# EDGAR Filing Document

**Accession Number:** 0000844779
**File Stem:** 0001752724-23-068546
**Filing Date:** 2023-3
**Character Count:** 105277
**Document Hash:** 2907301f9af0a7ce013b7750652af9e0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-068546.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-068546

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK FUNDS
- **CENTRAL INDEX KEY:** 0000844779
- **IRS NUMBER:** 510318674
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05742
- **FILM NUMBER:** 23767028

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COMPASS CAPITAL FUNDS\
- **DATE OF NAME CHANGE:** 19961114

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PNC FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NCP FUNDS
- **DATE OF NAME CHANGE:** 19890511

## Series and Classes Contracts Data

### BlackRock Total Factor Fund (Series ID: S000039515)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000121711 | Institutional Shares |  |
| C000121712 | Investor A Shares    |  |
| C000121713 | Investor C Shares    |  |
| C000177759 | Class K              |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds

- **b. Investment Company Act file number:** 811-05742

- **c. CIK number of Registrant:** 0000844779

- **d. LEI of Registrant:** 549300OZUEVJZHOBFP42

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Total Factor Fund

- **b. EDGAR series identifier (if any):** S000039515

- **c. LEI of Series:** 549300QJL3LCOSP4GF75

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

- **a. Date of fiscal year-end:** 2023-07-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $187287588.94

**Total Liabilities:** $4764167.06

**Net Assets:** $182523421.88

**Amount of Assets Invested in Other Investment Companies:** $17984411.68

**Cash Not Reported:** $27862838.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 30.93000000 | **1-Year:** 301.65000000 | **5-Year:** 3410.37000000 | **10-Year:** 4145.85000000 | **30-Year:** 2290.80000000

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

- **3-Month:** -4084.33000000 | **1-Year:** 0.00000000 | **5-Year:** 4048.58000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000121711 | 0.81%                | 0.41%                | 1.64%                |
| Class ID C000121713 | 0.72%                | 0.32%                | 1.56%                |
| Class ID C000177759 | 0.81%                | 0.58%                | 1.51%                |
| Class ID C000121712 | 0.82%                | 0.43%                | 1.53%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4321199.07             | $9247175.71                                |
| Month 2  | $-166842.18              | $-1515012.66                               |
| Month 3  | $-1978273.54             | $4405221.48                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     174865 | PA      | $193826.48    | 0.11%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     218488 | PA      | $225369.05    | 0.12%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOP                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6579000 | PA      | $37340.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-37689.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $171776.61    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     650877 | PA      | $884850.09    | 0.48%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    2539000 | PA      | $2078682.60   | 1.14%             | 2027-11-21      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     258037 | PA      | $250260.44    | 0.14%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $94992.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-21925.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     810498 | PA      | $766506.47    | 0.42%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | DAX Index                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -11 | NC      | $-97403.67    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    2555000 | PA      | $2690399.90   | 1.47%             | 2030-09-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     324093 | PA      | $335805.89    | 0.18%             | 2036-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     828642 | PA      | $753853.71    | 0.41%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $32253.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     216167 | PA      | $285414.00    | 0.16%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     433291 | PA      | $414656.54    | 0.23%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $142.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     124972 | PA      | $165060.94    | 0.09%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     868443 | PA      | $824978.73    | 0.45%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-54676.73    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-23574.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3329.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     563360 | PA      | $546700.78    | 0.30%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     555709 | PA      | $563944.18    | 0.31%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-142112.40   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     562779 | PA      | $544681.48    | 0.30%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     137797 | PA      | $168307.26    | 0.09%             | 2036-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-41934.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $464532.09    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RBOB Gasoline                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         56 | NC      | $11658.98     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-81648.69    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Brent Crude Oil                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         83 | NC      | $104115.98    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $285.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     449740 | PA      | $438496.52    | 0.24%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-80877.50    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     227545 | PA      | $203432.70    | 0.11%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        | 1605679000 | PA      | $10090.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1584000 | PA      | $1155980.03   | 0.63%             | 2050-02-21      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     269835 | PA      | $309023.78    | 0.17%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     783653 | PA      | $1012122.60   | 0.55%             | 2040-07-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-23583.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI Hong Kong Equity Index                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         61 | NC      | $105210.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3867.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     591272 | PA      | $636426.80    | 0.35%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $42689.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     579931 | PA      | $547661.01    | 0.30%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     224675 | PA      | $219248.54    | 0.12%             | 2053-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1235.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Amsterdam Exchange Index                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        -13 | NC      | $6914.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     315397 | PA      | $347167.75    | 0.19%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-100445.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOP                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -6579000 | PA      | $-10231.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $112790.42    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $62647.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPI 200 Index                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |         40 | NC      | $212748.02    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 100 oz Gold                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         12 | NC      | $-10359.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      34398 | PA      | $43964.98     | 0.02%             | 2073-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      67413 | PA      | $80670.81     | 0.04%             | 2065-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     179289 | PA      | $249281.96    | 0.14%             | 2037-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1014.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Silver                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -16 | NC      | $4808.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-80838.43    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Low Sulphur Gasoil                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -35 | NC      | $129410.75    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |      95323 | PA      | $129589.03    | 0.07%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE China A50 Index                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       -203 | NC      | $-18935.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12856.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     154878 | PA      | $166495.17    | 0.09%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-141754.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6203.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9032.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     426170 | PA      | $377688.86    | 0.21%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-42271.04    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-107578.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-35700.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Total Return Basket Swap                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |    -186521 | NS      | $31543.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-19447.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Australia 10 Year Bonds                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -20 | NC      | $-22724.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     150565 | PA      | $194592.06    | 0.11%             | 2062-03-22      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5508.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13529.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     271328 | PA      | $234174.26    | 0.13%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     344004 | PA      | $404419.67    | 0.22%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $21059.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-42891.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     120420 | PA      | $140557.03    | 0.08%             | 2058-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Note                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        178 | NC      | $41474.89     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     167901 | PA      | $197685.09    | 0.11%             | 2044-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9972.48     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-17884.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      26346 | PA      | $28025.73     | 0.02%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-29878.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1661000 | PA      | $1590899.32   | 0.87%             | 2035-08-21      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     445296 | PA      | $436575.70    | 0.24%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     148767 | PA      | $180266.56    | 0.10%             | 2052-03-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $91893.68     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     677521 | PA      | $739159.54    | 0.40%             | 2025-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $46129.83     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      32999 | PA      | $33198.50     | 0.02%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-933960.85   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     172175 | PA      | $189300.02    | 0.10%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1868.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3640.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GB        |      73000 | PA      | $222355.43    | 0.12%             | 2035-01-26      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    3071000 | PA      | $3193946.51   | 1.75%             | 2025-09-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     451632 | PA      | $480957.50    | 0.26%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-83096.22    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Total Return Basket Swap                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |     -10913 | NS      | $9986.04      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                          | Federal Republic of Germany                      | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    1185621 | PA      | $1322795.62   | 0.72%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-42274.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $51131.85     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     917812 | PA      | $998777.71    | 0.55%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     164729 | PA      | $198496.17    | 0.11%             | 2068-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      29360 | PA      | $34086.55     | 0.02%             | 2051-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     550928 | PA      | $528191.90    | 0.29%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |  239079072 | PA      | $173486.36    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     165267 | PA      | $216388.34    | 0.12%             | 2042-11-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     734316 | PA      | $698166.96    | 0.38%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     391950 | PA      | $397048.41    | 0.22%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-56548.32    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Total Return Basket Swap                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |     -18404 | NS      | $170743.46    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                               | Canadian Government Bond                         | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1687872 | PA      | $1337193.51   | 0.73%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     572894 | PA      | $395251.76    | 0.22%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-140885.49   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     748572 | PA      | $793440.26    | 0.43%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IBEX 35 Index                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |         67 | NC      | $100374.22    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    2263059 | PA      | $-24968.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Total Return Basket Swap                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |    -187468 | NS      | $20494.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | TOPIX Index                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         80 | NC      | $397503.07    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12505.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $878.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     158447 | PA      | $185025.55    | 0.10%             | 2046-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Total Return Basket Swap                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |    -962982 | NS      | $167553.28    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CDI                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    4967000 | PA      | $306716.20    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-18923.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     190301 | PA      | $247374.76    | 0.14%             | 2040-03-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     248384 | PA      | $248188.82    | 0.14%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11973.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     285637 | PA      | $290370.73    | 0.16%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12712.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     769428 | PA      | $836375.23    | 0.46%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1221.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SGX NIFTY 50 Index                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       -245 | NC      | $177336.47    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     264019 | PA      | $190465.27    | 0.10%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    5341085 | PA      | $70408.58     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9481.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     135615 | PA      | $161779.78    | 0.09%             | 2041-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     127033 | PA      | $157725.82    | 0.09%             | 2028-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $40798.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      91272 | PA      | $106136.43    | 0.06%             | 2048-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $67970.38     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $20678.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     545980 | PA      | $521687.94    | 0.29%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-69582.39    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-52980.74    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8399.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     241369 | PA      | $203902.90    | 0.11%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-66075.46    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7227.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Brent Crude Oil                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -51 | NC      | $-11836.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     248981 | PA      | $238775.81    | 0.13%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16676.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                          | Federal Republic of Germany                      | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     999163 | PA      | $1075797.31   | 0.59%             | 2026-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1665.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-41715.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-42748.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $43812.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1408.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13044.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     470952 | PA      | $433735.67    | 0.24%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Canada                                               | Canadian Government Bond                         | CUSIP: 135087YK4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1492663 | PA      | $1265962.17   | 0.69%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | WTI Crude Oil                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         20 | NC      | $-15236.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22718.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Total Return Basket Swap                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |    -443554 | NS      | $79059.56     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-141095.47   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $85739.56     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2270.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-318261.29   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     184525 | PA      | $247908.73    | 0.14%             | 2047-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $55755.81     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                          | Federal Republic of Germany                      | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     380094 | PA      | $412012.27    | 0.23%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $133026.80    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-118097.60   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     191743 | PA      | $245761.64    | 0.13%             | 2050-03-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        | 1318097550 | PA      | $-29359.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OMX Stockholm 30 Index                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -110 | NC      | $19768.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      97808 | PA      | $117285.75    | 0.06%             | 2039-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Long Gilt                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        129 | NC      | $147605.92    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     563840 | PA      | $509068.88    | 0.28%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1623000 | PA      | $1346715.13   | 0.74%             | 2040-08-21      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $237512.77    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE 100 Index                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |         70 | NC      | $54336.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                            | Commonwealth of Australia                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1565000 | PA      | $1102213.96   | 0.60%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CAC 40 10 Euro Index                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |         37 | NC      | $6612.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |  314937000 | PA      | $-3014.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $14692.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2453.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $545.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8996.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     276494 | PA      | $235556.94    | 0.13%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $92.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                            | T-Fund, Institutional Class                      | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |   35668599 | NS      | $35668599.31  | 19.54%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | Euro-Bund                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -573 | NC      | $3392081.06   | 1.86%             |  |  |  | No            |                  1 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     687733 | PA      | $672976.57    | 0.37%             | 2047-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                          | Federal Republic of Germany                      | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     688645 | PA      | $780830.02    | 0.43%             | 2046-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      97392 | PA      | $114162.58    | 0.06%             | 2056-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     249545 | PA      | $250672.70    | 0.14%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     127646 | PA      | $157211.39    | 0.09%             | 2026-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2797.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-81846.30    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $79070.68     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-58895.04    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     174406 | PA      | $214235.08    | 0.12%             | 2024-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds, Series 8MO | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GB        |      37000 | PA      | $155317.09    | 0.09%             | 2030-07-22      | Fixed         | 10.94%                | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     258478 | PA      | $336908.65    | 0.18%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     146899 | PA      | $235744.52    | 0.13%             | 2055-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOP                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -11641000 | PA      | $-67553.10    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4416.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P/TSX 60 Index                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |         33 | NC      | $241152.35    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | SOP                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11641000 | PA      | $187281.94    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1325146 | PA      | $1537990.65   | 0.84%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     315178 | PA      | $278686.16    | 0.15%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $19552.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $59642.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     565115 | PA      | $538635.84    | 0.30%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12612.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-140863.92   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     290119 | PA      | $383055.63    | 0.21%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P 500 E-Mini Index                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -16 | NC      | $-72289.85    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | CDI                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    4618000 | PA      | $276783.96    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13142.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     227721 | PA      | $315318.93    | 0.17%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     495335 | PA      | $473983.62    | 0.26%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     493654 | PA      | $477520.66    | 0.26%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-26845.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     503943 | PA      | $463175.20    | 0.25%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE/MIB Index                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |        -13 | NC      | $-71242.47    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-140730.30   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11469.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $14144.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds, Series 8MO | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GB        |      52000 | PA      | $238040.03    | 0.13%             | 2024-01-17      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     664803 | PA      | $622888.82    | 0.34%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16553.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11543.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $368491.32    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    1109458 | PA      | $11624.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $74018.53     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-38798.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     129357 | PA      | $162084.54    | 0.09%             | 2031-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bills                              | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   45000000 | PA      | $44401762.35  | 24.33%            | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Canada                                               | Canadian Government Bond                         | CUSIP: 135087B94<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1290300 | PA      | $980377.53    | 0.54%             | 2047-12-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-23138.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1564.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $69474.09     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-36695.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                      | French Republic                                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     931391 | PA      | $1037766.56   | 0.57%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     292492 | PA      | $255344.65    | 0.14%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10746.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                               | Canadian Government Bond                         | CUSIP: 135087XQ2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1439945 | PA      | $1325684.45   | 0.73%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Bonds             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     803164 | PA      | $553712.87    | 0.30%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-346.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     774582 | PA      | $749218.79    | 0.41%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7518.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7837.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     538659 | PA      | $491515.95    | 0.27%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     281791 | PA      | $274225.70    | 0.15%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-232655.28   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-47752.76    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Canada 10 Year Bonds                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        307 | NC      | $287110.51    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    7120835 | PA      | $34128.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10389.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. Treasury Inflation Linked Bonds             | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     190152 | PA      | $235800.65    | 0.13%             | 2029-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ETRSI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    1811253 | PA      | $-20855.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9920.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-124072.40   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5580.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $88821.38     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes             | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     472609 | PA      | $455911.19    | 0.25%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** BlackRock Funds

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer