# EDGAR Filing Document

**Accession Number:** 0000892538
**File Stem:** 0001410368-25-012420
**Filing Date:** 2025-9
**Character Count:** 245928
**Document Hash:** 199ee800151d32e23f23901ad1663d9e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-012420.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0001410368-25-012420

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20260131

**FILER**: 

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

**ORGANIZATION NAME:**
- **EIN:** 137002445
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07238
- **FILM NUMBER:** 251350296

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 21650 Oxnard Street, 10th Floor

  - **City:** Woodland Hills

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 91367

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-07-31

**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:** $651837347.04

**Total Liabilities:** $371519320.66

**Net Assets:** $280318026.38

**Delayed Delivery Securities:** $178250161.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -474.44000000 | **1-Year:** -8312.86000000 | **5-Year:** -18290.98000000 | **10-Year:** -17882.48000000 | **30-Year:** -1620.57000000

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

- **3-Month:** -40.33000000 | **1-Year:** -3118.68000000 | **5-Year:** -85216.56000000 | **10-Year:** 18317.72000000 | **30-Year:** -0.54000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000022016 | 0.11%                | 1.84%                | 0.11%                |
| Class ID C000022017 | 0.11%                | 1.75%                | 0.11%                |
| Class ID C000022015 | 0.11%                | 1.81%                | 0.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-871812.43              | $-778690.26                                |
| Month 2  | $925776.30               | $4750764.37                                |
| Month 3  | $742827.80               | $-5177397.69                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| AFRICAN EXPORT-IMPORT BA                          | African Export-Import Bank/The                                                                                            | CUSIP: 00831TAC5<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | XX        |     200000 | PA      | $173902.10    | 0.06%             | 2031-05-17      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $-1259.49     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| PETROLEOS DE VENEZUELA S                          | Petroleos de Venezuela SA                                                                                                 | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     390000 | PA      | $53676.53     | 0.02%             | 2027-04-12      | None          | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-6                                                                           | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     984557 | PA      | $982471.52    | 0.35%             | 2055-05-25      | Floating      | 5.60%                 | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0NEX0 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0NEX0 CDS USD P V 03MEVENT 2 CCPCDX                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  212000000 | OU      | $4584139.60   | 1.64%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                                    | CUSIP: 61691YAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812000 | PA      | $724496.77    | 0.26%             | 2054-05-15      | Fixed         | 2.73%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2187828.13   | 0.78%             | 2048-11-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $59919.36     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| SANDOZ FINANCE B.V.                               | Sandoz Finance BV                                                                                                         | CUSIP: 000000000<br>LEI: 213800DFA3WXJ7KC9R74 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $1204105.31   | 0.43%             | 2030-04-17      | Fixed         | 4.22%                 | No            | 2                  | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                         | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     500000 | PA      | $505346.88    | 0.18%             | 2029-03-18      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| Alimentation Couche-Tard Inc                      | Alimentation Couche-Tard Inc                                                                                              | CUSIP: 01626UV44<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |     800000 | PA      | $799590.08    | 0.29%             | 2025-08-04      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                                                                     | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5038878 | PA      | $5222440.08   | 1.86%             | 2028-10-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67900000 | PA      | $70032893.81  | 24.98%            | 2054-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02A169 IRS AUD R F  3.75000 SWU02A169 CCPVANILLA / Short: SWU02A169 IRS AUD P V 06MBBSW SWUV2A161 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   61000000 | OU      | $55521.30     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $303.85       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                            | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $234371.49    | 0.08%             | 2035-03-21      | Fixed         | 3.96%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02HEU7 IRS USD R V 12MSOFR SWUV2HEU9 CCPOIS / Short: BWU02HEU7 IRS USD P F  3.96000 SWU02HEU7 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     761000 | OU      | $11322.31     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JAB HOLDINGS BV                                   | JAB Holdings BV                                                                                                           | CUSIP: 000000000<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $701210.38    | 0.25%             | 2034-04-25      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02J830 IRS SGD R V 06MSORA SWUV2J832 CCPOIS / Short: BWU02J830 IRS SGD P F  2.00000 SWU02J830 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3930000 | OU      | $2945.69      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $115331.04    | 0.04%             | 2032-05-30      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                                                                | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     300000 | PA      | $302426.71    | 0.11%             | 2034-02-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        139 | NC      | $173837.02    | 0.06%             |  |  |  | No            | 1                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3605000 | PA      | $3651448.01   | 1.30%             | 2054-09-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                      | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     297000 | PA      | $290333.55    | 0.10%             | 2026-04-27      | Fixed         | 1.63%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                | CUSIP: 21H062685<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6100000 | PA      | $6261050.19   | 2.23%             | 2054-08-20      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $99817.31     | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED AUD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |          1 | NC      | $-6512.99     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                              | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1000000 | PA      | $1025151.81   | 0.37%             | 2030-02-08      | Fixed         | 5.43%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE SEP25                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        109 | NC      | $8662.25      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                          | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1444333 | PA      | $1468972.34   | 0.52%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PEN                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3327.19     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02CVI6 IRS USD R V 12MSOFR SWUV2CVI8 CCPOIS / Short: BWU02CVI6 IRS USD P F  3.94000 SWU02CVI6 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3900000 | OU      | $3221.01      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9WAA0 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -700000 | NC      | $-1572.41     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU020E18 IRS GBP R F  3.00000 SWU020E18 CCPOIS / Short: SWU020E18 IRS GBP P V 12MSONIA SWUV20E10 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20800000 | OU      | $-337482.23   | -0.12%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU022IB8 IRS JPY R F  1.00000 SWU022IB8 CCPOIS / Short: SWU022IB8 IRS JPY P V 12MTONAR SWUV22IB0 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1730000000 | OU      | $-283184.25   | -0.10%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs International                       | Long: CCS0314T9 CYS USD R V 03MSOFR CCS0314T9 XCURRENCYMTM / Short: CCS0314T9 CYS JPY P V 03MTONAR CCS0314S1 XCURRENCYMTM | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |          1 | NC      | $21491.01     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02J2I3 IRS GBP R F  3.75000 SWU02J2I3 CCPOIS / Short: SWU02J2I3 IRS GBP P V 12MSONIA SWUV2J2I5 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   19100000 | OU      | $2169.30      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Palmer Square European Loan Funding               | Palmer Square European Loan Funding 2024-2 DAC                                                                            | CUSIP: 000000000<br>LEI: 254900G4AVDGFB7U1712 | Long             | ABS-CBDO         | CORP              | IE        |     618896 | PA      | $706376.46    | 0.25%             | 2034-05-15      | Floating      | 3.13%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                                                                        | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1508804.81   | 0.54%             | 2027-05-21      | Fixed         | 5.41%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $70483.93     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                         | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $204392.93    | 0.07%             | 2030-02-12      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2022-C62                                                                            | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $446331.14    | 0.16%             | 2055-04-15      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| CANADIAN IMPERIAL BANK                            | Canadian Imperial Bank of Commerce                                                                                        | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    1900000 | PA      | $1948949.93   | 0.70%             | 2030-01-14      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                         | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30821 | PA      | $33087.90     | 0.01%             | 2042-10-25      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                                                         | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  140000000 | PA      | $541070.29    | 0.19%             | 2063-03-20      | Fixed         | 1.30%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-555.81      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $12556.95     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2024-NQM1                                                                                 | CUSIP: 10570FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     626280 | PA      | $627298.83    | 0.22%             | 2063-12-01      | Variable      | 5.94%                 | No            | 2                  | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                                                                                | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     145000 | PA      | $145037.17    | 0.05%             | 2030-05-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| State Street Global Advisors                      | State Street Institutional US Government Money Market Fund                                                                | CUSIP: 857492656<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    1957970 | NS      | $1957970.13   | 0.70%             |  |  |  | No            | 1                  | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     600000 | PA      | $379933.38    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Bell Telephone Co of Canada or Bell Canada/The    | Bell Telephone Co of Canada or Bell Canada/The                                                                            | CUSIP: 07787PVT2<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249162.38    | 0.09%             | 2025-08-27      | Variable      | 4.59%                 | No            | 2                  | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                            | CUSIP: 00913WV51<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     300000 | PA      | $299804.10    | 0.11%             | 2025-08-05      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F531 IRS USD R V 12MSOFR SWUV2F533 CCPOIS / Short: BWU02F531 IRS USD P F  3.99801 SWU02F531 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $16925.94     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                          | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     328000 | PA      | $324115.22    | 0.12%             | 2027-04-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED IDR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $-2795.44     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-6307.02     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CCGSCHUS9 HSBC COC USD                            | CCGSCHUS9 HSBC COC USD                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      96000 | NS      | $96000.00     | 0.03%             |  |  |  | No            | N/A                | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -100000 | PA      | $-94849.38    | -0.03%            | 2054-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                       | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     725000 | PA      | $741234.98    | 0.26%             | 2035-01-23      | Fixed         | 5.34%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02DBF2 IRS AUD R F  4.25000 SWU02DBF2 CCPVANILLA / Short: SWU02DBF2 IRS AUD P V 06MBBSW SWUV2DBF4 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $8766.77      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     900000 | PA      | $755435.75    | 0.27%             | 2035-11-15      | Fixed         | 3.14%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $-16483.30    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02A169 IRS AUD R V 06MBBSW SWUV2A161 CCPVANILLA / Short: BWU02A169 IRS AUD P F  3.75000 SWU02A169 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   61000000 | OU      | $-55521.30    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2023-PRM3                                                                             | CUSIP: 17331LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $519789.40    | 0.19%             | 2028-07-10      | Variable      | 6.36%                 | No            | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                  | Trinitas CLO VI Ltd                                                                                                       | CUSIP: 89640YBN3<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700744.10    | 0.25%             | 2034-01-25      | Floating      | 5.65%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED SGD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $-7521.10     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  210000000 | PA      | $1284383.95   | 0.46%             | 2044-12-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02EWP5 IRS USD R V 12MSOFR SWUV2EWP7 CCPOIS / Short: BWU02EWP5 IRS USD P F  3.93140 SWU02EWP5 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $37477.98     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| The Federal Republic of Nigeria                   | NIGERIA OMO BILL                                                                                                          | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  551000000 | PA      | $293690.02    | 0.10%             | 2026-06-12      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Nissan Auto Lease Trust                           | Nissan Auto Lease Trust 2024-A                                                                                            | CUSIP: 65481CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     507402 | PA      | $507764.39    | 0.18%             | 2026-10-15      | Fixed         | 5.11%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                                                                     | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3454193 | PA      | $3295434.01   | 1.18%             | 2033-01-15      | Fixed         | 1.13%                 | No            | 2                  | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                         | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $704354.00    | 0.25%             | 2028-03-01      | Floating      | 5.59%                 | No            | 2                  | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   37300000 | PA      | $6505119.27   | 2.32%             | 2025-10-01      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                         | CUSIP: 3136BTXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891637 | PA      | $896547.69    | 0.32%             | 2054-12-25      | Floating      | 5.85%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MYR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $2085.22      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                                                       | CUSIP: 949831AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18058 | PA      | $16303.24     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD NOK                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $13964.46     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    1300000 | PA      | $699000.10    | 0.25%             | 2033-09-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -245 | NC      | $-157106.01   | -0.06%            |  |  |  | No            | 1                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  185000000 | PA      | $1073920.09   | 0.38%             | 2055-03-20      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU0203Z5 IRS USD R V 12MSOFR SWUV203Z7 CCPOIS / Short: BWU0203Z5 IRS USD P F  4.00000 SWU0203Z5 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   33400000 | OU      | $40574.32     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED CNY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $-211.58      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     500000 | PA      | $660787.13    | 0.24%             | 2056-01-31      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| One Bryant Park Trust                             | One Bryant Park Trust 2019-OBP                                                                                            | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $634045.37    | 0.23%             | 2054-09-15      | Fixed         | 2.52%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381579 | PA      | $342994.55    | 0.12%             | 2055-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F052698<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4500000 | PA      | $-4472484.48  | -1.60%            | 2054-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                                                                    | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7361000 | PA      | $2250069.66   | 0.80%             | 2031-08-12      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT SEP25                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -238 | NC      | $69803.77     | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G3Q0 IRS JPY R F  1.00000 SWU02G3Q0 CCPOIS / Short: SWU02G3Q0 IRS JPY P V 12MTONAR SWUV2G3Q2 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  180000000 | OU      | $-748.53      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2017-GS7                                                                                     | CUSIP: 36254CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $436235.22    | 0.16%             | 2050-08-10      | Fixed         | 3.43%                 | No            | 2                  | On Loan: No      |
| Edison International                              | Edison International                                                                                                      | CUSIP: 28103AVC5<br>LEI: 549300I7ROF15MAEVP56 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249617.98    | 0.09%             | 2025-08-12      | Variable      | 4.70%                 | No            | 2                  | On Loan: No      |
| J M Smucker Co/The                                | J M Smucker Co/The                                                                                                        | CUSIP: 46642QV55<br>LEI: 5493000WDH6A0LHDJD55 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249842.20    | 0.09%             | 2025-08-05      | Variable      | 4.55%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1400000 | PA      | $1583539.73   | 0.56%             | 2027-04-30      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02AKG6 IRS JPY R F   .60000 SWU02AKG6 CCPOIS / Short: SWU02AKG6 IRS JPY P V 12MTONAR SWUV2AKG8 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  430000000 | OU      | $-46801.28    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU020B60 IRS CAD R F  3.50000 SWU020B60 CCPOIS / Short: SWU020B60 IRS CAD P V 12MCORRA SWUV20B62 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   42300000 | OU      | $84532.84     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                              | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $272568.32    | 0.10%             | 2032-05-14      | Fixed         | 3.09%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | Long: CCS0214D5 CYS USD R V 03MSOFR CCS0214D5 XCURRENCYMTM / Short: CCS0214D5 CYS JPY P V 03MTONAR CCS0214C7 XCURRENCYMTM | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $14126.24     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2931.83      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR3                                                                                                           | CUSIP: 06211EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $527219.05    | 0.19%             | 2056-09-15      | Variable      | 6.72%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G6K0 IRS AUD R F  4.50000 SWU02G6K0 CCPVANILLA / Short: SWU02G6K0 IRS AUD P V 06MBBSW SWUV2G6K2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $8539.21      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN SEP25C 112                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -22 | NC      | $-4640.64     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Morgan Stanley & Co. LLC                          | Long: BWU02G3U1 IRS JPY R V 12MTONAR SWUV2G3U3 CCPOIS / Short: BWU02G3U1 IRS JPY P F  2.00000 SWU02G3U1 CCPOIS            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   40000000 | OU      | $23272.92     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-16475.58    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                              | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $357201.14    | 0.13%             | 2033-06-09      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2758.47      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                         | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     100000 | PA      | $101947.16    | 0.04%             | 2035-02-12      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $40345.19     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Arbour CLO                                        | Arbour CLO DAC                                                                                                            | CUSIP: 000000000<br>LEI: 549300YXBWG4ECHKDX72 | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1598869.53   | 0.57%             | 2038-05-15      | Floating      | 3.47%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                                                                     | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1486620 | PA      | $1483263.21   | 0.53%             | 2025-10-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02EVM3 IRS USD R V 12MSOFR SWUV2EVM5 CCPOIS / Short: BWU02EVM3 IRS USD P F  3.95449 SWU02EVM3 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $8433.70      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Honda Auto Receivables Owner Trust                | Honda Auto Receivables 2023-4 Owner Trust                                                                                 | CUSIP: 438123AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1250000 | PA      | $1261318.75   | 0.45%             | 2028-06-21      | Fixed         | 5.67%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3410000 | PA      | $3983098.98   | 1.42%             | 2034-10-31      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-669316.53   | -0.24%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED SEK / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SE        |          1 | NC      | $-6575.05     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ILS                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $787.18       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 3140XPCL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314060 | PA      | $305789.89    | 0.11%             | 2054-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT SEP25                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -7 | NC      | $1176.39      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -27 | NC      | $-101882.83   | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3622ABB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2874758 | PA      | $2479340.57   | 0.88%             | 2051-07-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED SEK / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SE        |          1 | NC      | $-8325.59     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2003-1                                                                                             | CUSIP: 78442GFK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     545862 | PA      | $513937.18    | 0.18%             | 2032-12-15      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-16332.83    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED PEN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PE        |          1 | NC      | $1821.46      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $118319.66    | 0.04%             | 2034-09-10      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                                                                         | CUSIP: 17307GP77<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      25630 | PA      | $25219.19     | 0.01%             | 2035-10-25      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      75000 | PA      | $73949.68     | 0.03%             | 2026-01-30      | Fixed         | 1.95%                 | No            | 2                  | On Loan: No      |
| Ford Credit Auto Owner Trust                      | Ford Credit Auto Owner Trust 2023-C                                                                                       | CUSIP: 344940AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12790 | PA      | $12793.39     | 0.00%             | 2026-09-15      | Fixed         | 5.68%                 | No            | 2                  | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                              | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $354762.66    | 0.13%             | 2035-02-12      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BWPC0NF19 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0NF19 CDS USD P F  1.00000 1 CCPCDX                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   17800000 | OU      | $-123211.60   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU01UQ93 IRS AUD R F  4.00000 SWU01UQ93 CCPVANILLA / Short: SWU01UQ93 IRS AUD P V 06MBBSW SWUV1UQ95 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5500000 | OU      | $-5577.21     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     299999 | PA      | $270376.84    | 0.10%             | 2052-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit Clo 2019-4 Ltd                                                                                        | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     400000 | PA      | $400275.20    | 0.14%             | 2035-04-23      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $88468.73     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   50000000 | PA      | $242042.44    | 0.09%             | 2053-12-20      | Fixed         | 1.60%                 | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                       | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     400000 | PA      | $415614.30    | 0.15%             | 2031-01-13      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-7N                                                                                            | CUSIP: 52524GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135011 | PA      | $124771.36    | 0.04%             | 2047-06-25      | Floating      | 4.95%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                            | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     700000 | PA      | $716877.27    | 0.26%             | 2034-07-21      | Fixed         | 5.42%                 | No            | 2                  | On Loan: No      |
| Arrow Electronics Inc                             | Arrow Electronics Inc                                                                                                     | CUSIP: 04273LV69<br>LEI: 549300YNNLBXT8N8R512 | Long             | STIV             | CORP              | US        |     950000 | PA      | $949242.47    | 0.34%             | 2025-08-06      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| BDS Ltd                                           | BDS 2025-FL14 LLC                                                                                                         | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $699125.14    | 0.25%             | 2042-10-21      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    3050000 | PA      | $3356563.55   | 1.20%             | 2028-02-25      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CAD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $132653.37    | 0.05%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F762 IRS USD R V 12MSOFR SWUV2F764 CCPOIS / Short: BWU02F762 IRS USD P F  4.11647 SWU02F762 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-1088.91     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Singapore Government Bonds                        | Singapore Government Bonds                                                                                                | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |    1731000 | PA      | $1621226.02   | 0.58%             | 2054-06-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RCF2 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     678000 | OU      | $2926.26      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| St Pauls CLO                                      | St Pauls CLO                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     645889 | PA      | $734160.08    | 0.26%             | 2032-01-17      | Floating      | 2.89%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-4714.95     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750R5Y9 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    1784000 | OU      | $11044.76     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| ABN AMRO BANK NV                                  | ABN AMRO Bank NV                                                                                                          | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $486538.72    | 0.17%             | 2027-06-16      | Fixed         | 1.54%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-4458.71     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN SEP25P 109.5                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -35 | NC      | $-4648.46     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CNY                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $266.47       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                                       | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     679895 | PA      | $682513.81    | 0.24%             | 2063-11-25      | Variable      | 5.93%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-5                                                                                         | CUSIP: 92540HAA4<br>LEI: 213800YE6HC7EZSFHW30 | Long             | ABS-MBS          | CORP              | US        |     458843 | PA      | $461571.59    | 0.16%             | 2069-06-25      | Variable      | 6.19%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02EL10 IRS JPY R F  1.25000 SWU02EL10 CCPOIS / Short: SWU02EL10 IRS JPY P V 12MTONAR SWUV2EL12 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1060000000 | OU      | $-81653.74    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02DC46 IRS USD R V 12MSOFR SWUV2DC48 CCPOIS / Short: BWU02DC46 IRS USD P F  3.00000 SWU02DC46 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   80890000 | OU      | $1052031.07   | 0.38%             |  |  |  | No            | 2                  | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                                                                 | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1213352.10   | 0.43%             | 2027-07-16      | Fixed         | 4.81%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD SGD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $51426.62     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Rockford Tower Europe CLO                         | Rockford Tower Europe CLO 2021-2 DAC                                                                                      | CUSIP: 000000000<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1594442.36   | 0.57%             | 2035-01-24      | Floating      | 2.90%                 | No            | 2                  | On Loan: No      |
| Hungary Government International Bonds            | Hungary Government International Bonds                                                                                    | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     600000 | PA      | $580683.56    | 0.21%             | 2036-03-26      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $-5134.67     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FSJ1 IRS USD R V 12MSOFR SWUV2FSJ3 CCPOIS / Short: BWU02FSJ1 IRS USD P F  3.75000 SWU02FSJ1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $1918.47      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2022-C3 MORTGAGE TRUST                                                                                                | CUSIP: 05602QAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $152052.42    | 0.05%             | 2054-09-15      | Fixed         | 5.31%                 | No            | 2                  | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2750000 | PA      | $3179990.68   | 1.13%             | 2027-10-25      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 317U9SMA6 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -700000 | NC      | $-523.18      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Verdelite Static CLO Ltd                          | Verdelite Static CLO 2024-1 Ltd                                                                                           | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     871393 | PA      | $870943.44    | 0.31%             | 2032-07-20      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED KZT / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KZ        |          1 | NC      | $-4741.18     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                                                                  | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   28400000 | PA      | $1546833.30   | 0.55%             | 2030-01-31      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1300000 | PA      | $1450644.71   | 0.52%             | 2036-02-22      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                 | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     560000 | PA      | $529395.12    | 0.19%             | 2030-01-21      | Fixed         | 3.68%                 | No            | 2                  | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     600000 | PA      | $293472.54    | 0.10%             | 2035-09-17      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MYR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $4101.97      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     400000 | PA      | $450837.48    | 0.16%             | 2035-07-18      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-1824.97     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Japan Government Five Year Bonds                  | Japan Government Five Year Bonds                                                                                          | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  120000000 | PA      | $784145.89    | 0.28%             | 2029-06-20      | Fixed         | 0.60%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Alternative Loan Trust                | Wells Fargo Alternative Loan 2007-PA6 Trust                                                                               | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68333 | PA      | $62109.59     | 0.02%             | 2037-12-28      | Variable      | 6.40%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $61892.97     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                   | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2900000 | PA      | $2069431.29   | 0.74%             | 2030-03-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Crown Point CLO 7, Ltd                            | Crown Point CLO 7 Ltd                                                                                                     | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     456381 | PA      | $456466.21    | 0.16%             | 2031-10-20      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $166552.82    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R5B9 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |      70000 | OU      | $10606.35     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                       | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     400000 | PA      | $457192.36    | 0.16%             | 2032-03-05      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618N5GJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     390014 | PA      | $340948.75    | 0.12%             | 2055-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $8120.01      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $57333.42     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                         | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    4800000 | PA      | $5467954.30   | 1.95%             | 2027-08-26      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-582.38      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD SEK                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $4886.33      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618N5AY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2175748 | PA      | $1955751.47   | 0.70%             | 2054-11-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $342.81       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $7197.43      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02I642 IRS USD R V 12MSOFR SWUV2I644 CCPOIS / Short: BWU02I642 IRS USD P F  4.10000 SWU02I642 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5400000 | OU      | $-26062.02    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FQ46 IRS USD R V 12MSOFR SWUV2FQ48 CCPOIS / Short: BWU02FQ46 IRS USD P F  3.77259 SWU02FQ46 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $9566.24      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0MWQ7 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0MWQ7 CDS USD P V 03MEVENT 2 CCPCDX                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7100000 | OU      | $155857.78    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1300000 | PA      | $1614916.29   | 0.58%             | 2041-04-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA Inc                                  | T-Mobile USA Inc                                                                                                          | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150134.25    | 0.05%             | 2028-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02AHF2 IRS JPY R F  1.00000 SWU02AHF2 CCPOIS / Short: SWU02AHF2 IRS JPY P V 12MTONAR SWUV2AHF4 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  950000000 | OU      | $-184494.03   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F3Z2 IRS USD R V 12MSOFR SWUV2F3Z4 CCPOIS / Short: BWU02F3Z2 IRS USD P F  3.96415 SWU02F3Z2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $6081.84      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                      | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     300000 | PA      | $305618.94    | 0.11%             | 2034-04-25      | Fixed         | 5.29%                 | No            | 2                  | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                                     | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $532709.60    | 0.19%             | 2056-12-15      | Variable      | 6.01%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2023-C20                                                                                             | CUSIP: 07336DAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $633330.66    | 0.23%             | 2056-07-15      | Fixed         | 5.86%                 | No            | 2                  | On Loan: No      |
| CCGSCZUS9 GOLDMAN SACH COC                        | CCGSCZUS9 GOLDMAN SACH COC                                                                                                | CUSIP: 000000000<br>LEI: HJZQGXYTVV2NWJZLPW74 | Long             | STIV             | CORP              | US        |    3853000 | NS      | $3853000.00   | 1.37%             |  |  |  | No            | N/A                | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9W9A2 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -700000 | NC      | $-1692.46     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $7170.67      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-47883.34    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-16414.13    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED KZT / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KZ        |          1 | NC      | $-16147.53    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02BRM4 IRS EUR R F  2.34250 SWU02BRM4 CCPVANILLA / Short: SWU02BRM4 IRS EUR P V 06MEURIB SWUV2BRM6 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8700000 | OU      | $10493.36     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-RPL3                                                                        | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     741419 | PA      | $655562.31    | 0.23%             | 2064-09-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                                                               | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255000 | PA      | $238392.03    | 0.09%             | 2072-12-15      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                              | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     275000 | PA      | $309958.77    | 0.11%             | 2027-06-24      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                  | Trinitas CLO XIV Ltd                                                                                                      | CUSIP: 89641QAN0<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1500126.00   | 0.54%             | 2034-01-25      | Floating      | 5.66%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED DKK / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | DK        |          1 | NC      | $-142815.74   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| KOREA EXPRESSWAY CORP                             | Korea Expressway Corp                                                                                                     | CUSIP: 50066HAD0<br>LEI: 988400EZO9DR1OFL5772 | Long             | DBT              | NUSS              | KR        |     700000 | PA      | $707820.34    | 0.25%             | 2027-05-14      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                                           | CUSIP: 06742LAX1<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $901742.13    | 0.32%             | 2029-02-15      | Fixed         | 4.72%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FN64 IRS EUR R V 06MEURIB SWUV2FN66 CCPVANILLA / Short: BWU02FN64 IRS EUR P F  2.25000 SWU02FN64 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8590000 | OU      | $1177670.82   | 0.42%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D718 IRS EUR R F  1.79544 SWU02D718 CCPOIS / Short: SWU02D718 IRS EUR P V 12MESTR SWUV2D710 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-24536.89    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Invesco CLO LTD                                   | Invesco CLO 2021-2 Ltd                                                                                                    | CUSIP: 46149MAA4<br>LEI: 54930008KRIBK4JIR608 | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $601381.20    | 0.21%             | 2034-07-15      | Floating      | 5.70%                 | No            | 2                  | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                                                                  | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   58800000 | PA      | $3077863.06   | 1.10%             | 2035-02-28      | Fixed         | 8.88%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU021I12 IRS JPY R F  1.00000 SWU021I12 CCPOIS / Short: SWU021I12 IRS JPY P V 12MTONAR SWUV21I14 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  800000000 | OU      | $-868621.75   | -0.31%            |  |  |  | No            | 2                  | On Loan: No      |
| BLP Commercial Mortgage Trust                     | BLP Commercial Mortgage Trust 2024-IND2                                                                                   | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     521855 | PA      | $522896.73    | 0.19%             | 2041-03-15      | Floating      | 5.68%                 | No            | 2                  | On Loan: No      |
| GLENCORE FINANCE EUROPE                           | Glencore Finance Europe Ltd                                                                                               | CUSIP: 000000000<br>LEI: 213800WHKNIC1JQQG433 | Long             | DBT              | CORP              | JE        |     100000 | PA      | $130770.12    | 0.05%             | 2026-03-26      | Fixed         | 3.13%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                              | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     600000 | PA      | $621971.35    | 0.22%             | 2035-02-08      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RC21 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1057000 | OU      | $-1778.93     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                   | CUSIP: 40412BVN0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249255.35    | 0.09%             | 2025-08-22      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                            | CUSIP: 00913WVU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249049.55    | 0.09%             | 2025-08-28      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 317U9SNA5 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -700000 | NC      | $-1094.31     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $4412.80      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                              | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $722489.54    | 0.26%             | 2030-03-12      | Fixed         | 5.69%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-LTV2                                                                                      | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550127 | PA      | $456526.07    | 0.16%             | 2052-05-25      | Variable      | 2.52%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     300000 | PA      | $340832.49    | 0.12%             | 2035-04-30      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $8927.97      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02G0N0 IRS USD R V 12MSOFR SWUV2G0N2 CCPOIS / Short: BWU02G0N0 IRS USD P F  3.25000 SWU02G0N0 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4900000 | OU      | $232468.25    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FN15 IRS EUR R F  2.25000 SWU02FN15 CCPVANILLA / Short: SWU02FN15 IRS EUR P V 06MEURIB SWUV2FN17 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   28120000 | OU      | $-1228175.14  | -0.44%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FSH5 IRS USD R F  3.75000 SWU02FSH5 CCPOIS / Short: SWU02FSH5 IRS USD P V 12MSOFR SWUV2FSH7 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6100000 | OU      | $50025.49     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 3140ACBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592349 | PA      | $590519.30    | 0.21%             | 2054-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU0206W9 IRS USD R V 12MSOFR SWUV206W1 CCPOIS / Short: BWU0206W9 IRS USD P F  3.50000 SWU0206W9 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $56888.76     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Hyundai Auto Lease Securitization Trust           | Hyundai Auto Lease Securitization Trust 2024-A                                                                            | CUSIP: 448988AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160170 | PA      | $160234.91    | 0.06%             | 2026-06-15      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D2D7 IRS AUD R F  4.50000 SWU02D2D7 CCPVANILLA / Short: SWU02D2D7 IRS AUD P V 06MBBSW SWUV2D2D9 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $97213.30     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                           | CUSIP: 23636BBH1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     500000 | PA      | $517438.93    | 0.18%             | 2030-03-01      | Fixed         | 5.71%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-48339.90    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $16363.05     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Northwoods Capital Ltd                            | Northwoods Capital XIV-B Ltd                                                                                              | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |     833639 | PA      | $833215.04    | 0.30%             | 2031-11-13      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL3 Trust                                                                                                      | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1478112 | PA      | $1297876.90   | 0.46%             | 2060-01-25      | Variable      | 2.00%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G0H3 IRS USD R F  3.25000 SWU02G0H3 CCPOIS / Short: SWU02G0H3 IRS USD P V 12MSOFR SWUV2G0H5 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $-11703.51    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02CNJ3 IRS EUR R F  2.02754 SWU02CNJ3 CCPOIS / Short: SWU02CNJ3 IRS EUR P V 12MESTR SWUV2CNJ5 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $-15565.39    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02I618 IRS USD R V 12MSOFR SWUV2I610 CCPOIS / Short: BWU02I618 IRS USD P F  3.62000 SWU02I618 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $-3266.88     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED CHF / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |          1 | NC      | $-20961.22    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                                                             | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    1700000 | PA      | $863821.83    | 0.31%             | 2034-03-20      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU01YWH0 IRS AUD R F  4.50000 SWU01YWH0 CCPVANILLA / Short: SWU01YWH0 IRS AUD P V 06MBBSW SWUV1YWH2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2500000 | OU      | $47283.62     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                          | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14506571 | PA      | $14712852.26  | 5.25%             | 2054-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C24                                                                                             | CUSIP: 07336VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $384974.85    | 0.14%             | 2057-02-15      | Fixed         | 5.42%                 | No            | 2                  | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE SEP25                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         20 | NC      | $9197.44      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9600000 | PA      | $11032062.51  | 3.94%             | 2030-02-25      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3500000 | PA      | $3786857.84   | 1.35%             | 2028-01-31      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02HF36 IRS USD R V 12MSOFR SWUV2HF38 CCPOIS / Short: BWU02HF36 IRS USD P F  4.00500 SWU02HF36 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     648000 | OU      | $3780.63      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CCPC CCMSCHUS2 COC                                | CCPC CCMSCHUS2 COC                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     650000 | NS      | $650000.00    | 0.23%             |  |  |  | No            | N/A                | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                       | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     128000 | PA      | $126358.22    | 0.05%             | 2025-11-18      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      17000 | PA      | $10518.75     | 0.00%             | 2049-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Alimentation Couche-Tard Inc                      | Alimentation Couche-Tard Inc                                                                                              | CUSIP: 01626UVU6<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |     350000 | PA      | $348733.42    | 0.12%             | 2025-08-28      | Fixed         | 4.59%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                            | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51218.56     | 0.02%             | 2035-01-18      | Fixed         | 5.47%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED NOK / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |          1 | NC      | $-6195.64     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1557116.29   | 0.56%             | 2054-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                          | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9415729 | PA      | $9552386.39   | 3.41%             | 2054-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                                                          | CUSIP: 50222CAB6<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1119440.25   | 0.40%             | 2034-03-28      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD HUF                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-1283.57     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                   | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Short            | DBT              | NUSS              | CA        |   -2800000 | PA      | $-1998071.59  | -0.71%            | 2030-03-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                              | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     800000 | PA      | $851504.09    | 0.30%             | 2029-11-20      | Fixed         | 6.82%                 | No            | 2                  | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                                                                       | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     700000 | PA      | $655855.81    | 0.23%             | 2029-01-14      | Fixed         | 2.47%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU025TX1 IRS USD R V 12MSOFR SWUV25TX3 CCPOIS / Short: BWU025TX1 IRS USD P F  3.75000 SWU025TX1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3400000 | OU      | $14273.20     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                  | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     500000 | PA      | $264427.97    | 0.09%             | 2032-08-20      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 5YR BOND FUT SEP25                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          6 | NC      | $-743.36      | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                        | CUSIP: 22535EAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1100000 | PA      | $1113023.62   | 0.40%             | 2027-03-11      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $1371512.14   | 0.49%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FMX6 IRS EUR R F  2.00000 SWU02FMX6 CCPVANILLA / Short: SWU02FMX6 IRS EUR P V 06MEURIB SWUV2FMX8 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   41200000 | OU      | $-99502.96    | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                                     | CUSIP: 55361AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $498807.62    | 0.18%             | 2056-12-15      | Fixed         | 6.89%                 | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                                           | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $506232.40    | 0.18%             | 2034-02-13      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                         | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    1500000 | PA      | $1506783.77   | 0.54%             | 2034-09-18      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU022IC6 IRS JPY R V 12MTONAR SWUV22IC8 CCPOIS / Short: BWU022IC6 IRS JPY P F  1.50000 SWU022IC6 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  245000000 | OU      | $313153.55    | 0.11%             |  |  |  | No            | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-5 Ltd                                                                                        | CUSIP: 05682EAN3<br>LEI: 2549004H0JOYEPRCTE90 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500926.00    | 0.18%             | 2034-10-23      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED HUF / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | HU        |          1 | NC      | $-4146.16     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                                           | CUSIP: 000000000<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     200000 | PA      | $234916.90    | 0.08%             | 2031-01-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Logicor Financing Sarl                            | Logicor Financing Sarl                                                                                                    | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $343189.81    | 0.12%             | 2028-11-13      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-42651.15    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $-96484.01    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $58409.20     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                                                             | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     400000 | PA      | $215763.30    | 0.08%             | 2033-03-08      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-37149.49    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Gaci First Investment Co.                         | Gaci First Investment Co.                                                                                                 | CUSIP: 000000000<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1114410.04   | 0.40%             | 2029-01-29      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     300000 | PA      | $335585.18    | 0.12%             | 2045-07-18      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                                      | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $202332.36    | 0.07%             | 2035-02-19      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| MGCC CCBPGXUS1 LT USD                             | MGCC CCBPGXUS1 LT USD                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     167000 | NS      | $167000.00    | 0.06%             |  |  |  | No            | N/A                | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $411536.76    | 0.15%             | 2053-07-31      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F020687<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5900000 | PA      | $-4614303.62  | -1.65%            | 2054-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                                                                       | CUSIP: 110709FY3<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     400000 | PA      | $305028.87    | 0.11%             | 2040-06-18      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FMZ1 IRS EUR R F  2.25000 SWU02FMZ1 CCPVANILLA / Short: SWU02FMZ1 IRS EUR P V 06MEURIB SWUV2FMZ3 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-9646.47     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                      | Sunnova Hestia I Issuer LLC                                                                                               | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88762 | PA      | $88886.89     | 0.03%             | 2050-12-20      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618N5GK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     598421 | PA      | $537911.10    | 0.19%             | 2055-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2017-2                                                                                      | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61542 | PA      | $60090.79     | 0.02%             | 2059-07-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $6294.61      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BANC OF AMERICA SEURITIES LLC                     | BANC OF AMERICA SEURITIES LLC TBA CASH COLLATERAL USD                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -380000 | NS      | $-380000.00   | -0.14%            |  |  |  | No            | N/A                | On Loan: No      |
| Nissan Auto Receivables Owner Trust               | Nissan Auto Receivables 2023-B Owner Trust                                                                                | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     213867 | PA      | $215474.75    | 0.08%             | 2028-03-15      | Fixed         | 5.93%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-86341.02    | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2024-REV1                                                                                    | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     725000 | PA      | $736511.33    | 0.26%             | 2036-08-15      | Variable      | 4.87%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-18321.76    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0N9T5 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0N9T5 CDS USD P V 03MEVENT 2 CCPCORPORATE                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     700000 | OU      | $91484.89     | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 31418EW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174568 | PA      | $170431.05    | 0.06%             | 2053-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2024-1                                                                                         | CUSIP: 46657PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     612924 | PA      | $616101.27    | 0.22%             | 2054-06-25      | Variable      | 6.00%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $12734.05     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     242000 | PA      | $153641.64    | 0.05%             | 2049-11-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR4                                                                                                           | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259684 | PA      | $272246.74    | 0.10%             | 2056-12-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Providus CLO                                      | Providus CLO II DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400JFBYET5G2XFP83 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $913739.24    | 0.33%             | 2038-10-15      | Floating      | 3.19%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    4577000 | PA      | $5414589.57   | 1.93%             | 2033-10-31      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     544569 | PA      | $544738.95    | 0.19%             | 2037-01-15      | Floating      | 5.79%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 31418BTA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145721 | PA      | $140479.80    | 0.05%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                  | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    2000000 | PA      | $1058367.40   | 0.38%             | 2033-08-22      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F050692<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44800000 | PA      | $43574755.84  | 15.54%            | 2055-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                          | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     900000 | PA      | $919169.27    | 0.33%             | 2030-01-23      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $-15875.91    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU028YL5 IRS GBP R F  3.50000 SWU028YL5 CCPOIS / Short: SWU028YL5 IRS GBP P V 12MSONIA SWUV28YL7 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $-10932.25    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $3570.46      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                               | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $682060.54    | 0.24%             | 2030-07-18      | Fixed         | 3.96%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS BANK USA BOC                        | GOLDMAN SACHS BANK USA BOC                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -710000 | NS      | $-710000.00   | -0.25%            |  |  |  | No            | N/A                | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CNY                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $80.94        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BWPC0MWU8 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0MWU8 CDS USD P F  1.00000 1 CCPCDX                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6600000 | OU      | $-62457.78    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02HET0 IRS USD R V 12MSOFR SWUV2HET2 CCPOIS / Short: BWU02HET0 IRS USD P F  3.93000 SWU02HET0 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     591000 | OU      | $11872.30     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                           | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $140713.33    | 0.05%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED INR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IN        |          1 | NC      | $-4683.61     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                          | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1451748 | PA      | $1473489.63   | 0.53%             | 2053-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                | One New York Plaza Trust 2020-1NYP                                                                                        | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $391350.72    | 0.14%             | 2036-01-15      | Floating      | 5.41%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR FUT OPTN SEP25C 112.5                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -13 | NC      | $-1726.57     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Bank of America NA                                | PURCHASED BRL / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |          1 | NC      | $-2921.23     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5800000 | PA      | $4963687.33   | 1.77%             | 2055-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                       | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     800000 | PA      | $813947.53    | 0.29%             | 2028-01-13      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -74 | NC      | $14721.49     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $-101325.74   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU025T29 IRS EUR R F  2.95000 SWU025T29 CCPVANILLA / Short: SWU025T29 IRS EUR P V 06MEURIB SWUV25T21 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $20026.27     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                    | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $689541.03    | 0.25%             | 2027-01-14      | Fixed         | 1.46%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7N5A8 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   15000000 | NC      | $1.50         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                              | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $340517.17    | 0.12%             | 2026-11-18      | Fixed         | 0.38%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02FYC9 IRS AUD R F  4.50000 SWU02FYC9 CCPVANILLA / Short: SWU02FYC9 IRS AUD P V 06MBBSW SWUV2FYC1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $9659.61      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02J3G6 IRS GBP R V 12MSONIA SWUV2J3G8 CCPOIS / Short: BWU02J3G6 IRS GBP P F  4.00000 SWU02J3G6 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $13929.93     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                       | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307787.95    | 0.11%             | 2036-01-24      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02JBM4 IRS AUD R F  4.25000 SWU02JBM4 CCPVANILLA / Short: SWU02JBM4 IRS AUD P V 06MBBSW SWUV2JBM6 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $1396.48      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs International                       | Long: SWU02ED76 IRS MYR R F  3.50000 FIX NDF / Short: SWU02ED76 IRS MYR P V 03MKLIBO FLO NDF                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |    7860000 | OU      | $30876.43     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| MALAYSIA GOVERNMENT                               | Malaysia Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     800000 | PA      | $180876.91    | 0.06%             | 2031-04-15      | Fixed         | 2.63%                 | No            | 2                  | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $589704.90    | 0.21%             | 2029-01-11      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| REGION WALLONNE                                   | Region Wallonne Belgium                                                                                                   | CUSIP: 000000000<br>LEI: 529900HPQFHMCG25MZ72 | Long             | DBT              | NUSS              | BE        |     800000 | PA      | $830280.40    | 0.30%             | 2038-01-14      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Grosvenor Place CLO                               | Grosvenor Place CLO 2024-2 DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400MCCB6TWMK1AY05 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $798222.92    | 0.28%             | 2039-01-15      | Floating      | 3.27%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE SEP25                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -171 | NC      | $273710.12    | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU01ZUN6 IRS CAD R F  3.50000 SWU01ZUN6 CCPOIS / Short: SWU01ZUN6 IRS CAD P V 06MCORRA SWUV1ZUN8 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2500000 | OU      | $57205.72     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     519999 | PA      | $467417.39    | 0.17%             | 2055-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED RON / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | RO        |          1 | NC      | $986.60       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R8D2 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |     735000 | OU      | $2836.92      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        141 | NC      | $151238.01    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust                                          | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174024 | PA      | $141462.35    | 0.05%             | 2046-06-25      | Floating      | 4.96%                 | No            | 2                  | On Loan: No      |
| The Federal Republic of Nigeria                   | Nigeria OMO Bill                                                                                                          | CUSIP: 000000000<br>LEI: 549300G1JG004Y3K8S97 | Long             | STIV             | NUSS              | NG        |  150000000 | PA      | $91438.19     | 0.03%             | 2025-11-04      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 3140A5RL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1589391 | PA      | $1583868.48   | 0.57%             | 2053-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FWW7 IRS EUR R V 06MEURIB SWUV2FWW9 CCPVANILLA / Short: BWU02FWW7 IRS EUR P F  2.21300 SWU02FWW7 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7900000 | OU      | $461108.23    | 0.16%             |  |  |  | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                         | CUSIP: 3136BVBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     850505 | PA      | $850493.30    | 0.30%             | 2055-03-25      | Floating      | 5.51%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED SGD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $-59860.35    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U6EXA8 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -6200000 | NC      | $-704.94      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                      | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     500000 | PA      | $513951.74    | 0.18%             | 2029-08-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                                                                  | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     800000 | PA      | $399923.65    | 0.14%             | 2034-07-20      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $157.53       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PEN                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-144445.49   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED SGD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |          1 | NC      | $-9992.29     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU01ZUO4 IRS CAD R V 06MCORRA SWUV1ZUO6 CCPOIS / Short: BWU01ZUO4 IRS CAD P F  3.50000 SWU01ZUO4 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $-22619.60    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $63109.74     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Braccan Mortgage Funding                          | Braccan Mortgage Funding 2025-1 PLC                                                                                       | CUSIP: 000000000<br>LEI: 6354003DBF3NI8QJRR63 | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1327124.96   | 0.47%             | 2067-05-17      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F020695<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -21000000 | PA      | $-16432816.05 | -5.86%            | 2055-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FPT2 IRS USD R V 12MSOFR SWUV2FPT4 CCPOIS / Short: BWU02FPT2 IRS USD P F  3.76527 SWU02FPT2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $117855.60    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                          | CUSIP: 3132DWJE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2458912 | PA      | $2400684.39   | 0.86%             | 2053-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| CBRE Services Inc                                 | CBRE Services Inc                                                                                                         | CUSIP: 12610BWH1<br>LEI: 549300CTE3HOMEUMM603 | Long             | STIV             | CORP              | US        |     350000 | PA      | $347717.06    | 0.12%             | 2025-09-17      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD PEN                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-6632.50     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RC47 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1057000 | OU      | $-13728.32    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                                 | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     400000 | PA      | $398264.31    | 0.14%             | 2027-09-24      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU01E105 IRS JPY R V 06MTONA SWUV1E107 CCPOIS / Short: BWU01E105 IRS JPY P F   .40000 SWU01E105 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  470000000 | OU      | $516024.79    | 0.18%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU028YK7 IRS GBP R F  3.75000 SWU028YK7 CCPOIS / Short: SWU028YK7 IRS GBP P V 12MSONIA SWUV28YK9 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2900000 | OU      | $1942.51      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Saudi Government International Bonds              | Saudi Government International Bonds                                                                                      | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    2500000 | PA      | $2525422.73   | 0.90%             | 2030-01-16      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02EWD2 IRS USD R V 12MSOFR SWUV2EWD4 CCPOIS / Short: BWU02EWD2 IRS USD P F  3.95884 SWU02EWD2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $19347.24     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $459208.43    | 0.16%             | 2031-09-24      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 3140MFWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191294 | PA      | $163802.97    | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-4                                                                                         | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |     452347 | PA      | $455920.32    | 0.16%             | 2069-06-25      | Variable      | 6.22%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2024-3                                                                                          | CUSIP: 89183FAP3<br>LEI: 549300164ZV2301BC703 | Long             | ABS-MBS          | CORP              | US        |    1038538 | PA      | $1050596.04   | 0.37%             | 2065-07-25      | Variable      | 5.08%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $329568.36    | 0.12%             | 2037-05-30      | Fixed         | 5.63%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED GBP / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | GB        |          1 | NC      | $-10849.57    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9VCA0 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1000000 | NC      | $-2112.20     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1617.47     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| BANK OF NOVA SCOTIA                               | Bank of Nova Scotia/The                                                                                                   | CUSIP: 06418BAK4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1400000 | PA      | $1405718.44   | 0.50%             | 2028-03-20      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| Citigroup Inc                                     | Citigroup Inc                                                                                                             | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     800000 | PA      | $782975.56    | 0.28%             | 2030-03-20      | Fixed         | 3.98%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D148 IRS JPY R F  1.00000 SWU02D148 CCPOIS / Short: SWU02D148 IRS JPY P V 12MTONAR SWUV2D140 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1150000000 | OU      | $-58152.78    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02DU38 IRS EUR R F  1.92272 SWU02DU38 CCPOIS / Short: SWU02DU38 IRS EUR P V 12MESTR SWUV2DU30 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-30972.74    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -38 | NC      | $-99583.55    | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| CCBPGZUS6 CCPC LT USD                             | CCBPGZUS6 CCPC LT USD                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1295000 | NS      | $1295000.00   | 0.46%             |  |  |  | No            | N/A                | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                    | CUSIP: 000000000<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $829659.04    | 0.30%             | 2029-01-09      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  313961200 | PA      | $2143914.41   | 0.76%             | 2029-03-10      | Fixed         | 0.10%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                | CUSIP: 21H030682<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6900000 | PA      | $6027982.55   | 2.15%             | 2054-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| The Federal Republic of Nigeria                   | NIGERIA OMO BILL                                                                                                          | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1423082000 | PA      | $749202.79    | 0.27%             | 2026-06-29      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R5O1 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | LU        |      70000 | OU      | $353.89       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED EGP / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | EG        |          1 | NC      | $23849.38     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| BANCA MONTE DEI PASCHI S                          | Banca Monte dei Paschi di Siena SpA                                                                                       | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     700000 | PA      | $833567.74    | 0.30%             | 2027-09-05      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 31418FEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193173 | PA      | $172814.38    | 0.06%             | 2054-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MALAYSIA GOVERNMENT                               | Malaysia Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1400000 | PA      | $365103.82    | 0.13%             | 2037-04-07      | Fixed         | 4.76%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FSG7 IRS USD R V 12MSOFR SWUV2FSG9 CCPOIS / Short: BWU02FSG7 IRS USD P F  3.75000 SWU02FSG7 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $-3406.56     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $15663.47     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU028YN1 IRS GBP R V 12MSONIA SWUV28YN3 CCPOIS / Short: BWU028YN1 IRS GBP P F  3.75000 SWU028YN1 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $119515.93    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                       | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     100000 | PA      | $112261.21    | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2300000 | PA      | $2635059.04   | 0.94%             | 2028-05-31      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  658000000 | PA      | $3735851.72   | 1.33%             | 2054-12-20      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6900000 | PA      | $6473062.50   | 2.31%             | 2054-11-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-2042.15     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                       | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     700000 | PA      | $733260.21    | 0.26%             | 2029-10-23      | Fixed         | 6.09%                 | No            | 2                  | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $789231.13    | 0.28%             | 2054-07-31      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H4 Mortgage Trust                                                                                              | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1142477 | PA      | $1149616.27   | 0.41%             | 2069-07-25      | Variable      | 6.15%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF VENEZUELA                             | Venezuela Government International Bond                                                                                   | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     230000 | PA      | $44873.00     | 0.02%             | 2028-05-07      | None          | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 3140AFBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407769 | PA      | $397254.74    | 0.14%             | 2054-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                        | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     933645 | PA      | $934384.96    | 0.33%             | 2054-11-25      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                            | CUSIP: 00913WVC6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     250000 | PA      | $249631.80    | 0.09%             | 2025-08-12      | Fixed         | 4.82%                 | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                                      | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1100000 | PA      | $1124010.98   | 0.40%             | 2030-02-19      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                              | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307506.97    | 0.11%             | 2032-04-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                            | CUSIP: 00913WV51<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     550000 | PA      | $549640.85    | 0.20%             | 2025-08-05      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02F432 IRS USD R V 12MSOFR SWUV2F434 CCPOIS / Short: BWU02F432 IRS USD P F  3.95864 SWU02F432 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $3229.68      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FGZ8 IRS USD R V 12MSOFR SWUV2FGZ0 CCPOIS / Short: BWU02FGZ8 IRS USD P F  4.00000 SWU02FGZ8 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     550000 | OU      | $-8273.27     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                 | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     300000 | PA      | $305949.65    | 0.11%             | 2034-06-12      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL4                                                                                     | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     923295 | PA      | $924737.95    | 0.33%             | 2039-02-15      | Floating      | 5.78%                 | No            | 2                  | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                                                                | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     200000 | PA      | $143674.94    | 0.05%             | 2033-06-02      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED RON / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | RO        |          1 | NC      | $-269.10      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $-63051.23    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                           | CUSIP: 31418BU95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122026 | PA      | $117779.20    | 0.04%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| ABU DHABI DEVELOPMENT HO                          | Abu Dhabi Developmental Holding Co PJSC                                                                                   | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $199441.62    | 0.07%             | 2030-05-06      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G3S6 IRS JPY R F  1.25000 SWU02G3S6 CCPOIS / Short: SWU02G3S6 IRS JPY P V 12MTONAR SWUV2G3S8 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  120000000 | OU      | $-6762.89     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02D619 IRS USD R V 12MSOFR SWUV2D611 CCPOIS / Short: BWU02D619 IRS USD P F  3.25000 SWU02D619 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24700000 | OU      | $1126045.83   | 0.40%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $333911.95    | 0.12%             |  |  |  | No            | 2                  | On Loan: No      |
| ICG US CLO Ltd                                    | ICG US CLO 2017-1 Ltd                                                                                                     | CUSIP: 449259AJ9<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2101037.40   | 0.75%             | 2034-07-28      | Floating      | 5.75%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02D171 IRS JPY R F   .75000 SWU02D171 CCPOIS / Short: SWU02D171 IRS JPY P V 12MTONAR SWUV2D173 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  640000000 | OU      | $-47652.41    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Kinbane DAC                                       | Kinbane 2024-Rpl 2 DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |     627442 | PA      | $715737.76    | 0.26%             | 2063-01-24      | Floating      | 3.00%                 | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  160000000 | PA      | $734981.43    | 0.26%             | 2052-06-20      | Fixed         | 1.30%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED CHF / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |          1 | NC      | $-3503.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED CHF / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |          1 | NC      | $-20654.41    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                                     | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     900000 | PA      | $901319.90    | 0.32%             | 2026-07-16      | Floating      | 5.08%                 | No            | 2                  | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                                                                       | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     500000 | PA      | $367970.55    | 0.13%             | 2034-06-18      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C7 Mortgage Trust                                                                                                | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1170957.81   | 0.42%             | 2056-12-15      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| SMITH & NEPHEW PLC                                | Smith & Nephew PLC                                                                                                        | CUSIP: 83192PAD0<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $1116262.11   | 0.40%             | 2034-03-20      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Bank                                              | BANK 2023-BNK46                                                                                                           | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $938256.12    | 0.33%             | 2056-08-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H3 Mortgage Trust                                                                                              | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1148506 | PA      | $1158016.49   | 0.41%             | 2069-06-25      | Variable      | 6.27%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750R5Z6 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | DE        |     568000 | OU      | $4249.78      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Tower Bridge Funding                              | Tower Bridge Funding 2024-3 PLC                                                                                           | CUSIP: 000000000<br>LEI: 635400XMA28GDAPK1E69 | Long             | ABS-MBS          | CORP              | GB        |     693725 | PA      | $917533.92    | 0.33%             | 2066-12-20      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02FSI3 IRS USD R V 12MSOFR SWUV2FSI5 CCPOIS / Short: BWU02FSI3 IRS USD P F  3.50000 SWU02FSI3 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $111759.36    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                                      | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1700000 | PA      | $1715354.81   | 0.61%             | 2034-03-12      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Home Equity Loan Trust                            | Home Equity Loan Trust                                                                                                    | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     172724 | PA      | $166432.76    | 0.06%             | 2037-04-25      | Floating      | 4.70%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02ES96 IRS GBP R F  4.00000 SWU02ES96 CCPOIS / Short: SWU02ES96 IRS GBP P V 12MSONIA SWUV2ES98 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   31000000 | OU      | $320356.63    | 0.11%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $6835.94      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE SEP25                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -196 | NC      | $242687.35    | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| Gaci First Investment Co.                         | Gaci First Investment Co.                                                                                                 | CUSIP: 000000000<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1117086.08   | 0.40%             | 2034-01-29      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5599996 | PA      | $5033775.35   | 1.80%             | 2054-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1400000 | PA      | $-1290102.88  | -0.46%            | 2055-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9VBA1 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1000000 | NC      | $-1575.20     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                       | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |       7000 | PA      | $6948.77      | 0.00%             | 2025-10-02      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Silver Rock CLO Ltd                               | Silver Rock CLO II Ltd                                                                                                    | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $599411.40    | 0.21%             | 2035-01-20      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                                                                  | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $718647.92    | 0.26%             | 2035-01-05      | Fixed         | 5.68%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02DCP9 IRS USD R V 12MSOFR SWUV2DCP1 CCPOIS / Short: BWU02DCP9 IRS USD P F  3.25000 SWU02DCP9 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2390000 | OU      | $329347.97    | 0.12%             |  |  |  | No            | 2                  | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  400000000 | PA      | $2291777.19   | 0.82%             | 2042-12-20      | Fixed         | 1.40%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618N5H93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6824246 | PA      | $6134211.01   | 2.19%             | 2055-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Maricopa County Industrial Development Authority  | MARICOPA CNTY AZ INDL DEV AUTH EDU REVENUE                                                                                | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $206384.12    | 0.07%             | 2029-10-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                                                                  | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $515145.53    | 0.18%             | 2030-03-05      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                       | CUSIP: 912797PQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |       1000 | PA      | $996.78       | 0.00%             | 2025-08-28      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD GBP                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $105075.05    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $200143.32    | 0.07%             |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU025TK9 IRS USD R V 12MSOFR SWUV25TK1 CCPOIS / Short: BWU025TK9 IRS USD P F  3.75000 SWU025TK9 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2900000 | OU      | $6729.16      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-9798.70     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                        | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     650000 | PA      | $639285.46    | 0.23%             | 2027-01-26      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE SEP25                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -117 | NC      | $120028.94    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| LCH Ltd.                                          | Long: BWU02I626 IRS USD R V 12MSOFR SWUV2I628 CCPOIS / Short: BWU02I626 IRS USD P F  3.75000 SWU02I626 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7835000 | OU      | $-43882.27    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7MZA7 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   25400000 | NC      | $2.54         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CHF                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $22062.25     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C5 Mortgage Trust                                                                                                | CUSIP: 055988AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $837039.44    | 0.30%             | 2056-06-15      | Fixed         | 5.99%                 | No            | 2                  | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                                                                 | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     600000 | PA      | $450671.19    | 0.16%             | 2034-09-01      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02J2E2 IRS AUD R F  3.50000 SWU02J2E2 CCPVANILLA / Short: SWU02J2E2 IRS AUD P V 06MBBSW SWUV2J2E4 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   58800000 | OU      | $-537569.51   | -0.19%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R9N9 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | LU        |    6664000 | OU      | $50808.69     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Imperial Brands Finance PLC                       | Imperial Brands Finance PLC                                                                                               | CUSIP: 45262DV48<br>LEI: 2138008L3B3MCG1DFS50 | Long             | STIV             | CORP              | GB        |     250000 | PA      | $249873.30    | 0.09%             | 2025-08-04      | Fixed         | 4.53%                 | No            | 2                  | On Loan: No      |
| Invesco Euro CLO                                  | Invesco Euro CLO V DAC                                                                                                    | CUSIP: 000000000<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1255540.35   | 0.45%             | 2034-01-15      | Floating      | 3.05%                 | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                              | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     800000 | PA      | $817757.80    | 0.29%             | 2027-07-13      | Fixed         | 7.15%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02G9X9 IRS KRW R F  2.50000 SWU02G9X9 CCPNDF / Short: SWU02G9X9 IRS KRW P V 03MKSDA SWUV2G9X1 CCPNDF             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  108900000 | OU      | $-1016.85     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| GCAT                                              | GCAT 2024-NQM2 Trust                                                                                                      | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     847869 | PA      | $852528.31    | 0.30%             | 2059-06-25      | Variable      | 6.09%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                         | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $622307.89    | 0.22%             | 2029-03-09      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| Hayfin Emerald CLO                                | Hayfin Emerald Clo X DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1599422.32   | 0.57%             | 2038-07-18      | Floating      | 3.37%                 | No            | 2                  | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                                                                  | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    1600000 | PA      | $1607200.00   | 0.57%             | 2030-08-17      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C5 Mortgage Trust                                                                                                | CUSIP: 055988AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $829417.52    | 0.30%             | 2056-06-15      | Fixed         | 5.77%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-421481.29   | -0.15%            |  |  |  | No            | 2                  | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                              | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $110763.92    | 0.04%             | 2028-05-26      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| Bank                                              | BANK 2018-BNK13                                                                                                           | CUSIP: 06539LBB5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $789294.72    | 0.28%             | 2061-08-15      | Variable      | 4.22%                 | No            | 2                  | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                                                                   | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     650000 | PA      | $648342.53    | 0.23%             | 2025-12-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                                                                    | CUSIP: 61690DK64<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     900000 | PA      | $902490.62    | 0.32%             | 2029-01-12      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                         | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112291 | PA      | $121941.28    | 0.04%             | 2042-07-25      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PEN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PE        |          1 | NC      | $-1554.14     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $107266.33    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1336000 | PA      | $980916.25    | 0.35%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                                                                 | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    1500000 | PA      | $1070471.28   | 0.38%             | 2033-09-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8854000 | PA      | $8017020.31   | 2.86%             | 2044-08-15      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-82                                                                                            | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184985 | PA      | $157391.25    | 0.06%             | 2036-02-25      | Floating      | 5.01%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    9300000 | PA      | $2445491.70   | 0.87%             | 2034-08-12      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Arrow Electronics Inc                             | Arrow Electronics Inc                                                                                                     | CUSIP: 04273LV44<br>LEI: 549300YNNLBXT8N8R512 | Long             | STIV             | CORP              | US        |     350000 | PA      | $349814.40    | 0.12%             | 2025-08-04      | Variable      | 4.65%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $16818.47     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD DKK                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-317914.45   | -0.11%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU02EL02 IRS JPY R F  1.00000 SWU02EL02 CCPOIS / Short: SWU02EL02 IRS JPY P V 12MTONAR SWUV2EL04 CCPOIS            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   80000000 | OU      | $-1125.04     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Citibank Credit Card Issuance Trust               | Citibank Credit Card Issuance Trust                                                                                       | CUSIP: 17305EGW9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $601383.12    | 0.21%             | 2027-12-08      | Fixed         | 5.23%                 | No            | 2                  | On Loan: No      |
| DEVELOPMENT BK OF JAPAN                           | Development Bank of Japan Inc                                                                                             | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | NUSS              | JP        |     700000 | PA      | $697564.81    | 0.25%             | 2027-08-28      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        225 | NC      | $111689.64    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                              | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $314292.42    | 0.11%             | 2035-06-15      | Fixed         | 6.04%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-44491.74    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs International                       | Long: SWU027D71 IRS MYR R V 03MKLIBO FLO NDF / Short: SWU027D71 IRS MYR P F  3.75000 FIX NDF                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |    7300000 | OU      | $-61441.01    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                       | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2682312.50   | 0.96%             | 2055-02-15      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL5                                                                                     | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388541 | PA      | $389341.52    | 0.14%             | 2041-03-15      | Floating      | 5.73%                 | No            | 2                  | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2022-1                                                                                | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     589906 | PA      | $530848.38    | 0.19%             | 2066-12-25      | Variable      | 2.45%                 | No            | 2                  | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1336371.09   | 0.48%             | 2030-01-18      | Fixed         | 5.72%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F020489<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4100000 | PA      | $-3721628.02  | -1.33%            | 2039-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| NEXI SPA                                          | Nexi SpA                                                                                                                  | CUSIP: 000000000<br>LEI: 5493000P70CQRQG8SN85 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $339451.51    | 0.12%             | 2026-04-30      | Fixed         | 1.63%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-3567.32     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | 31750RC39 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |    1057000 | OU      | $557.04       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                          | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172309 | PA      | $174759.31    | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT SEP25                                                                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         31 | NC      | $3819.28      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Bank of America NA                                | 31750R5K9 PIMCO                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     521452 | OU      | $1400.23      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $7620.37      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MXN                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $1364.08      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                        | CUSIP: 3137HCXW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     686749 | PA      | $687781.40    | 0.25%             | 2049-04-15      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: SWU025HY2 IRS NZD R F  4.75000 SWU025HY2 CCPVANILLA / Short: SWU025HY2 IRS NZD P V 03MNZDBB SWUV25HY4 CCPVANILLA    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $66396.84     | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B39 Mortgage Trust                                                                                         | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $628173.90    | 0.22%             | 2056-07-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2022-L8                                                                                    | CUSIP: 61774LBF5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $598749.65    | 0.21%             | 2055-04-15      | Variable      | 3.79%                 | No            | 2                  | On Loan: No      |
| The Federal Republic of Nigeria                   | NIGERIA OMO BILL                                                                                                          | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  551000000 | PA      | $293941.63    | 0.10%             | 2026-06-11      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| General Motors                                    | GMF Floorplan Owner Revolving Trust                                                                                       | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $705218.36    | 0.25%             | 2028-06-15      | Fixed         | 5.34%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CAD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $685.23       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BWPC0NEB8 CDS EUR R V 03MEVENT 2 CCPITRAXX / Short: BWPC0NEB8 CDS EUR P F  1.00000 1 CCPITRAXX                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   19130000 | OU      | $-466304.55   | -0.17%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $-16868.71    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                              | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     225000 | PA      | $223194.38    | 0.08%             | 2028-03-28      | Fixed         | 4.02%                 | No            | 2                  | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-RCF3 LLC                                                                                                        | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     892442 | PA      | $874705.63    | 0.31%             | 2054-05-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CAD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $3289.21      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  109000000 | PA      | $708709.62    | 0.25%             | 2045-03-20      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| American Money Management Corporation             | AMMC CLO 24 Ltd                                                                                                           | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700186.90    | 0.25%             | 2035-01-20      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| Singapore Government Bonds                        | Singapore Government Bonds                                                                                                | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     280000 | PA      | $220394.33    | 0.08%             | 2039-07-01      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-10                                                                                            | CUSIP: 81744FEW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9304 | PA      | $8449.58      | 0.00%             | 2034-11-20      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $-14099.55    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2023-HE3                                                                                         | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |     147894 | PA      | $148761.79    | 0.05%             | 2054-05-20      | Floating      | 5.95%                 | No            | 2                  | On Loan: No      |
| Jones Lang LaSalle Finance BV                     | Jones Lang LaSalle Finance BV                                                                                             | CUSIP: 48002AVD3<br>LEI: 7245008JNMAJF7J71W93 | Long             | STIV             | CORP              | NL        |     250000 | PA      | $249587.60    | 0.09%             | 2025-08-13      | Fixed         | 4.71%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     400000 | PA      | $352697.36    | 0.13%             | 2036-09-23      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM2 Trust                                                                                                       | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |    1126487 | PA      | $1128924.09   | 0.40%             | 2063-12-25      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $-5833.73     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                                                                    | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     700000 | PA      | $704071.22    | 0.25%             | 2028-01-14      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2025-08-14

**Name of Applicant:** SUNAMERICA SERIES TRUST

**Signature:** Shawn Parry

**Name of Signer:** Shawn Parry

**Title:** Assistant Treasurer