# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-25-019491
**Filing Date:** 2025-10
**Character Count:** 131495
**Document Hash:** fc5e1f0ab8ee4021780f5cb73675b2b9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-019491.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0001410368-25-019491

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 251428523

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GMO CORE TRUST
- **DATE OF NAME CHANGE:** 19900927

## Series and Classes Contracts Data

### GMO Multi-Sector Fixed Income Fund (Series ID: S000004917)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013294 | Class III    | GUGAX           |
| C000013295 | Class IV     | GPBFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GMO TRUST

- **b. Investment Company Act file number:** 811-04347

- **c. CIK number of Registrant:** 0000772129

- **d. LEI of Registrant:** 549300Y2Q6TQD4HU5C66

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

  - **Street Address 1:** 53 State Street, 33rd Floor

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-346-7646

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

- **a. Name of Series:** GMO Multi-Sector Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000004917

- **c. LEI of Series:** BC8D6LTQTCM32RRYZ044

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**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:** $100985481.31

**Total Liabilities:** $17231499.76

**Net Assets:** $83753981.55

**Cash Not Reported:** $123088.56

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -27.38000000 | **1-Year:** -978.84000000 | **5-Year:** -3508.49000000 | **10-Year:** -4851.40000000 | **30-Year:** -2627.51000000

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

- **3-Month:** -1.33000000 | **1-Year:** -42.19000000 | **5-Year:** -216.44000000 | **10-Year:** -334.86000000 | **30-Year:** -221.21000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013295 | 1.67%                | -0.22%               | 1.26%                |
| Class ID C000013294 | 1.68%                | -0.24%               | 1.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-340803.77              | $1096774.94                                |
| Month 2  | $266513.40               | $-439572.30                                |
| Month 3  | $107859.95               | $357590.53                                 |

