F  3.45975 SWU02JXT5 CCPOIS / Short: SWU02JXT5 IRS USD P V 12MSOFR SWUV2JXT7 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14400000 | OU      | $9694.08      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JZQ9 IRS EUR R F  2.50000 SWU02JZQ9 CCPVANILLA / Short: SWU02JZQ9 IRS EUR P V 06MEURIB SWUV2JZQ1 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10910000 | OU      | $-15237.96    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JZR7 IRS EUR R F  2.75000 SWU02JZR7 CCPVANILLA / Short: SWU02JZR7 IRS EUR P V 06MEURIB SWUV2JZR9 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25630000 | OU      | $-342209.09   | -0.12%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02JZS5 IRS EUR R V 06MEURIB SWUV2JZS7 CCPVANILLA / Short: BWU02JZS5 IRS EUR P F  3.00000 SWU02JZS5 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8500000 | OU      | $339795.27    | 0.12%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JZP1 IRS EUR R F  2.00000 SWU02JZP1 CCPVANILLA / Short: SWU02JZP1 IRS EUR P V 06MEURIB SWUV2JZP3 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27900000 | OU      | $-153708.57   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02K0M3 IRS GBP R F  3.75000 SWU02K0M3 CCPOIS / Short: SWU02K0M3 IRS GBP P V 12MSONIA SWUV2K0M5 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $1061.80      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02K0L5 IRS GBP R V 12MSONIA SWUV2K0L7 CCPOIS / Short: BWU02K0L5 IRS GBP P F  3.50000 SWU02K0L5 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3300000 | OU      | $2265.45      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02K0O9 IRS GBP R V 12MSONIA SWUV2K0O1 CCPOIS / Short: BWU02K0O9 IRS GBP P F  4.50000 SWU02K0O9 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     640000 | OU      | $14216.57     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02KJ43 IRS SGD R V 06MSORA SWUV2KJ45 CCPOIS / Short: BWU02KJ43 IRS SGD P F  1.50000 SWU02KJ43 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   19950000 | OU      | $279903.79    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02KEO4 IRS KRW R F  2.75000 SWU02KEO4 CCPNDF / Short: SWU02KEO4 IRS KRW P V 03MKSDA SWUV2KEO6 CCPNDF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  116990000 | OU      | $-5401.00     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02JZI7 IRS USD R V 12MSOFR SWUV2JZI9 CCPOIS / Short: BWU02JZI7 IRS USD P F  4.00000 SWU02JZI7 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $74113.00     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02JZF3 IRS USD R V 12MSOFR SWUV2JZF5 CCPOIS / Short: BWU02JZF3 IRS USD P F  3.50000 SWU02JZF3 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8700000 | OU      | $-25392.69    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | Long: CCS048562 CYS USD R V 03MSOFR CCS048562 XCURRENCYMTM / Short: CCS048562 CYS JPY P V 03MTONAR CCS048570 XCURRENCYMTM        | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $11287.81     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02K0G6 IRS AUD R F  4.25000 SWU02K0G6 CCPVANILLA / Short: SWU02K0G6 IRS AUD P V 06MBBSW SWUV2K0G8 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5200000 | OU      | $-183285.59   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02L1O6 IRS USD R F  3.75000 SWU02L1O6 CCPOIS / Short: SWU02L1O6 IRS USD P V 12MSOFR SWUV2L1O8 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20900000 | OU      | $210952.06    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02L1X6 IRS USD R V 12MSOFR SWUV2L1X8 CCPOIS / Short: BWU02L1X6 IRS USD P F  3.75000 SWU02L1X6 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7800000 | OU      | $621165.48    | 0.22%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02L1T5 IRS USD R V 12MSOFR SWUV2L1T7 CCPOIS / Short: BWU02L1T5 IRS USD P F  3.75000 SWU02L1T5 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   17800000 | OU      | $158557.06    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BWPC0NUR5 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0NUR5 CDS USD P F  1.00000 1 CCPCDX                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   27729000 | OU      | $-239606.29   | -0.09%            |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0NUQ7 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0NUQ7 CDS USD P V 03MEVENT 2 CCPCDX                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  183967000 | OU      | $4145659.55   | 1.48%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02KNU0 IRS JPY R F  1.25000 SWU02KNU0 CCPOIS / Short: SWU02KNU0 IRS JPY P V 12MTONAR SWUV2KNU2 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1640000000 | OU      | $-164103.85   | -0.06%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | Long: SWPC44SD7 CDS EUR R F  5.00000 FIX ITRAXXTRANCHE / Short: SWPC44SD7 CDS EUR P V 03MEVENT FLO ITRAXXTRANCHE                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     500000 | OU      | $115075.92    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | Long: CCS0286B2 CYS USD R V 03MSOFR CCS0286B2 XCURRENCYMTM / Short: CCS0286B2 CYS GBP P V 03MSONIA CCS0286A4 XCURRENCYMTM        | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-16302.86    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02LUR7 IRS NZD R V 03MNZDBB SWUV2LUR9 CCPVANILLA / Short: BWU02LUR7 IRS NZD P F  2.50000 SWU02LUR7 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9100000 | OU      | $76766.70     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02K0I2 IRS NZD R V 03MNZDBB SWUV2K0I4 CCPVANILLA / Short: BWU02K0I2 IRS NZD P F  3.50000 SWU02K0I2 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20100000 | OU      | $179738.36    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWU02M7T7 IRS BRL R F 12.97000 SWU02M7T7 CCPNDFPREDISWAP / Short: SWU02M7T7 IRS BRL P V 00MBRCDI SWUV2M7T9 CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   36200000 | OU      | $21576.37     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02KNZ9 IRS JPY R V 12MTONAR SWUV2KNZ1 CCPOIS / Short: BWU02KNZ9 IRS JPY P F  2.50000 SWU02KNZ9 CCPOIS                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  380000000 | OU      | $230159.79    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02MJL1 IRS USD R V 12MSOFR SWUV2MJL3 CCPOIS / Short: BWU02MJL1 IRS USD P F  3.29000 SWU02MJL1 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     582000 | OU      | $4083.60      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWU02MOF8 IRS CZK R F  4.52250 SWU02MOF8 CCPVANILLA / Short: SWU02MOF8 IRS CZK P V 06MPRIBO SWUV2MOF0 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  127500000 | OU      | $57289.82     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWU02MOG6 IRS PLN R V 06MWIBOR SWUV2MOG8 CCPVANILLA / Short: BWU02MOG6 IRS PLN P F  4.72250 SWU02MOG6 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23400000 | OU      | $7456.65      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWU02MOO9 IRS CZK R F  4.48500 SWU02MOO9 CCPVANILLA / Short: SWU02MOO9 IRS CZK P V 06MPRIBO SWUV2MOO1 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   37900000 | OU      | $14401.27     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWU02MOP6 IRS PLN R V 06MWIBOR SWUV2MOP8 CCPVANILLA / Short: BWU02MOP6 IRS PLN P F  4.68500 SWU02MOP6 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6700000 | OU      | $4732.81      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | Long: CCS0489A9 CYS USD R V 03MSOFR CCS0489A9 XCURRENCYMTM / Short: CCS0489A9 CYS JPY P V 03MTONAR CCS0489B7 XCURRENCYMTM        | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $2885.26      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02MJQ0 IRS USD R V 12MSOFR SWUV2MJQ2 CCPOIS / Short: BWU02MJQ0 IRS USD P F  4.01000 SWU02MJQ0 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $65172.42     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02MSY3 IRS USD R V 12MSOFR SWUV2MSY5 CCPOIS / Short: BWU02MSY3 IRS USD P F  3.37500 SWU02MSY3 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     648300 | OU      | $2426.26      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02MT14 IRS USD R V 12MSOFR SWUV2MT16 CCPOIS / Short: BWU02MT14 IRS USD P F  4.07500 SWU02MT14 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1723700 | OU      | $44138.27     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02MT30 IRS SGD R V 06MSORA SWUV2MT32 CCPOIS / Short: BWU02MT30 IRS SGD P F  1.25000 SWU02MT30 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16400000 | OU      | $7879.63      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWU02MZ74 IRS BRL R F 13.26830 SWU02MZ74 CCPNDFPREDISWAP / Short: SWU02MZ74 IRS BRL P V 00MBRCDI SWUV2MZ76 CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   42000000 | OU      | $81822.73     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02JZH9 IRS USD R V 12MSOFR SWUV2JZH1 CCPOIS / Short: BWU02JZH9 IRS USD P F  4.00000 SWU02JZH9 CCPOIS                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   18910000 | OU      | $-198747.88   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3700000 | PA      | $226219.69    | 0.08%             | 2048-02-28      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     600000 | PA      | $400433.41    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   28400000 | PA      | $1806025.44   | 0.65%             | 2030-01-31      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| MALAYSIA GOVERNMENT                               | Malaysia Government Bond                                                                                                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1400000 | PA      | $390205.54    | 0.14%             | 2037-04-07      | Fixed         | 4.76%                 | No            | 2                  | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     500000 | PA      | $287571.75    | 0.10%             | 2037-11-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $359354.41    | 0.13%             | 2028-11-13      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     394000 | PA      | $454581.44    | 0.16%             | 2029-04-30      | Fixed         | 1.45%                 | No            | 2                  | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                                                                              | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  317156000 | PA      | $2057425.56   | 0.74%             | 2029-03-10      | Fixed         | 0.10%                 | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     800000 | PA      | $425230.44    | 0.15%             | 2034-07-20      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     400000 | PA      | $229358.26    | 0.08%             | 2033-03-08      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| MALAYSIA GOVERNMENT                               | Malaysia Government Bond                                                                                                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     800000 | PA      | $195854.12    | 0.07%             | 2031-04-15      | Fixed         | 2.63%                 | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     500000 | PA      | $281746.78    | 0.10%             | 2032-08-20      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| NEXI SPA                                          | Nexi SpA                                                                                                                         | CUSIP: 000000000<br>LEI: 5493000P70CQRQG8SN85 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $354896.92    | 0.13%             | 2026-04-30      | Fixed         | 1.63%                 | No            | 2                  | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    1700000 | PA      | $918992.19    | 0.33%             | 2034-03-20      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $115832.30    | 0.04%             | 2081-09-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     400000 | PA      | $373247.34    | 0.13%             | 2036-09-23      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| Carlyle Euro CLO                                  | Carlyle Euro CLO 2021-2 DAC                                                                                                      | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $711026.24    | 0.25%             | 2035-10-15      | Floating      | 3.01%                 | No            | 2                  | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $434275.51    | 0.16%             | 2053-07-31      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  160000000 | PA      | $628782.63    | 0.22%             | 2052-06-20      | Fixed         | 1.30%                 | No            | 2                  | On Loan: No      |
| REGION WALLONNE                                   | Region Wallonne Belgium                                                                                                          | CUSIP: 000000000<br>LEI: 529900HPQFHMCG25MZ72 | Long             | DBT              | NUSS              | BE        |     800000 | PA      | $857368.07    | 0.31%             | 2038-01-14      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1700000 | PA      | $2064663.54   | 0.74%             | 2028-04-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  400000000 | PA      | $2043964.85   | 0.73%             | 2042-12-20      | Fixed         | 1.40%                 | No            | 2                  | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  140000000 | PA      | $476801.50    | 0.17%             | 2063-03-20      | Fixed         | 1.30%                 | No            | 2                  | On Loan: No      |
| BANCA MONTE DEI PASCHI S                          | Banca Monte dei Paschi di Siena SpA                                                                                              | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     700000 | PA      | $849519.42    | 0.30%             | 2027-09-05      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1700000 | PA      | $2088201.86   | 0.75%             | 2029-05-31      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    1100000 | PA      | $755613.80    | 0.27%             | 2036-07-21      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| SANDOZ FINANCE B.V.                               | Sandoz Finance BV                                                                                                                | CUSIP: 000000000<br>LEI: 213800DFA3WXJ7KC9R74 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $1243482.97   | 0.44%             | 2030-04-17      | Fixed         | 4.22%                 | No            | 2                  | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $610335.21    | 0.22%             | 2029-01-11      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                     | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $370374.42    | 0.13%             | 2033-06-09      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| Saudi Government International Bonds              | Saudi Government International Bonds                                                                                             | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    2500000 | PA      | $2534246.08   | 0.91%             | 2030-01-16      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   37500000 | PA      | $6971711.06   | 2.49%             | 2026-04-01      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   50000000 | PA      | $209379.04    | 0.07%             | 2053-12-20      | Fixed         | 1.60%                 | No            | 2                  | On Loan: No      |
| Gaci First Investment Co.                         | Gaci First Investment Co.                                                                                                        | CUSIP: 000000000<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1116745.62   | 0.40%             | 2029-01-29      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Gaci First Investment Co.                         | Gaci First Investment Co.                                                                                                        | CUSIP: 000000000<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1117440.36   | 0.40%             | 2034-01-29      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $366734.49    | 0.13%             | 2035-02-12      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $726002.44    | 0.26%             | 2036-02-22      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                   | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $241989.06    | 0.09%             | 2035-03-21      | Fixed         | 3.96%                 | No            | 2                  | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $935755.45    | 0.33%             | 2032-04-15      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9000000 | PA      | $10748178.41  | 3.84%             | 2030-02-25      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| JAB HOLDINGS BV                                   | JAB Holdings BV                                                                                                                  | CUSIP: 000000000<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $734027.96    | 0.26%             | 2034-04-25      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2023-Vantage 3 PLC                                                                                   | CUSIP: 000000000<br>LEI: 6354009WAXGJMASHCS30 | Long             | ABS-MBS          | CORP              | GB        |     505128 | PA      | $693093.05    | 0.25%             | 2054-02-20      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Arbour CLO                                        | Arbour CLO DAC                                                                                                                   | CUSIP: 000000000<br>LEI: 549300YXBWG4ECHKDX72 | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1660407.07   | 0.59%             | 2038-05-15      | Floating      | 3.39%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $119413.68    | 0.04%             | 2037-05-30      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Short            | DBT              | NUSS              | RO        |    -100000 | PA      | $-119413.68   | -0.04%            | 2037-05-30      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $123739.65    | 0.04%             | 2032-05-30      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    5050000 | PA      | $6139173.43   | 2.19%             | 2034-10-31      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Rockford Tower Europe CLO                         | Rockford Tower Europe CLO 2021-2 DAC                                                                                             | CUSIP: 000000000<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1659491.03   | 0.59%             | 2035-01-24      | Floating      | 2.99%                 | No            | 2                  | On Loan: No      |
| Japan Government Five Year Bonds                  | Japan Government Five Year Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  120000000 | PA      | $753652.11    | 0.27%             | 2029-06-20      | Fixed         | 0.60%                 | No            | 2                  | On Loan: No      |
| Palmer Square European Loan Funding 2020-1 DAC    | Palmer Square European Loan Funding 2024-2 DAC                                                                                   | CUSIP: 000000000<br>LEI: 254900G4AVDGFB7U1712 | Long             | ABS-CBDO         | CORP              | IE        |     501407 | PA      | $594614.31    | 0.21%             | 2034-05-15      | Floating      | 3.05%                 | No            | 2                  | On Loan: No      |
| Tower Bridge Funding                              | Tower Bridge Funding 2024-3 PLC                                                                                                  | CUSIP: 000000000<br>LEI: 635400XMA28GDAPK1E69 | Long             | ABS-MBS          | CORP              | GB        |     673750 | PA      | $922560.64    | 0.33%             | 2066-12-20      | Floating      | 4.55%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $493588.02    | 0.18%             | 2031-09-24      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Providus CLO                                      | Providus CLO II DAC                                                                                                              | CUSIP: 000000000<br>LEI: 635400JFBYET5G2XFP83 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $950551.72    | 0.34%             | 2038-10-15      | Floating      | 3.18%                 | No            | 2                  | On Loan: No      |
| Grosvenor Place CLO BV                            | Grosvenor Place CLO 2024-2 DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400MCCB6TWMK1AY05 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $830408.48    | 0.30%             | 2039-01-15      | Floating      | 3.26%                 | No            | 2                  | On Loan: No      |
| Kinbane DAC                                       | Kinbane 2024-Rpl 2 DAC                                                                                                           | CUSIP: 000000000<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |     565967 | PA      | $671877.72    | 0.24%             | 2063-01-24      | Floating      | 3.07%                 | No            | 2                  | On Loan: No      |
| St Pauls CLO                                      | St Pauls CLO                                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     531441 | PA      | $628998.58    | 0.22%             | 2032-01-17      | Floating      | 2.88%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3200000 | PA      | $3809307.60   | 1.36%             | 2028-05-31      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   58650000 | PA      | $291358.92    | 0.10%             | 2054-12-20      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  120000000 | PA      | $652594.99    | 0.23%             | 2044-12-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     100000 | PA      | $118380.86    | 0.04%             | 2035-04-30      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                              | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     400000 | PA      | $476419.17    | 0.17%             | 2032-03-05      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                              | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     100000 | PA      | $116522.90    | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Invesco Euro CLO                                  | Invesco Euro CLO V DAC                                                                                                           | CUSIP: 000000000<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |    1065929 | PA      | $1261718.13   | 0.45%             | 2034-01-15      | Floating      | 3.04%                 | No            | 2                  | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  109000000 | PA      | $630595.57    | 0.23%             | 2045-03-20      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| SOUTH AFRICAN T-BILLS                             | South Africa Treasury Bill                                                                                                       | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | STIV             | NUSS              | ZA        |    7890000 | PA      | $481442.95    | 0.17%             | 2026-04-22      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Braccan Mortgage Funding                          | Braccan Mortgage Funding 2025-1 PLC                                                                                              | CUSIP: 000000000<br>LEI: 6354003DBF3NI8QJRR63 | Long             | ABS-MBS          | CORP              | GB        |     991677 | PA      | $1360366.94   | 0.49%             | 2067-05-17      | Floating      | 4.70%                 | No            | 2                  | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     900000 | PA      | $1251219.54   | 0.45%             | 2056-01-31      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| SOUTH AFRICAN T-BILLS                             | South Africa Treasury Bill                                                                                                       | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | STIV             | NUSS              | ZA        |   13240000 | PA      | $803753.55    | 0.29%             | 2026-05-20      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     400000 | PA      | $460300.77    | 0.16%             | 2045-07-18      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     300000 | PA      | $351675.02    | 0.13%             | 2035-07-18      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| SOUTH AFRICAN T-BILLS                             | South Africa Treasury Bill                                                                                                       | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | STIV             | NUSS              | ZA        |   15160000 | PA      | $905042.83    | 0.32%             | 2026-08-19      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Together Asset Backed Securitisation              | Together Asset Backed Securitisation 14 2025-1ST1 PLC                                                                            | CUSIP: 000000000<br>LEI: 213800ATT519H28VFU67 | Long             | ABS-MBS          | CORP              | GB        |     468682 | PA      | $642249.40    | 0.23%             | 2066-08-15      | Floating      | 4.49%                 | No            | 2                  | On Loan: No      |
| CASSA DEPOSITI E PRESTIT                          | Cassa Depositi e Prestiti SpA                                                                                                    | CUSIP: 000000000<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |     500000 | PA      | $499230.94    | 0.18%             | 2030-10-01      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Elstree Funding                                   | Elstree 2025-2 1st PLC                                                                                                           | CUSIP: 000000000<br>LEI: 2138008Y99GI8Q29TP62 | Long             | ABS-MBS          | CORP              | GB        |     495453 | PA      | $678156.98    | 0.24%             | 2065-10-21      | Floating      | 4.47%                 | No            | 2                  | On Loan: No      |
| Cairn CLO BV                                      | Cairn CLO XI DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 54930036FO0EWQ03QK50 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $711791.79    | 0.25%             | 2040-01-15      | Floating      | 3.19%                 | No            | 2                  | On Loan: No      |
| EGYPT GOVERNMENT BOND                             | Egypt Government Bond                                                                                                            | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   35200000 | PA      | $745164.72    | 0.27%             | 2030-10-14      | Fixed         | 19.70%                | No            | 2                  | On Loan: No      |
| BAYFRONT IABS VII PTE. LTD.                       | Bayfront Iabs VII Pte Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 213800DAFLLBYWNXMG91 | Long             | ABS-CBDO         | CORP              | SG        |    1300000 | PA      | $1302717.00   | 0.47%             | 2048-04-11      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| Indigo Credit Management                          | Indigo Credit Management I DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400RPIEMF9A3ZKM59 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $712983.49    | 0.25%             | 2037-10-15      | Floating      | 3.28%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR26                                                                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -118 | NC      | $62011.19     | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR26                                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -213 | NC      | $10295.38     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR26                                                                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -145 | NC      | $198736.65    | 0.07%             |  |  |  | No            | 1                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $-9487.35     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR26                                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        112 | NC      | $62812.48     | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE MAR26                                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -212 | NC      | $-56520.81    | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -27 | NC      | $28650.24     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        145 | NC      | $-122307.06   | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -38 | NC      | $103500.22    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        238 | NC      | $-91395.81    | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -71 | NC      | $7124.99      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        177 | NC      | $-259316.23   | -0.09%            |  |  |  | No            | 1                  | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE MAR26                                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        159 | NC      | $141.91       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -266 | NC      | $33978.80     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal          | CAN 10YR BOND FUT MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |         -7 | NC      | $5901.92      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN MAR26P 111                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -12 | NC      | $-1500.00     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -65 | NC      | $715491.24    | 0.26%             |  |  |  | No            | 1                  | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT MAR26                                                                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         31 | NC      | $-4435.28     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN MAR26C 113                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -4 | NC      | $-468.75      | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN MAR26C 112.5                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -8 | NC      | $-1562.50     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN MAR26C 113.5                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -13 | NC      | $-1117.19     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN MAR26P 111.5                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -13 | NC      | $-3554.69     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2600000 | PA      | $139309.82    | 0.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                     | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     275000 | PA      | $324275.11    | 0.12%             | 2027-06-24      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| GLENCORE FINANCE EUROPE                           | Glencore Finance Europe Ltd                                                                                                      | CUSIP: 000000000<br>LEI: 213800WHKNIC1JQQG433 | Long             | DBT              | CORP              | JE        |     100000 | PA      | $136571.54    | 0.05%             | 2026-03-26      | Fixed         | 3.13%                 | No            | 2                  | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    1300000 | PA      | $742608.07    | 0.27%             | 2033-09-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     600000 | PA      | $312183.55    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    2000000 | PA      | $1124549.90   | 0.40%             | 2033-08-22      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    8200000 | PA      | $11397182.70  | 4.07%             | 2030-03-07      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   90500000 | PA      | $5901640.03   | 2.11%             | 2035-02-28      | Fixed         | 8.88%                 | No            | 2                  | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1347171.79   | 0.48%             | 2030-01-18      | Fixed         | 5.72%                 | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                           | CUSIP: 000000000<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $831130.96    | 0.30%             | 2029-01-09      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                     | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     600000 | PA      | $628577.21    | 0.22%             | 2035-02-08      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                     | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1000000 | PA      | $1033435.94   | 0.37%             | 2030-02-08      | Fixed         | 5.43%                 | No            | 2                  | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                        | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     560000 | PA      | $539681.44    | 0.19%             | 2030-01-21      | Fixed         | 3.68%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RH83 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1273000 | OU      | $-745.98      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RH75 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    1273000 | OU      | $1098.60      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750RI25 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |     311000 | OU      | $268.39       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750RI33 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |    -311000 | OU      | $-182.25      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RIH2 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    2666000 | OU      | $2322.09      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RIG4 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -2666000 | OU      | $-1612.93     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RXO0 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    1062000 | OU      | $2886.52      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RXP7 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |   -1062000 | OU      | $-12623.99    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750S4A0 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     530000 | OU      | $1514.68      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750S543 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     687000 | OU      | $1053.75      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750S584 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |     671000 | OU      | $1341.00      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750SBA2 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     853071 | OU      | $9476.77      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750SBB0 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -853071 | OU      | $-3539.39     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750SCK9 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -3487929 | OU      | $-14834.16    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750SCJ2 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    3487929 | OU      | $39364.77     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| REPUBLIC OF VENEZUELA                             | Venezuela Government International Bond                                                                                          | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     230000 | PA      | $92598.00     | 0.03%             | 2028-05-07      | None          | 0.00%                 | Yes           | 2                  | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    9300000 | PA      | $2761790.94   | 0.99%             | 2034-08-12      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| PETROLEOS DE VENEZUELA S                          | Petroleos de Venezuela SA                                                                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     390000 | PA      | $113100.00    | 0.04%             | 2027-04-12      | None          | 0.00%                 | Yes           | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2026-02-25

**Name of Applicant:** SUNAMERICA SERIES TRUST

**Signature:** Shawn Parry

**Name of Signer:** Shawn Parry

**Title:** Assistant Treasurer