**Designated Index Information**

- **Index Name:** BBG U.S. Aggregate Index

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CENCORA INC                              | Cencora Inc                                                 | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91641.57     | 0.11%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED USD / SOLD THB                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-10.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange              | SWP: OIS 14.000000 02-JAN-2029 BZD                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1918663 | OU      | $11095.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED JPY / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $-21246.92    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                 | CenterPoint Energy Houston Electric LLC                     | CUSIP: 15189XBF4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150696.80    | 0.18%             | 2035-03-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED GBP / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |          1 | NC      | $1437.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | Santander Holdings USA Inc                                  | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155887.34    | 0.19%             | 2031-03-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD INR                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $2215.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED SEK / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SE        |          1 | NC      | $3398.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                          | Marex Group PLC                                             | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $103061.16    | 0.12%             | 2029-11-04      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange              | FSWP: CLP 4.736000 17-SEP-2030 CLI                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   90000000 | OU      | $180.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.619000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-589.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED PHP / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PH        |          1 | NC      | $-88.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                   | U.S. Treasury Floating Rate Notes                           | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1080000 | PA      | $1079731.26   | 1.29%             | 2027-07-31      | Floating      | 4.30%                 | No            |                  1 | On Loan: No      |
| 3M COMPANY                               | 3M Co                                                       | CUSIP: 88579YAY7<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     150000 | PA      | $146523.72    | 0.17%             | 2027-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.592500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-2402.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                   | Bank of New York Mellon Corp/The                            | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     150000 | PA      | $165778.01    | 0.20%             | 2034-10-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                         | BAT Capital Corp                                            | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     100000 | PA      | $81019.12     | 0.10%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD NZD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1424.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                         | Deutsche Bank AG/New York NY                                | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $142249.60    | 0.17%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED ZAR / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |          1 | NC      | $220.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 3.148000 17-SEP-2027 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-1181.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED USD / SOLD CAD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1069.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED THB / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $26.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                   | Philip Morris International Inc                             | CUSIP: 718172DF3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151357.60    | 0.18%             | 2027-02-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.202000 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $1930.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.582000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-1068.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.148000 17-SEP-2035 CAD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $-2043.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.684500 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-87.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SG        |          1 | NC      | $35.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                     | Las Vegas Sands Corp                                        | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156369.12    | 0.19%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED NZD / SOLD USD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1598.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.684000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-66.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                         | Altria Group Inc                                            | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     200000 | PA      | $150026.13    | 0.18%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.407500 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $1538.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.753000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-1637.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: INR 5.730000 17-SEP-2030 INR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   92000000 | OU      | $2457.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 1.762000 17-SEP-2027 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-4789.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.586000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-2238.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | Goldman Sachs Group Inc/The                                 | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98970.63     | 0.12%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                 | RTX Corp                                                    | CUSIP: 75513ECH2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148670.70    | 0.18%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                 | Citizens Financial Group Inc                                | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     150000 | PA      | $163137.14    | 0.19%             | 2035-04-25      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $-623.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.464500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-825.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mylan Inc                                | Mylan Inc                                                   | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     150000 | PA      | $120341.26    | 0.14%             | 2048-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                         | Crown Castle Inc                                            | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     200000 | PA      | $174442.33    | 0.21%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.154000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $846.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BORGWARNER INC                           | BorgWarner Inc                                              | CUSIP: 099724AQ9<br>LEI: 549300DSFX2IE88NSX47 | Long             | DBT              | CORP              | US        |     165000 | PA      | $167890.20    | 0.20%             | 2034-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS -0.083500 17-SEP-2027 SA                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $67.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                   | U.S. Treasury Floating Rate Notes                           | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16451000 | PA      | $16448997.26  | 19.64%            | 2027-04-30      | Floating      | 4.30%                 | No            |                  1 | On Loan: No      |
| Nomura Securities International, Inc.    | NOMURA REPO                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |   24999116 | PA      | $24999116.47  | 29.85%            |  |  |  | No            |                  2 | On Loan: No      |
| GMO Opportunistic Income Fund            | GMO Opportunistic Income Fund                               | CUSIP: 362013112<br>LEI: 5493000NQRD0885G4P95 | Long             | EC               | RF                | US        |     602517 | NS      | $14719484.98  | 17.57%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.555000 17-SEP-2027 CAD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6000000 | OU      | $4018.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                   | Philip Morris International Inc                             | CUSIP: 718172BT5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99237.07     | 0.12%             | 2026-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                   | Westinghouse Air Brake Technologies Corp                    | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155675.99    | 0.19%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                   | Philip Morris International Inc                             | CUSIP: 718172CR8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     150000 | PA      | $146727.35    | 0.18%             | 2026-05-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 2YR NOTE (CBT) DEC25                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         39 | NC      | $18989.02     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.098000 17-SEP-2035 CAD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $-2551.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACOBS ENGINEERING GROUP                 | Jacobs Engineering Group Inc                                | CUSIP: 469814AA5<br>LEI: 549300CZ8QS1GE53O776 | Long             | DBT              | CORP              | US        |     125000 | PA      | $130747.72    | 0.16%             | 2033-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                              | Paychex Inc                                                 | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155166.35    | 0.19%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                         | BAT Capital Corp                                            | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     150000 | PA      | $166685.02    | 0.20%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                     | Targa Resources Corp                                        | CUSIP: 87612GAD3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     150000 | PA      | $153290.97    | 0.18%             | 2053-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                               | Hasbro Inc                                                  | CUSIP: 418056BA4<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156106.77    | 0.19%             | 2034-05-14      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $80.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                         | Altria Group Inc                                            | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102061.07    | 0.12%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US ULTRA BOND CBT DEC25                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         29 | NC      | $-20113.04    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Brown Brothers Harriman & Co.            | PURCHASED USD / SOLD RON                                    | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-878.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                   | PURCHASED AUD / SOLD USD                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $1258.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                         | Crown Castle Inc                                            | CUSIP: 22822VBG5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     150000 | PA      | $149867.56    | 0.18%             | 2034-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.556500 17-SEP-2027 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $2342.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                   | Bank of New York Mellon Corp/The                            | CUSIP: 06406RAB3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148738.91    | 0.18%             | 2028-02-07      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED NOK / SOLD USD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |          1 | NC      | $12347.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.138500 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $-908.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.080000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1010000 | OU      | $-12456.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.423000 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-1213.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KROGER CO                                | Kroger Co/The                                               | CUSIP: 501044DX6<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93815.60     | 0.11%             | 2064-09-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                  | GE Capital International Funding Co Unlimited Co            | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $241942.77    | 0.29%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                    | TransCanada PipeLines Ltd                                   | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $147702.71    | 0.18%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.645500 17-SEP-2027 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $-1206.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.021500 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $1873.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $-61.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TAPESTRY INC                             | Tapestry Inc                                                | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     150000 | PA      | $153306.96    | 0.18%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                | Kroger Co/The                                               | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     150000 | PA      | $149502.38    | 0.18%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 4.205000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-4805.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TAPESTRY INC                             | Tapestry Inc                                                | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151625.60    | 0.18%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: MYR 3.245000 17-SEP-2030 KLI                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $2669.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                      | Northern Trust Corp                                         | CUSIP: 665859AV6<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |     150000 | PA      | $136423.22    | 0.16%             | 2030-05-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.146000 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $423.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                    | TransCanada PipeLines Ltd                                   | CUSIP: 89352HAW9<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $150092.66    | 0.18%             | 2028-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.620000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-1159.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.159000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $368.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.632500 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-926.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD CZK                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-211.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                  | HCA Inc                                                     | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144704.43    | 0.17%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                     | National Fuel Gas Co                                        | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103157.06    | 0.12%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                     | Pilgrim's Pride Corp                                        | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     150000 | PA      | $135542.10    | 0.16%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.425000 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $3515.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                    | Entergy Louisiana LLC                                       | CUSIP: 29364WBP2<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101221.56    | 0.12%             | 2034-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                 | Omega Healthcare Investors Inc                              | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     150000 | PA      | $130533.71    | 0.16%             | 2033-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                         | Ventas Realty LP                                            | CUSIP: 92277GAN7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     150000 | PA      | $150453.18    | 0.18%             | 2029-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED ZAR / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $805.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.454000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $5451.21      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED ZAR / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |          1 | NC      | $2266.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | Santander Holdings USA Inc                                  | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     150000 | PA      | $159397.32    | 0.19%             | 2035-05-31      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                         | Altria Group Inc                                            | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     100000 | PA      | $111807.55    | 0.13%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                | Uniform Mortgage-Backed Security, TBA                       | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3750000 | PA      | $3771111.53   | 4.50%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                     | M&T Bank Corp                                               | CUSIP: 55261FAR5<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99234.44     | 0.12%             | 2034-01-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                   | Bank of New York Mellon Corp/The                            | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     150000 | PA      | $160274.42    | 0.19%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |          1 | NC      | $-1203.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                               | VMware LLC                                                  | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     150000 | PA      | $140291.77    | 0.17%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                 | Fox Corp                                                    | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     100000 | PA      | $108854.97    | 0.13%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 10YR ULTRA FUT DEC25                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          3 | NC      | $1589.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                 | CenterPoint Energy Houston Electric LLC                     | CUSIP: 15189XBG2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     150000 | PA      | $153593.49    | 0.18%             | 2030-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                  | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $146392.53    | 0.17%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                              | Netflix Inc                                                 | CUSIP: 64110LAX4<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107933.60    | 0.13%             | 2029-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED ZAR / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $998.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.513500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-205.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD JPY                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $66.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae                                                  | CUSIP: 21H032696<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4800000 | PA      | $4368210.67   | 5.22%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                             | VeriSign Inc                                                | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     100000 | PA      | $90130.89     | 0.11%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                | Apple Inc                                                   | CUSIP: 037833BH2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     150000 | PA      | $132460.72    | 0.16%             | 2045-05-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                | Kroger Co/The                                               | CUSIP: 501044DM0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     150000 | PA      | $140071.31    | 0.17%             | 2049-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                     | Las Vegas Sands Corp                                        | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     125000 | PA      | $129297.14    | 0.15%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.548500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-1293.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMorgan Chase & Co                                         | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     150000 | PA      | $152083.84    | 0.18%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD GBP                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1583.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                  | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $136924.62    | 0.16%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED RON / SOLD USD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | RO        |          1 | NC      | $11.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                 | Take-Two Interactive Software Inc                           | CUSIP: 874054AK5<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     150000 | PA      | $152848.50    | 0.18%             | 2028-03-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                              | Netflix Inc                                                 | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100597.06    | 0.12%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.721000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $277.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED HUF / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | HU        |          1 | NC      | $196.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                        | PURCHASED NZD / SOLD USD                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1597.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.666500 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-292.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED USD / SOLD ILS                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-2768.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                      | FS KKR Capital Corp                                         | CUSIP: 302635AP2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148972.88    | 0.18%             | 2030-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | Santander Holdings USA Inc                                  | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     150000 | PA      | $157437.63    | 0.19%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD SGD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $58.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED NOK / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |          1 | NC      | $3577.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.423000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $1872.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.500000 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $401.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                           | Lowe's Cos Inc                                              | CUSIP: 548661ES2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     150000 | PA      | $145354.59    | 0.17%             | 2063-04-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED IDR / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ID        |          1 | NC      | $-164.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange              | FSWP: OIS 7.812000 11-SEP-2030 TII                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14300000 | OU      | $11221.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED MXN / SOLD USD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $711.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 3M COMPANY                               | 3M Co                                                       | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     150000 | PA      | $140498.96    | 0.17%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED IDR / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ID        |          1 | NC      | $-226.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.675000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-134.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.789500 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-1704.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | SG        |          1 | NC      | $-30.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 3.225500 17-SEP-2027 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $411.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED RON / SOLD USD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | RO        |          1 | NC      | $353.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Walmart Inc                              | Walmart Inc                                                 | CUSIP: 931142EC3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     150000 | PA      | $122906.66    | 0.15%             | 2048-06-29      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD INR                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $317.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED MXN / SOLD USD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $1814.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.940000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $6347.08      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Corning Inc                              | Corning Inc                                                 | CUSIP: 219350BF1<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |     200000 | PA      | $159554.32    | 0.19%             | 2057-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD KRW                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-145.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                         | Ventas Realty LP                                            | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     100000 | PA      | $94562.10     | 0.11%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                         | PURCHASED CZK / SOLD USD                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CZ        |          1 | NC      | $298.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                    | Entergy Louisiana LLC                                       | CUSIP: 29364WBM9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102929.92    | 0.12%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JACOBS ENGINEERING GROUP                 | Jacobs Engineering Group Inc                                | CUSIP: 469814AB3<br>LEI: 549300CZ8QS1GE53O776 | Long             | DBT              | CORP              | US        |     150000 | PA      | $158142.71    | 0.19%             | 2028-08-18      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| POLARIS INC                              | Polaris Inc                                                 | CUSIP: 731068AA0<br>LEI: 549300QJSN8UVWN1EI78 | Long             | DBT              | CORP              | US        |     120000 | PA      | $127049.66    | 0.15%             | 2029-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                   | PURCHASED USD / SOLD CLP                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-762.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.126000 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $498.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US LONG BOND(CBT) DEC25                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         33 | NC      | $90.91        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.519500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-842.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.752500 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-541.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.190000 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-192.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.164500 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-924.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NVENT FINANCE SARL                       | nVent Finance Sarl                                          | CUSIP: 67078AAF0<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     135000 | PA      | $138883.57    | 0.17%             | 2033-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: CNY 1.460000 17-SEP-2030 CNR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4880000 | OU      | $5551.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                   | PURCHASED BRL / SOLD USD                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $13662.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 2.948500 17-SEP-2027 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $1797.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |          1 | NC      | $-5532.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                         | Paramount Global                                            | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     200000 | PA      | $156167.77    | 0.19%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | Oracle Corp                                                 | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     175000 | PA      | $155197.34    | 0.19%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.039000 17-SEP-2027 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10000000 | OU      | $-886.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS -0.062500 17-SEP-2027 SA                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $399.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.653000 17-SEP-2027 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-5695.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.104000 17-SEP-2035 CAD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $702.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: CZK 3.608000 17-SEP-2030 PRI                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16100000 | OU      | $-4433.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.205000 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $1947.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED USD / SOLD NZD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $6306.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.143000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-1087.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.711500 17-SEP-2027 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $728.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD PLN                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $30.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.426500 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-1140.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 1.368000 17-SEP-2030 THO                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27600000 | OU      | $-11091.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Emera US Finance LP                      | Emera US Finance LP                                         | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $83331.74     | 0.10%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                        | CI Financial Corp                                           | CUSIP: 125491AN0<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $134810.49    | 0.16%             | 2030-12-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.562000 17-SEP-2027 CAD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-768.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOX CORP                                 | Fox Corp                                                    | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98780.64     | 0.12%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                     | Utah Acquisition Sub Inc                                    | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     195000 | PA      | $159165.34    | 0.19%             | 2046-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: PLN 4.284000 17-SEP-2030 WIB                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-5164.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                               | VMware LLC                                                  | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97229.88     | 0.12%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                 | RTX Corp                                                    | CUSIP: 75513ECA7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     150000 | PA      | $142252.75    | 0.17%             | 2040-10-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.738000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-519.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                           | Morgan Stanley                                              | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150659.41    | 0.18%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                 | Aptiv Swiss Holdings Ltd                                    | CUSIP: 00217GAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     200000 | PA      | $144395.60    | 0.17%             | 2052-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED GBP / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $325.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                          | Marex Group PLC                                             | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     150000 | PA      | $152039.21    | 0.18%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.033000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-1747.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                        | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SG        |          1 | NC      | $-107.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                        | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SG        |          1 | NC      | $24.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | Oracle Corp                                                 | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     150000 | PA      | $162401.68    | 0.19%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.676000 17-SEP-2027 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4550000 | OU      | $7439.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.120000 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $562.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 3.953500 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $1416.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.095500 17-SEP-2027 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $1023.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.662500 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-183.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED EUR / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $851.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                         | Ventas Realty LP                                            | CUSIP: 92277GAX5<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     100000 | PA      | $103433.98    | 0.12%             | 2034-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                               | 3M Co                                                       | CUSIP: 88579YAV3<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147088.24    | 0.18%             | 2026-09-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange              | FSWP: OIS 8.830000 17-SEP-2030 IBR                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        | 3620000000 | OU      | $4713.49      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                     | Sabra Health Care LP                                        | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              |  | US        |     250000 | PA      | $225891.51    | 0.27%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 5YR NOTE (CBT) DEC25                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        112 | NC      | $72528.96     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                 | Omega Healthcare Investors Inc                              | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     200000 | PA      | $184902.65    | 0.22%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| General Motors Co                        | General Motors Co                                           | CUSIP: 37045VAQ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     180000 | PA      | $158025.86    | 0.19%             | 2048-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                | Uniform Mortgage-Backed Security, TBA                       | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10100000 | PA      | $8748696.56   | 10.45%            | 2055-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                         | Crown Castle Inc                                            | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     200000 | PA      | $177119.81    | 0.21%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                      | Gilead Sciences Inc                                         | CUSIP: 375558BM4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147675.40    | 0.18%             | 2027-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS -0.193000 17-SEP-2027 SA                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8500000 | OU      | $-24818.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: HKD 2.967000 17-SEP-2030 HKD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4383000 | OU      | $2588.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD RON                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1187.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED CZK / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |          1 | NC      | $592.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.604500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-2705.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED MXN / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |          1 | NC      | $571.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERISIGN INC                             | VeriSign Inc                                                | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     150000 | PA      | $152967.44    | 0.18%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Corning Inc                              | Corning Inc                                                 | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141706.25    | 0.17%             | 2048-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.296500 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $-2682.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |          1 | NC      | $-2067.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |          1 | NC      | $-80.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                         | Deutsche Bank AG/New York NY                                | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $151100.24    | 0.18%             | 2035-09-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED USD / SOLD RON                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $41.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.033000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $1747.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.945000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-21576.65    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: ZAR 7.590000 17-SEP-2030 JIB                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   17700000 | OU      | $20119.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORP                                 | RTX Corp                                                    | CUSIP: 913017CW7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     150000 | PA      | $138784.80    | 0.17%             | 2038-11-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                     | Las Vegas Sands Corp                                        | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155789.10    | 0.19%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: MYR 3.181500 17-SEP-2030 KLI                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $-648.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED USD / SOLD INR                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $264.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 2.625000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $2666.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.450000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $10720.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                               | VMware LLC                                                  | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     150000 | PA      | $149155.01    | 0.18%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                              | Netflix Inc                                                 | CUSIP: 64110LAS5<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102276.17    | 0.12%             | 2028-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SG        |          1 | NC      | $302.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                        | PURCHASED SGD / SOLD USD                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SG        |          1 | NC      | $-52.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED PHP / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PH        |          1 | NC      | $-23.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD NZD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $539.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNOVUS FINANCIAL CORP                   | Synovus Financial Corp                                      | CUSIP: 87161CAP0<br>LEI: 549300EIUS8UN5JTLE54 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156024.15    | 0.19%             | 2030-11-01      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                               | Hasbro Inc                                                  | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |     150000 | PA      | $146373.03    | 0.17%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                      | FS KKR Capital Corp                                         | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     150000 | PA      | $137902.36    | 0.16%             | 2028-10-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                  | Simon Property Group LP                                     | CUSIP: 828807DV6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |      50000 | PA      | $49950.82     | 0.06%             | 2053-03-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD AUD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1100.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS -0.172000 17-SEP-2027 SA                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $-1192.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED USD / SOLD RON                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $17.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ESTEE LAUDER CO INC                      | Estee Lauder Cos Inc/The                                    | CUSIP: 29736RAQ3<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |     125000 | PA      | $116151.42    | 0.14%             | 2030-04-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 4.131000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $4938.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                     | Pilgrim's Pride Corp                                        | CUSIP: 72147KAL2<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     100000 | PA      | $109496.40    | 0.13%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.875500 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $4722.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD AUD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1631.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                    | Toronto-Dominion Bank/The                                   | CUSIP: 89115A3C4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $153275.62    | 0.18%             | 2029-12-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.482000 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $11.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 10YR NOTE (CBT)DEC25                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         34 | NC      | $33122.29     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD AUD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3415.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED CAD / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $-2639.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                      | Synchrony Financial                                         | CUSIP: 87165BAY9<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     165000 | PA      | $166771.41    | 0.20%             | 2036-07-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 4.145000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $3912.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 3.947000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $-1287.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                         | BAT Capital Corp                                            | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     100000 | PA      | $110929.10    | 0.13%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED HUF / SOLD USD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | HU        |          1 | NC      | $-677.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ESTEE LAUDER CO INC                      | Estee Lauder Cos Inc/The                                    | CUSIP: 29736RAS9<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151031.17    | 0.18%             | 2028-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED TWD / SOLD USD                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | TW        |          1 | NC      | $0.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED USD / SOLD JPY                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-206.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | Capital One Financial Corp                                  | CUSIP: 14040HDA0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     150000 | PA      | $161353.97    | 0.19%             | 2034-06-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 4.202000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2700000 | OU      | $42846.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | Goldman Sachs Group Inc/The                                 | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150105.76    | 0.18%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: PLN 4.316000 17-SEP-2030 WIB                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     490000 | OU      | $1033.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED ZAR / SOLD USD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $421.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED SEK / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SE        |          1 | NC      | $662.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 3.984000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $-2526.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.839000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-3803.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED USD / SOLD CZK                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-179.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                 | CenterPoint Energy Houston Electric LLC                     | CUSIP: 15189XBB3<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151813.24    | 0.18%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                 | Citizens Financial Group Inc                                | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104004.34    | 0.12%             | 2030-01-23      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| GMO Emerging Country Debt                | GMO Emerging Country Debt                                   | CUSIP: 36262F103<br>LEI: KCRGSH2QB4OQ3874HQ90 | Long             | EC               | RF                | US        |     196141 | NS      | $4268022.55   | 5.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTEC INC                               | MasTec Inc                                                  | CUSIP: 576323AT6<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156679.80    | 0.19%             | 2029-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                | Boeing Co/The                                               | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144033.29    | 0.17%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 1.764000 17-SEP-2027 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $1550.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                            | Boeing Co/The                                               | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     150000 | PA      | $166197.47    | 0.20%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                   | PURCHASED IDR / SOLD USD                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $-234.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.537500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $507.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED USD / SOLD INR                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $309.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Co                        | General Motors Co                                           | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141040.01    | 0.17%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.555000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $728.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENCORA INC                              | Cencora Inc                                                 | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98531.44     | 0.12%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED SEK / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SE        |          1 | NC      | $5784.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 3.199000 17-SEP-2027 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4500000 | OU      | $2428.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                        | Kinder Morgan Inc                                           | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151745.55    | 0.18%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                              | Oracle Corp                                                 | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     175000 | PA      | $133432.45    | 0.16%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co                        | General Motors Co                                           | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155321.35    | 0.19%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.776000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $739.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 2.517000 17-SEP-2035 EST                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-758.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENCORA INC                              | Cencora Inc                                                 | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102279.60    | 0.12%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS -0.075000 17-SEP-2027 SA                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $81.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD INR                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $394.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.            | PURCHASED USD / SOLD INR                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $717.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                         | Paramount Global                                            | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     125000 | PA      | $116601.23    | 0.14%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED USD / SOLD CHF                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $20612.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | Capital One Financial Corp                                  | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $117007.93    | 0.14%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                   | Williams Cos Inc/The                                        | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150376.10    | 0.18%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TC PipeLines LP                          | TC PipeLines LP                                             | CUSIP: 87233QAC2<br>LEI: 6HL0C5LCIE4TN8UZHL06 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99423.48     | 0.12%             | 2027-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.087000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1470000 | OU      | $-17003.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 1.832000 17-SEP-2030 SOR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1010000 | OU      | $-15422.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED PEN / SOLD USD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $663.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | Capital One Financial Corp                                  | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156138.20    | 0.19%             | 2034-02-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International              | PURCHASED MXN / SOLD USD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |          1 | NC      | $-52.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD NOK                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1233.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                         | PURCHASED USD / SOLD NOK                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3902.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Global Advisors             | State Street Institutional Treasury Money Market Fund       | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |    2505555 | NS      | $2505554.92   | 2.99%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA CO/THE                         | Coca-Cola Co/The                                            | CUSIP: 191216DT4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144460.56    | 0.17%             | 2064-05-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 3.306000 17-SEP-2027 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $7459.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.511000 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-173.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                   | U.S. Treasury Floating Rate Notes                           | CUSIP: 91282CJU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     424000 | PA      | $424256.79    | 0.51%             | 2026-01-31      | Floating      | 4.39%                 | No            |                  1 | On Loan: No      |
| FOX CORP                                 | Fox Corp                                                    | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141414.49    | 0.17%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.085500 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-2346.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                     | Howmet Aerospace Inc                                        | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144281.10    | 0.17%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BORGWARNER INC                           | BorgWarner Inc                                              | CUSIP: 099724AP1<br>LEI: 549300DSFX2IE88NSX47 | Long             | DBT              | CORP              | US        |     135000 | PA      | $137686.20    | 0.16%             | 2029-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 0.476500 17-SEP-2035 SAR                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-261.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWMONT / NEWCREST FIN                   | Newmont Corp / Newcrest Finance Pty Ltd                     | CUSIP: 65163LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $154658.61    | 0.18%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.099000 17-SEP-2035 CAD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $607.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED KRW / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KR        |          1 | NC      | $156.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                         | PURCHASED JPY / SOLD USD                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $1831.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 3.200000 17-SEP-2027 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $-5647.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: NZD 4.147000 17-SEP-2035 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-2628.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                 | Enbridge Energy Partners LP                                 | CUSIP: 29250RAX4<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |     150000 | PA      | $172384.49    | 0.21%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.871000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-3072.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                              | PURCHASED USD / SOLD TWD                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $97.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                | Boeing Co/The                                               | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     150000 | PA      | $109121.71    | 0.13%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                         | Deutsche Bank AG/New York NY                                | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $182507.65    | 0.22%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.874500 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-4697.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                           | Morgan Stanley                                              | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148502.00    | 0.18%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC   | PURCHASED COP / SOLD USD                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CO        |          1 | NC      | $5360.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: SEK 1.996000 17-SEP-2027 3M                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $-1.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: CZK 3.623000 17-SEP-2030 PRI                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2800000 | OU      | $-678.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED USD / SOLD CAD                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $7992.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                         | PURCHASED USD / SOLD SGD                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-88.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                       | PURCHASED USD / SOLD SEK                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2396.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                   | PURCHASED PEN / SOLD USD                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PE        |          1 | NC      | $1570.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: AUD 4.250500 17-SEP-2035 AUD                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $1689.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: PLN 3.989500 17-SEP-2030 WIB                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     610000 | OU      | $1120.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 3.789000 17-SEP-2035 SOF                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-1696.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                 | FSWP: OIS 4.043000 17-SEP-2035 SON                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-3276.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WALMART INC                              | Walmart Inc                                                 | CUSIP: 931142EU3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     200000 | PA      | $140952.96    | 0.17%             | 2041-09-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-06

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer