# EDGAR Filing Document

**Accession Number:** 0001804196
**File Stem:** 0001410368-26-066772
**Filing Date:** 2026-6
**Character Count:** 328660
**Document Hash:** 9a35453a9150f74668517b4b75583092
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-066772.hdr.sgml**: 20260625

**ACCESSION NUMBER**: 0001410368-26-066772

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260625

**DATE AS OF CHANGE**: 20260625

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock ETF Trust II
- **CENTRAL INDEX KEY:** 0001804196

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23511
- **FILM NUMBER:** 261121698

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800 882 0052

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

## Series and Classes Contracts Data

### iShares Global Government Bond USD Hedged Active ETF (Series ID: S000092377)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000260349 | iShares Global Government Bond USD Hedged Active ETF |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock ETF Trust II

- **b. Investment Company Act file number:** 811-23511

- **c. CIK number of Registrant:** 0001804196

- **d. LEI of Registrant:** 549300PLJCTZLQ2LE832

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

  - **Street Address 1:** 100 BELLEVUE PARKWAY

  - **City:** WILMINGTON

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

- **a. Name of Series:** iShares Global Government Bond USD Hedged Active ETF

- **b. EDGAR series identifier (if any):** S000092377

- **c. LEI of Series:** 529900L8PU1B65289D41

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $44336858.64

**Total Liabilities:** $546549.55

**Net Assets:** $43790309.09

**Cash Not Reported:** $2423428.10

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.01000000 | **1-Year:** 218.01000000 | **5-Year:** 4795.61000000 | **10-Year:** 2300.01000000 | **30-Year:** 1629.78000000

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

- **3-Month:** 1.29000000 | **1-Year:** 0.00000000 | **5-Year:** 900.24000000 | **10-Year:** -1760.22000000 | **30-Year:** 625.65000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260349 | 0.39%                | 0.96%                | 0.81%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-75738.34               | $554774.30                                 |
| Month 2  | $-88714.90               | $-1387391.70                               |
| Month 3  | $12378.88                | $320970.08                                 |

**Designated Index Information**

- **Index Name:** BBG Global Aggregate Treasury Index, 100% USD Hedged

- **Index Identifier:** H00023US

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     27000 | PA      | $30897.63     | 0.07%             | 2054-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                          | Hungary Government Bond                          | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   3000000 | PA      | $10347.92     | 0.02%             | 2035-10-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 756000000 | PA      | $43411.20     | 0.10%             | 2030-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD ILS                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-217.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.595000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 478627500 | OU      | $-4162.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.956000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     37000 | OU      | $-52.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD ZAR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $129.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |         1 | NC      | $979.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.521000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 943497678 | OU      | $-10347.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     20000 | PA      | $23217.84     | 0.05%             | 2036-02-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1500000 | PA      | $219650.04    | 0.50%             | 2027-12-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     37000 | PA      | $19723.16     | 0.05%             | 2041-05-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                             | Japan Government Two Year Bond                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15100000 | PA      | $96392.89     | 0.22%             | 2028-02-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $91071.09     | 0.21%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-131.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |         1 | NC      | $2643.76      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.561000 16-SEP-2031 WIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1202000 | OU      | $-935.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.829000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1255000 | OU      | $408.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 3.026900 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    151000 | OU      | $-814.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-508.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    420000 | PA      | $415192.97    | 0.95%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                           | Netherlands Government Bond                      | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     60000 | PA      | $60929.32     | 0.14%             | 2032-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1000000 | PA      | $52831.38     | 0.12%             | 2035-05-24      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    560000 | PA      | $109780.90    | 0.25%             | 2048-03-19      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     30000 | PA      | $10677.87     | 0.02%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1908.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.960500 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    136500 | OU      | $-170.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    100000 | PA      | $131690.53    | 0.30%             | 2035-03-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.776000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    430000 | OU      | $253.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS TESORERIA PESOS                            | Bonos de la Tesoreria de la Republica en pesos   | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   5000000 | PA      | $5167.29      | 0.01%             | 2050-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD SEK                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-36.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) JUN26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         6 | NC      | $-1275.41     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  14200000 | PA      | $82124.26     | 0.19%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.770000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15446000 | OU      | $9561.18      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 3.047900 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    357000 | OU      | $-2329.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-1601.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CZK 4.561000 16-SEP-2031 PRI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2686000 | OU      | $634.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLOVAKIA GOVERNMENT BOND                         | Slovakia Government Bond                         | CUSIP: 000000000<br>LEI: 097900BHFM0000074794 | Long             | DBT              | NUSS              | SK        |     10000 | PA      | $11588.32     | 0.03%             | 2029-06-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD BRL                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-1010.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.786000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3406000 | OU      | $1836.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.966000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    139000 | OU      | $-516.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                  | Japan Government Two Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  24500000 | PA      | $155892.02    | 0.36%             | 2027-11-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    145000 | PA      | $193868.68    | 0.44%             | 2031-03-07      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    130000 | PA      | $153026.69    | 0.35%             | 2033-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    140000 | PA      | $81877.20     | 0.19%             | 2032-05-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.871000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     52000 | OU      | $-239.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                   | Czech Republic Government Bond                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    300000 | PA      | $15586.01     | 0.04%             | 2031-06-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-2795.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD SGD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-971.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $768.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-937.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND                                      | Swiss Confederation Government Bond              | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     15000 | PA      | $19114.53     | 0.04%             | 2040-05-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    970000 | PA      | $643875.39    | 1.47%             | 2041-08-15      | Fixed         | 1.75%                 | 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      | $1776.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $38818.75     | 0.09%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      3000 | PA      | $3018.71      | 0.01%             | 2055-06-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-396.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  25570000 | PA      | $16338.44     | 0.04%             | 2056-03-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    570000 | PA      | $87028.78     | 0.20%             | 2034-05-25      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.880000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   8482000 | OU      | $-2979.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CQG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70000 | PA      | $69535.16     | 0.16%             | 2031-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     43000 | PA      | $49453.38     | 0.11%             | 2035-02-20      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $455335.31    | 1.04%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     10000 | PA      | $11624.01     | 0.03%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $103743.75    | 0.24%             | 2055-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.709600 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  21014000 | OU      | $1828.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD SGD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-17.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED PLN / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |         1 | NC      | $555.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     20000 | PA      | $7755.66      | 0.02%             | 2042-01-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     70000 | PA      | $78899.32     | 0.18%             | 2041-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-7936.11     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS TESORERIA PESOS                            | Bonos de la Tesoreria de la Republica en pesos   | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  10000000 | PA      | $11293.29     | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  71020000 | PA      | $37584.46     | 0.09%             | 2052-03-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     55000 | PA      | $28410.68     | 0.06%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.788400 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15998000 | OU      | $-468.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    210000 | PA      | $141331.98    | 0.32%             | 2029-11-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.823000 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    108090 | OU      | $-489.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 112330000 | PA      | $75810.15     | 0.17%             | 2027-06-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     17000 | PA      | $6571.48      | 0.02%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                  | Japan Government Two Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4100000 | PA      | $26054.79     | 0.06%             | 2027-07-01      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-1169.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    600000 | PA      | $18253.09     | 0.04%             | 2029-04-17      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    110000 | PA      | $127913.73    | 0.29%             | 2035-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 135920000 | PA      | $87895.57     | 0.20%             | 2030-03-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.884000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2134000 | OU      | $109.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                | Japan Government Forty Year Bonds                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9200000 | PA      | $45728.80     | 0.10%             | 2050-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.865000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  20286000 | OU      | $-7831.18     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.788200 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    276000 | OU      | $2054.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 3.674000 16-SEP-2031 SOF               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    167000 | OU      | $567.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.725000 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  35832000 | OU      | $2303.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      8000 | PA      | $9494.45      | 0.02%             | 2055-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Denmark Government Bonds                         | Denmark Government Bonds                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     80000 | PA      | $14544.14     | 0.03%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.855000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 970557000 | OU      | $-700.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-207.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.178400 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    860000 | OU      | $7570.00      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-326.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.845400 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1464000 | OU      | $356.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SEK                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2403.82     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1000000 | PA      | $148982.46    | 0.34%             | 2029-07-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.014000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2932000 | OU      | $-6156.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                               | Peru Government Bond                             | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     40000 | PA      | $11995.65     | 0.03%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.110000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1821000 | OU      | $331.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $58910.16     | 0.13%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $241.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1607.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 3.612000 16-SEP-2031 SOF               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     67000 | OU      | $413.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.705850 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  13045650 | OU      | $24687.76     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.401520 16-SEP-2031 SAR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    180000 | OU      | $-34.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1270000 | PA      | $194995.20    | 0.45%             | 2034-02-25      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     60000 | PA      | $69715.07     | 0.16%             | 2028-09-24      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3300000 | PA      | $14640.53     | 0.03%             | 2041-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.905000 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1241000 | OU      | $869.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLOVAKIA GOVERNMENT BOND                         | Slovakia Government Bond                         | CUSIP: 000000000<br>LEI: 097900BHFM0000074794 | Long             | DBT              | NUSS              | SK        |     10000 | PA      | $11532.73     | 0.03%             | 2046-02-19      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 179000000 | PA      | $9857.00      | 0.02%             | 2036-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    120000 | PA      | $82158.99     | 0.19%             | 2034-06-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED MXN / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |         1 | NC      | $-76.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.663500 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  11518000 | OU      | $1786.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   1000000 | PA      | $30961.67     | 0.07%             | 2040-06-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    605000 | PA      | $328047.07    | 0.75%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 5.029000 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    163000 | OU      | $310.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087T38<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    172000 | PA      | $124515.92    | 0.28%             | 2030-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $109179.30    | 0.25%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD PEN                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $1991.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.562500 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10644000 | OU      | $-733.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.820000 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    952000 | OU      | $1151.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     50000 | PA      | $40806.69     | 0.09%             | 2029-04-01      | Fixed         | 3.00%                 | 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      | $411.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED KRW / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |         1 | NC      | $-38.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CPY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $98871.09     | 0.23%             | 2033-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.955300 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    377000 | OU      | $-581.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     20000 | PA      | $23283.73     | 0.05%             | 2056-06-22      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    450000 | PA      | $15099.62     | 0.03%             | 2067-06-17      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    145000 | PA      | $100707.03    | 0.23%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND JUN26                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -8 | NC      | $13206.42     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED GBP / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |         1 | NC      | $3507.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     10000 | PA      | $11634.03     | 0.03%             | 2036-02-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |         1 | NC      | $-595.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     50000 | PA      | $51017.32     | 0.12%             | 2031-10-17      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal         | CAN 10YR BOND FUT JUN26                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |      -100 | NC      | $91041.11     | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-329.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2581.03     | -0.01%            |  |  |  | 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      | $-201.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    100000 | PA      | $129867.91    | 0.30%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   6000000 | PA      | $3912.51      | 0.01%             | 2053-09-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     20000 | PA      | $17140.43     | 0.04%             | 2054-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-2262.85     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    610000 | PA      | $18448.30     | 0.04%             | 2031-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED PLN / SOLD USD                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | PL        |         1 | NC      | $632.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD CHF                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-2150.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-11167.16    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.566300 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     70000 | OU      | $-2.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3450000 | PA      | $15322.76     | 0.03%             | 2040-09-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1021.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-49.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                          | Romania Government Bond                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    120000 | PA      | $26957.78     | 0.06%             | 2033-10-30      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     65000 | PA      | $75081.53     | 0.17%             | 2030-10-22      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-96.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     30000 | PA      | $21216.11     | 0.05%             | 2033-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  23840000 | PA      | $13622.01     | 0.03%             | 2045-09-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-168.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     60000 | PA      | $35223.27     | 0.08%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 686000000 | PA      | $39589.73     | 0.09%             | 2028-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $524.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     70000 | PA      | $74916.43     | 0.17%             | 2041-05-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $751464.84    | 1.72%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     30000 | PA      | $18004.12     | 0.04%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.550000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  19636000 | OU      | $-3064.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $101660.16    | 0.23%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $540.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $142011.72    | 0.32%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    100000 | PA      | $69829.41     | 0.16%             | 2027-11-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.622000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8473000 | OU      | $2930.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    240000 | PA      | $60859.62     | 0.14%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: TWD 2.261000 16-SEP-2031 TAI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  54901000 | OU      | $-4612.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     40000 | PA      | $39706.08     | 0.09%             | 2032-06-22      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1019.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD DKK                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-1576.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    145000 | PA      | $107934.38    | 0.25%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD NZD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-3186.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1020000 | PA      | $884172.66    | 2.02%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                         | Ireland Government Bonds                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     15000 | PA      | $17003.54     | 0.04%             | 2028-05-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED INR / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | IN        |         1 | NC      | $-886.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     90000 | PA      | $106606.59    | 0.24%             | 2031-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    270000 | PA      | $42270.60     | 0.10%             | 2033-05-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                   | Czech Republic Government Bond                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    720000 | PA      | $31175.26     | 0.07%             | 2036-06-03      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    890000 | PA      | $130644.85    | 0.30%             | 2028-08-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |         1 | NC      | $113.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  46600000 | PA      | $274182.61    | 0.63%             | 2039-09-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.889000 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    248743 | OU      | $-613.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  27110000 | PA      | $17315.87     | 0.04%             | 2030-09-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     10000 | PA      | $11383.70     | 0.03%             | 2036-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $144925.78    | 0.33%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-3047.37     | -0.01%            |  |  |  | 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      | $-318.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     20000 | PA      | $22767.40     | 0.05%             | 2036-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  16250000 | PA      | $93319.04     | 0.21%             | 2041-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                          | Romania Government Bond                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     50000 | PA      | $10905.69     | 0.02%             | 2035-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-140.58      | -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      | $-1142.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     38000 | PA      | $9427.84      | 0.02%             | 2052-11-29      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     68000 | PA      | $70199.27     | 0.16%             | 2056-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $-399.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED MXN / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |         1 | NC      | $-47.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     60000 | PA      | $69526.91     | 0.16%             | 2029-03-31      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    250000 | PA      | $9171.52      | 0.02%             | 2072-06-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    300000 | PA      | $40344.99     | 0.09%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    130000 | PA      | $32488.54     | 0.07%             | 2035-07-02      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED GBP / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $2246.72      | 0.01%             |  |  |  | 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      | $-320.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.840000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 565868000 | OU      | $-668.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CQF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $50140.63     | 0.11%             | 2033-03-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $19505.47     | 0.04%             | 2032-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   8500000 | PA      | $54976.49     | 0.13%             | 2034-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.300000 16-SEP-2031 WIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2524120 | OU      | $-9774.33     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    210000 | PA      | $285347.84    | 0.65%             | 2028-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $119798.65    | 0.27%             | 2029-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.334000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4346000 | OU      | $4394.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.600500 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2089000 | OU      | $409.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-6484.25     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    440000 | PA      | $63817.90     | 0.15%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.873000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     91000 | OU      | $-411.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     80000 | PA      | $21404.11     | 0.05%             | 2031-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED ZAR / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |         1 | NC      | $-470.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-975.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $22.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-241.03      | -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      | $-1429.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-689.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |         1 | NC      | $4305.44      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |         1 | NC      | $288.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.837000 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    548910 | OU      | $-2245.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-71.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     81000 | PA      | $94540.10     | 0.22%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD ZAR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-409.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.471000 17-DEC-2030 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    780549 | OU      | $-351.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD ILS                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-184.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-329.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9380.86      | 0.02%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-2422.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-92.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 3.628000 16-SEP-2031 SOF               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    772000 | OU      | $4212.68      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED MXN / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |         1 | NC      | $891.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     41000 | PA      | $10700.88     | 0.02%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1000000 | PA      | $48339.78     | 0.11%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED BRL / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |         1 | NC      | $3113.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $23.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     70000 | PA      | $65165.73     | 0.15%             | 2036-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |         1 | NC      | $248.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     10000 | PA      | $11372.13     | 0.03%             | 2035-06-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-501.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    192000 | PA      | $147522.92    | 0.34%             | 2048-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    125000 | PA      | $144535.25    | 0.33%             | 2035-10-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9550000 | PA      | $59849.23     | 0.14%             | 2032-12-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    330000 | PA      | $65077.12     | 0.15%             | 2047-10-23      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   2070000 | PA      | $303317.96    | 0.69%             | 2027-09-15      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-973.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                         | Ireland Government Bonds                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     13000 | PA      | $13627.22     | 0.03%             | 2055-10-18      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.907000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    182000 | OU      | $192.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Norway Government Bonds                          | Norway Government Bonds                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |     90000 | PA      | $8934.89      | 0.02%             | 2039-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087P99<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     10000 | PA      | $5841.72      | 0.01%             | 2055-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) JUN26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         7 | NC      | $-1296.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     23000 | PA      | $13860.00     | 0.03%             | 2051-03-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  43500000 | PA      | $261147.26    | 0.60%             | 2039-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     30000 | PA      | $12270.86     | 0.03%             | 2071-04-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-433.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     45000 | PA      | $52375.41     | 0.12%             | 2032-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     10000 | PA      | $11289.59     | 0.03%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  36900000 | PA      | $225670.88    | 0.52%             | 2038-09-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    140000 | PA      | $126171.44    | 0.29%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-19.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-196.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CQE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $148347.66    | 0.34%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD NOK                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-2631.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     59000 | PA      | $78884.81     | 0.18%             | 2036-07-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.887700 17-JUN-2056 FTO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  26900352 | OU      | $-8863.92     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     35000 | PA      | $23487.29     | 0.05%             | 2036-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  11650000 | PA      | $6424.54      | 0.01%             | 2054-09-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.980000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    194782 | OU      | $-101.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-9175.82     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                         | CUSIP: 135087U36<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     20000 | PA      | $14329.15     | 0.03%             | 2036-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    351000 | PA      | $11289.93     | 0.03%             | 2034-06-17      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                         | CUSIP: 135087U28<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     20000 | PA      | $14294.55     | 0.03%             | 2036-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.415000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2992000 | OU      | $2433.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     50000 | PA      | $66716.47     | 0.15%             | 2033-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.009000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1010000 | OU      | $-2290.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED ZAR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |         1 | NC      | $-558.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND                                      | Swiss Confederation Government Bond              | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     35000 | PA      | $43521.70     | 0.10%             | 2034-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.555000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 774913322 | OU      | $-7690.19     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     15000 | PA      | $5769.92      | 0.01%             | 2051-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    140000 | PA      | $162943.89    | 0.37%             | 2027-08-26      | Fixed         | 2.10%                 | 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      | $62.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     10000 | PA      | $7313.01      | 0.02%             | 2040-09-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  13900000 | PA      | $80414.99     | 0.18%             | 2045-09-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD SEK                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $130.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $733330.08    | 1.67%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1600000 | PA      | $7245.20      | 0.02%             | 2040-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    160000 | PA      | $184501.11    | 0.42%             | 2031-02-25      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD ZAR                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $247.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     76000 | PA      | $88438.13     | 0.20%             | 2030-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    130000 | PA      | $76852.06     | 0.18%             | 2066-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |         1 | NC      | $1452.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.886500 17-JUN-2056 FTO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  26900352 | OU      | $-8904.98     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      5000 | PA      | $5448.82      | 0.01%             | 2054-06-12      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1000000 | PA      | $52695.55     | 0.12%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |         1 | NC      | $259.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.909000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    152000 | OU      | $-482.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  29860000 | PA      | $15977.41     | 0.04%             | 2055-09-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.280000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   6107000 | OU      | $6979.18      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     45000 | PA      | $53343.77     | 0.12%             | 2038-01-29      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     67000 | PA      | $77266.97     | 0.18%             | 2036-06-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.909000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    447000 | OU      | $423.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-943.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     80000 | PA      | $88162.87     | 0.20%             | 2043-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.943700 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  11031000 | OU      | $-2715.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1160000 | PA      | $179975.79    | 0.41%             | 2033-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED INR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |         1 | NC      | $-211.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $138912.50    | 0.32%             | 2030-08-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  41000000 | PA      | $25011.40     | 0.06%             | 2053-03-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $905660.15    | 2.07%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD JPY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-449.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE JUN26                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         3 | NC      | $-5671.62     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |         1 | NC      | $2631.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED KRW / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |         1 | NC      | $1017.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.555000 16-SEP-2031 WIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1221000 | OU      | $-1036.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED CNY / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $193.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.756000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 649674000 | OU      | $-2441.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.315000 16-SEP-2031 WIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1166880 | OU      | $-4311.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     54000 | PA      | $60900.56     | 0.14%             | 2054-10-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.410600 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    124000 | OU      | $-612.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     70000 | PA      | $18725.07     | 0.04%             | 2053-03-31      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD ZAR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-790.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  20550000 | PA      | $123574.34    | 0.28%             | 2055-12-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $151335.94    | 0.35%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     63000 | PA      | $74469.63     | 0.17%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-18099.30    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     50000 | PA      | $10008.14     | 0.02%             | 2068-11-19      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD IDR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $7317.66      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.322000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  18833000 | OU      | $12686.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.612000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 478627500 | OU      | $-3913.01     | -0.01%            |  |  |  | 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      | $474.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-78.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |         1 | NC      | $413.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD ZAR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-358.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED CNY / SOLD USD                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CN        |         1 | NC      | $260.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.330000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1690000 | OU      | $-2544.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    600000 | PA      | $36117.26     | 0.08%             | 2036-11-20      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  21250000 | PA      | $10265.37     | 0.02%             | 2039-09-10      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.440000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   8893000 | OU      | $8423.80      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    220000 | PA      | $59296.31     | 0.14%             | 2030-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.245000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2509000 | OU      | $-5499.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.970000 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    403000 | OU      | $125.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.155000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    615000 | OU      | $3707.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |         1 | NC      | $836.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $145593.75    | 0.33%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-192.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.045000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    152000 | OU      | $290.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  32600000 | PA      | $213414.38    | 0.49%             | 2030-02-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    390000 | PA      | $80945.36     | 0.18%             | 2069-06-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.853000 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    608161 | OU      | $-2183.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     18000 | PA      | $20795.00     | 0.05%             | 2036-06-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.880800 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    587000 | OU      | $1446.59      | 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      | $454.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sweden Government Bonds                          | Sweden Government Bonds                          | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    110000 | PA      | $11219.53     | 0.03%             | 2029-11-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $97.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $1850.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   1970000 | PA      | $61243.90     | 0.14%             | 2028-04-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                  | Japan Government Ten Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  50200000 | PA      | $291362.33    | 0.67%             | 2034-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.340000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2848000 | OU      | $2837.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.915000 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1256000 | OU      | $804.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1030000 | PA      | $891714.46    | 2.04%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    305000 | PA      | $356761.83    | 0.81%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     75000 | PA      | $86257.84     | 0.20%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED JPY / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |         1 | NC      | $331.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.716900 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1180000 | OU      | $13311.27     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-269.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |         1 | NC      | $1295.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-151152.31   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD SGD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-84.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT JUN26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -32 | NC      | $166581.86    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                               | PURCHASED KRW / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |         1 | NC      | $336.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.617000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   9354000 | OU      | $2908.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     50000 | PA      | $7501.48      | 0.02%             | 2034-11-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED BRL / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | BR        |         1 | NC      | $1233.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                 | Japan Government Five Year Bonds                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   7200000 | PA      | $45463.64     | 0.10%             | 2030-12-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     54000 | PA      | $64087.54     | 0.15%             | 2055-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $160782.81    | 0.37%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.018000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    253218 | OU      | $228.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  42500000 | PA      | $251104.40    | 0.57%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087T53<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     30000 | PA      | $21538.34     | 0.05%             | 2035-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  22250000 | PA      | $138377.65    | 0.32%             | 2045-12-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Denmark Government Bonds                         | Denmark Government Bonds                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     80000 | PA      | $5990.71      | 0.01%             | 2052-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     15000 | PA      | $16248.09     | 0.04%             | 2045-04-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1058.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 225000000 | PA      | $12956.02     | 0.03%             | 2051-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-636.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     40000 | PA      | $46204.19     | 0.11%             | 2033-06-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     20000 | PA      | $15125.39     | 0.03%             | 2050-03-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  19340000 | PA      | $8493.66      | 0.02%             | 2068-09-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.739300 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  23726640 | OU      | $1024.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 3.024690 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    319000 | OU      | $-1682.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.149500 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    261000 | OU      | $2743.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    100000 | PA      | $134268.40    | 0.31%             | 2029-05-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    700000 | PA      | $40405.73     | 0.09%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087Q98<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     70000 | PA      | $52867.30     | 0.12%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE JUN26                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        19 | NC      | $-3522.80     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.227860 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    131000 | OU      | $769.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |         1 | NC      | $9368.76      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  98020000 | PA      | $64351.87     | 0.15%             | 2028-06-10      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                 | Japan Government Five Year Bonds                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  19800000 | PA      | $122978.67    | 0.28%             | 2030-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    310000 | PA      | $54987.34     | 0.13%             | 2046-04-25      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.625540 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  21627000 | OU      | $4565.55      | 0.01%             |  |  |  | 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      | $-228.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-2250.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-2529.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     60000 | PA      | $78767.72     | 0.18%             | 2033-03-07      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.245000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2201000 | OU      | $-4853.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.953000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    261000 | OU      | $-399.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.844000 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    621000 | OU      | $-2404.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     10000 | PA      | $7279.79      | 0.02%             | 2033-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-395.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $184.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CLP                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $195.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                  | Japan Government Ten Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  53450000 | PA      | $304199.48    | 0.69%             | 2033-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     30000 | PA      | $25907.06     | 0.06%             | 2034-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)JUN26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -29 | NC      | $15673.77     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     80000 | PA      | $94367.43     | 0.22%             | 2031-07-30      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     20000 | PA      | $13231.10     | 0.03%             | 2034-05-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.735000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1415000 | OU      | $46.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                | Japan Government Forty Year Bonds                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  13900000 | PA      | $60678.60     | 0.14%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1400000 | PA      | $4592.35      | 0.01%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                               | Sweden Government Bond                           | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     60000 | PA      | $4085.90      | 0.01%             | 2045-11-24      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.695000 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    577000 | OU      | $1129.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1860000 | PA      | $274075.03    | 0.63%             | 2027-05-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.725400 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1972000 | OU      | $21343.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Denmark Government Bonds                         | Denmark Government Bonds                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    100000 | PA      | $14871.27     | 0.03%             | 2035-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     50000 | PA      | $58040.79     | 0.13%             | 2028-02-28      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     10000 | PA      | $9808.06      | 0.02%             | 2055-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CZK                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-3201.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    140000 | PA      | $141421.36    | 0.32%             | 2063-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    105000 | PA      | $101095.31    | 0.23%             | 2056-02-15      | Fixed         | 4.75%                 | 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      | $1722.82      | 0.00%             |  |  |  | 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      | $1982.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.360000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5557000 | OU      | $5266.08      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                | Hellenic Republic Government Bond                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     23000 | PA      | $27584.84     | 0.06%             | 2028-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD INR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $383.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD TWD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-145.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD HUF                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-4698.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.919700 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    991000 | OU      | $-256.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |         1 | NC      | $1144.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     28000 | PA      | $22492.20     | 0.05%             | 2042-04-11      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 6.562500 16-SEP-2031 INR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  45158601 | OU      | $-3421.32     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.537000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4773000 | OU      | $100031.40    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD INR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $339.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     30000 | PA      | $18238.64     | 0.04%             | 2030-12-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CZK 4.419700 16-SEP-2031 PRI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    361000 | OU      | $-25.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.723500 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 523096000 | OU      | $-2487.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     80000 | PA      | $93633.11     | 0.21%             | 2037-06-25      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    110000 | PA      | $122395.35    | 0.28%             | 2049-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 3.662000 16-SEP-2031 SOF               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    328000 | OU      | $1290.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-171.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIA                                         | Bulgaria Government International Bond           | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |      5000 | PA      | $5559.17      | 0.01%             | 2045-07-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-168.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.643500 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2835000 | OU      | $1405.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.597700 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10896000 | OU      | $1922.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-342.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-16427.85    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     85000 | PA      | $57323.91     | 0.13%             | 2036-03-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-25.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   2200000 | PA      | $9873.48      | 0.02%             | 2039-12-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CZK 4.540000 16-SEP-2031 PRI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4783000 | OU      | $904.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                 | Japan Government Five Year Bonds                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  26400000 | PA      | $165681.48    | 0.38%             | 2030-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     83000 | PA      | $42132.73     | 0.10%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.794000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 324755000 | OU      | $-842.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |         1 | NC      | $238.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   8600000 | PA      | $5629.47      | 0.01%             | 2034-06-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD SGD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $0.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   7200000 | PA      | $44823.00     | 0.10%             | 2032-12-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CNY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-81.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CZK 4.401000 16-SEP-2031 PRI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3701000 | OU      | $-411.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    160000 | PA      | $198038.07    | 0.45%             | 2043-10-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    235000 | PA      | $60306.21     | 0.14%             | 2039-04-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                      | Swiss Confederation Government Bond              | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     13000 | PA      | $16140.35     | 0.04%             | 2055-05-24      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $89212.50     | 0.20%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.612000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5606500 | OU      | $1548.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | PA      | $844239.84    | 1.93%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $114959.69    | 0.26%             | 2033-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED GBP / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $1851.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |         1 | NC      | $1042.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-3087.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     90000 | PA      | $121248.73    | 0.28%             | 2029-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                | Hellenic Republic Government Bond                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     20000 | PA      | $21487.95     | 0.05%             | 2032-06-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-263.69      | -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      | $720.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED TWD / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |         1 | NC      | $264.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.066500 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    190000 | OU      | $516.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.934000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    341000 | OU      | $-1633.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.415000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    737000 | OU      | $-931.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     55000 | PA      | $14351.10     | 0.03%             | 2029-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT JUN26                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       179 | NC      | $-134529.49   | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-119.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-1657.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     30000 | PA      | $34228.77     | 0.08%             | 2027-10-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2796.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-330.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.46.V1)               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1975750 | OU      | $152521.66    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-SCHATZ FUT JUN26                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         3 | NC      | $-2995.69     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN (5 YEAR ISSUE)                             | Japan Government Five Year Bond                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  11700000 | PA      | $74080.94     | 0.17%             | 2030-12-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |         1 | NC      | $15008.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-1179.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.759000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    750000 | OU      | $505.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     40000 | PA      | $54491.69     | 0.12%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.939000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    321000 | OU      | $-1484.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    150000 | PA      | $170327.67    | 0.39%             | 2035-05-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   7100000 | PA      | $44517.91     | 0.10%             | 2032-11-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED GBP / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |         1 | NC      | $2089.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    660000 | PA      | $98331.45     | 0.22%             | 2027-10-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $117468.75    | 0.27%             | 2036-02-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                      | Swiss Confederation Government Bond              | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     15000 | PA      | $19076.91     | 0.04%             | 2029-06-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     10000 | PA      | $4661.32      | 0.01%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     27000 | PA      | $30661.07     | 0.07%             | 2039-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 110400000 | PA      | $72441.90     | 0.17%             | 2032-06-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     20000 | PA      | $22946.21     | 0.05%             | 2029-06-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     20000 | PA      | $20933.10     | 0.05%             | 2032-02-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Bundesobligation                                 | Bundesobligation                                 | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    160000 | PA      | $184901.47    | 0.42%             | 2029-04-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    790000 | PA      | $109322.60    | 0.25%             | 2075-11-06      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.210000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    107000 | OU      | $865.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     70000 | PA      | $10513.85     | 0.02%             | 2056-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    110000 | PA      | $128940.61    | 0.29%             | 2027-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD IDR                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $277.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087YQ1<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     17000 | PA      | $12880.13     | 0.03%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.988500 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    160000 | OU      | $-32.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                  | Japan Government Two Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  17150000 | PA      | $109174.80    | 0.25%             | 2027-06-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                | Japan Government Forty Year Bonds                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  22800000 | PA      | $121518.44    | 0.28%             | 2048-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.646000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  16163000 | OU      | $8293.76      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.788000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1407000 | OU      | $10490.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     10000 | PA      | $6123.17      | 0.01%             | 2052-04-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     95000 | PA      | $91392.97     | 0.21%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bundesobligation                                 | Bundesobligation                                 | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     97000 | PA      | $112580.35    | 0.26%             | 2030-04-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $116204.77    | 0.27%             | 2033-01-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |         1 | NC      | $377.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-223.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED INR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |         1 | NC      | $-49.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    380000 | PA      | $13488.99     | 0.03%             | 2055-06-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     10000 | PA      | $9514.65      | 0.02%             | 2072-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.127280 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    457000 | OU      | $5405.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.652000 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  25703860 | OU      | $4422.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                          | Hungary Government Bond                          | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   8350000 | PA      | $21335.32     | 0.05%             | 2033-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.102500 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4527000 | OU      | $745.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $144052.73    | 0.33%             | 2029-07-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 215000000 | PA      | $12110.05     | 0.03%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1540000 | PA      | $241891.26    | 0.55%             | 2033-11-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD ILS                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-10009.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    125000 | PA      | $169521.48    | 0.39%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-4230.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-122.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD JPY                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-181.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.250000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    153000 | OU      | $1466.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     36000 | PA      | $11198.32     | 0.03%             | 2047-03-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                   | Czech Republic Government Bond                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    670000 | PA      | $31995.59     | 0.07%             | 2032-11-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  45400000 | PA      | $296437.60    | 0.68%             | 2031-11-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3000000 | PA      | $16914.63     | 0.04%             | 2040-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    590000 | PA      | $18168.78     | 0.04%             | 2030-03-17      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     40000 | PA      | $22704.66     | 0.05%             | 2036-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED MXN / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |         1 | NC      | $-78.18       | -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      | $1782.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1180000 | PA      | $178019.83    | 0.41%             | 2034-08-25      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     50000 | PA      | $59669.17     | 0.14%             | 2043-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                  | Japan Government Two Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  39600000 | PA      | $252066.00    | 0.58%             | 2028-01-01      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                         | Ireland Government Bonds                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     21000 | PA      | $22855.62     | 0.05%             | 2043-10-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                   | Czech Republic Government Bond                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    970000 | PA      | $40229.44     | 0.09%             | 2029-11-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-355.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    110000 | PA      | $29070.05     | 0.07%             | 2034-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    970000 | PA      | $145537.70    | 0.33%             | 2028-07-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.665000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   6384000 | OU      | $-5425.04     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  58880000 | PA      | $36492.45     | 0.08%             | 2042-09-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                             | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    164467 | NS      | $164516.57    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                               | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |         1 | NC      | $490.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED BRL / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | BR        |         1 | NC      | $1518.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    640000 | PA      | $646650.00    | 1.48%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1670000 | PA      | $245675.32    | 0.56%             | 2035-08-25      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     37000 | PA      | $43567.99     | 0.10%             | 2029-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $118537.44    | 0.27%             | 2035-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1240000 | PA      | $217412.35    | 0.50%             | 2050-03-16      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     20000 | PA      | $16439.55     | 0.04%             | 2053-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| JAPAN (5 YEAR ISSUE)                             | Japan Government Five Year Bond                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4700000 | PA      | $29121.66     | 0.07%             | 2030-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-129.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  98800000 | PA      | $45922.00     | 0.10%             | 2051-03-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.601500 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    985000 | OU      | $199.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  12000000 | PA      | $64003.07     | 0.15%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.616000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   6124000 | OU      | $1861.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     10000 | PA      | $6458.17      | 0.01%             | 2054-06-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $139.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED SEK / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | SE        |         1 | NC      | $240.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     23000 | PA      | $26299.39     | 0.06%             | 2035-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-2286.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087T46<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    100000 | PA      | $73330.14     | 0.17%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    320000 | PA      | $54659.75     | 0.12%             | 2046-08-22      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-144.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-3444.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                | Japan Government Forty Year Bonds                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9150000 | PA      | $50714.10     | 0.12%             | 2065-03-20      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    190000 | PA      | $35423.54     | 0.08%             | 2045-07-27      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     50000 | PA      | $57410.89     | 0.13%             | 2046-05-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-621.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS TESORERIA PESOS                            | Bonos de la Tesoreria de la Republica en pesos   | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  25000000 | PA      | $28224.88     | 0.06%             | 2034-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.986000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    227500 | OU      | $-67.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15500000 | PA      | $96504.84     | 0.22%             | 2038-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     70000 | PA      | $17704.54     | 0.04%             | 2050-06-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-359.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.781690 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1339000 | OU      | $10438.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-46.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.880000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    706000 | OU      | $1770.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                           | Netherlands Government Bond                      | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     50000 | PA      | $57085.38     | 0.13%             | 2044-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     90000 | PA      | $103835.85    | 0.24%             | 2029-09-24      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |         1 | NC      | $412.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      7000 | PA      | $6086.92      | 0.01%             | 2046-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD ILS                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-201.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     60000 | PA      | $68026.60     | 0.16%             | 2046-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     10000 | PA      | $11674.25     | 0.03%             | 2029-10-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.726900 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   6537000 | OU      | $401.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD BRL                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1456.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-269.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  30650000 | PA      | $143767.50    | 0.33%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD SGD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $17.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     90000 | PA      | $105034.84    | 0.24%             | 2030-01-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.403000 16-SEP-2031 SAR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    306000 | OU      | $-28.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-13265.01    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1300000 | PA      | $4303.44      | 0.01%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.769000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4118000 | OU      | $2569.58      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | AU        |         1 | NC      | $4909.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  80460000 | PA      | $48828.96     | 0.11%             | 2035-06-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  19440000 | PA      | $10399.33     | 0.02%             | 2074-09-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.827500 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  20286000 | OU      | $-9595.11     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-742.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                  | Japan Government Two Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  30600000 | PA      | $194672.72    | 0.44%             | 2027-09-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     35000 | PA      | $40645.52     | 0.09%             | 2047-05-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.602500 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 541255000 | OU      | $-4582.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $565101.56    | 1.29%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    890000 | PA      | $872060.94    | 1.99%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $12.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    310000 | PA      | $45371.52     | 0.10%             | 2035-11-15      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                  | Japan Government Two Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  27400000 | PA      | $174449.55    | 0.40%             | 2027-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED CNY / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CN        |         1 | NC      | $105.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD INR                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $1767.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $60000.00     | 0.14%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-966.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $746551.56    | 1.70%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     20000 | PA      | $26843.05     | 0.06%             | 2034-01-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.972000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    385000 | OU      | $-1352.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.737500 16-SEP-2031 THO               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  12636000 | OU      | $579.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     92000 | PA      | $106072.80    | 0.24%             | 2057-05-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    900000 | PA      | $5832.54      | 0.01%             | 2034-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                         | CUSIP: 135087T87<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     10000 | PA      | $6795.97      | 0.02%             | 2056-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                            | Japan Government Ten Year Bond                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3000000 | PA      | $18600.94     | 0.04%             | 2035-12-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-121.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     61000 | PA      | $68626.13     | 0.16%             | 2056-10-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087P57<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     30000 | PA      | $22308.24     | 0.05%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 387000000 | PA      | $23027.35     | 0.05%             | 2045-08-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     50000 | PA      | $57808.12     | 0.13%             | 2035-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.650000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    478000 | OU      | $91.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.385000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  12750000 | OU      | $10451.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-160.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.863500 16-SEP-2031 AUD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1215958 | OU      | $-3967.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-41992.27    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.603000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3401000 | OU      | $725.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $116593.88    | 0.27%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.446000 16-SEP-2031 WIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3980000 | OU      | $-8523.17     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 902000000 | PA      | $51691.74     | 0.12%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 121000000 | PA      | $7339.69      | 0.02%             | 2048-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CAD / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |         1 | NC      | $197.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BTP FUTURE JUN26                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -15 | NC      | $49564.44     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-1195.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     35000 | PA      | $40024.61     | 0.09%             | 2035-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  63080000 | PA      | $33802.87     | 0.08%             | 2055-03-10      | Fixed         | 2.63%                 | 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      | $1212.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     80000 | PA      | $88557.59     | 0.20%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-686.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    120000 | PA      | $158765.39    | 0.36%             | 2031-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-154.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  36700000 | PA      | $237856.70    | 0.54%             | 2032-05-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     30000 | PA      | $21658.03     | 0.05%             | 2050-06-22      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    170000 | PA      | $57540.48     | 0.13%             | 2029-02-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 784000000 | PA      | $46264.15     | 0.11%             | 2040-08-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD INR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $316.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 3.621000 16-SEP-2031 SOF               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    447000 | OU      | $2579.43      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-3817.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-169.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     50000 | PA      | $57725.49     | 0.13%             | 2036-04-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.725000 16-SEP-2031 WIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    541000 | OU      | $625.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 3.042580 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2188000 | OU      | $-1616.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.411000 16-SEP-2031 SHI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1453000 | OU      | $-4349.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087S96<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    195000 | PA      | $141500.79    | 0.32%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.46.V1)               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   6585500 | OU      | $146183.59    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                 | Japan Government Five Year Bonds                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  37200000 | PA      | $231243.31    | 0.53%             | 2030-06-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.394000 16-SEP-2031 SAR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     72000 | OU      | $-48.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     39000 | PA      | $44890.92     | 0.10%             | 2027-04-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: TWD 2.330000 16-SEP-2031 TAI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2143000 | OU      | $29.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | JPN 10Y BOND(OSE) JUN26                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -7 | NC      | $113490.56    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-541.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     40000 | PA      | $45065.14     | 0.10%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD ILS                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-472.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.860000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1218000 | OU      | $4364.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $705175.79    | 1.61%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3900000 | PA      | $17474.83     | 0.04%             | 2040-12-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $8.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | PA      | $660112.50    | 1.51%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 3.516000 16-SEP-2031 KRW               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  92805474 | OU      | $-1032.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-37.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-10.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $38200.00     | 0.09%             | 2046-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.814020 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3677000 | OU      | $22269.91     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     40000 | PA      | $45160.19     | 0.10%             | 2027-10-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Denmark Government Bonds                         | Denmark Government Bonds                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    100000 | PA      | $15278.77     | 0.03%             | 2027-11-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     83000 | PA      | $98935.82     | 0.23%             | 2039-07-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     20000 | PA      | $5678.76      | 0.01%             | 2048-07-06      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.737500 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     23000 | OU      | $39.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-328.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.115000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   5638000 | OU      | $1091.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $116871.57    | 0.27%             | 2028-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    170000 | PA      | $148855.82    | 0.34%             | 2038-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD TWD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-136.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                               | Denmark Government Bond                          | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    180000 | PA      | $24550.75     | 0.06%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.000000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    189000 | OU      | $-485.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-556.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.423000 16-SEP-2031 SAR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    117000 | OU      | $140.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                               | Sweden Government Bond                           | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    200000 | PA      | $19203.06     | 0.04%             | 2031-05-12      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     90000 | PA      | $99130.21     | 0.23%             | 2029-07-30      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD THB                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-2342.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     90000 | PA      | $105230.04    | 0.24%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     10000 | PA      | $6963.86      | 0.02%             | 2037-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SLOVAKIA GOVERNMENT BOND                         | Slovakia Government Bond                         | CUSIP: 000000000<br>LEI: 097900BHFM0000074794 | Long             | DBT              | NUSS              | SK        |     10000 | PA      | $11386.61     | 0.03%             | 2040-02-27      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    110000 | PA      | $130911.47    | 0.30%             | 2034-07-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.983000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1511000 | OU      | $-4748.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.612500 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5606500 | OU      | $1567.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087S70<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     60000 | PA      | $40717.05     | 0.09%             | 2057-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sweden Government Bonds                          | Sweden Government Bonds                          | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    300000 | PA      | $31124.42     | 0.07%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.294300 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    407000 | OU      | $791.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      5000 | PA      | $5759.09      | 0.01%             | 2056-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.983300 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7811000 | OU      | $-3463.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     80000 | PA      | $93067.04     | 0.21%             | 2029-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     45000 | PA      | $43265.04     | 0.10%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    110000 | PA      | $124907.99    | 0.29%             | 2041-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD ILS                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-187.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.785000 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    356000 | OU      | $505.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |         1 | NC      | $1493.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIA                                         | Bulgaria Government International Bond           | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     15000 | PA      | $17368.31     | 0.04%             | 2034-05-07      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.765000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2951000 | OU      | $1922.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087ZS6<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     22000 | PA      | $15479.28     | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $129350.00    | 0.30%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    160000 | PA      | $29135.36     | 0.07%             | 2040-07-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-2400.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-5.49        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesobligation                                 | Bundesobligation                                 | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    120000 | PA      | $140053.07    | 0.32%             | 2028-10-19      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70000 | PA      | $65285.94     | 0.15%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD INR                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $577.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLOVAKIA GOVERNMENT BOND                         | Slovakia Government Bond                         | CUSIP: 000000000<br>LEI: 097900BHFM0000074794 | Long             | DBT              | NUSS              | SK        |     40000 | PA      | $47829.16     | 0.11%             | 2034-03-06      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $1137.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     40000 | PA      | $40386.13     | 0.09%             | 2031-09-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     40000 | PA      | $22052.70     | 0.05%             | 2028-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.877300 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1199000 | OU      | $3180.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     30000 | PA      | $4351.22      | 0.01%             | 2035-05-15      | Fixed         | 1.65%                 | 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      | $1332.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD JPY                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-210.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     40000 | PA      | $45023.50     | 0.10%             | 2034-10-22      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-1009.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND                                      | Swiss Confederation Government Bond              | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     10000 | PA      | $13495.99     | 0.03%             | 2047-05-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Norway Government Bonds                          | Norway Government Bonds                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    320000 | PA      | $29337.02     | 0.07%             | 2031-09-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $169980.08    | 0.39%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     25000 | PA      | $27276.56     | 0.06%             | 2044-06-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    150000 | PA      | $38747.32     | 0.09%             | 2044-05-16      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                          | Hungary Government Bond                          | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   9900000 | PA      | $28493.48     | 0.07%             | 2029-05-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CZK 4.258000 16-SEP-2031 PRI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    503000 | OU      | $-211.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD KRW                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-651.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE JUN26                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -17 | NC      | $19111.23     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |         1 | NC      | $534.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.170000 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    400000 | OU      | $3719.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   1595000 | PA      | $49857.36     | 0.11%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED GBP / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |         1 | NC      | $1125.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  30000000 | PA      | $18875.59     | 0.04%             | 2034-12-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED INR / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |         1 | NC      | $-1152.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-3572.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-422.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     35000 | PA      | $46821.62     | 0.11%             | 2041-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.762000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1469000 | OU      | $967.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    690000 | PA      | $610703.90    | 1.39%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     35000 | PA      | $28289.96     | 0.06%             | 2040-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED COP / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |         1 | NC      | $26.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     85000 | PA      | $98623.95     | 0.23%             | 2032-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1030000 | PA      | $151134.02    | 0.35%             | 2028-11-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    735000 | PA      | $22200.05     | 0.05%             | 2045-06-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD RON                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-325.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    680000 | PA      | $21134.81     | 0.05%             | 2031-12-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.587000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2689000 | OU      | $1059.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087Q49<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    105000 | PA      | $77750.32     | 0.18%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     10000 | PA      | $10886.28     | 0.02%             | 2038-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD GBP                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-4258.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                | Hellenic Republic Government Bond                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     25000 | PA      | $29154.34     | 0.07%             | 2035-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     40000 | PA      | $46130.54     | 0.11%             | 2031-05-31      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                         | Ireland Government Bonds                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     40000 | PA      | $43936.75     | 0.10%             | 2031-03-18      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED AUD / SOLD USD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |         1 | NC      | $1007.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                 | Japan Government Five Year Bonds                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  42600000 | PA      | $266138.78    | 0.61%             | 2030-09-20      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.395000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3377000 | OU      | $2911.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    200000 | PA      | $50421.50     | 0.12%             | 2030-05-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $13.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIKA SLOVENIJA                              | Slovenia Government Bond                         | CUSIP: 000000000<br>LEI: 485100000LWQHIX4XX88 | Long             | DBT              | NUSS              | SI        |      5000 | PA      | $2684.71      | 0.01%             | 2050-10-20      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     15000 | PA      | $17419.51     | 0.04%             | 2047-05-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  50110000 | PA      | $27611.07     | 0.06%             | 2048-03-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                  | Japan Government Ten Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  14400000 | PA      | $89005.81     | 0.20%             | 2035-12-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $22467.72     | 0.05%             | 2032-04-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.370000 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3377000 | OU      | $3117.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      5000 | PA      | $5593.61      | 0.01%             | 2035-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                          | CUSIP: 135087S62<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    115000 | PA      | $82895.50     | 0.19%             | 2035-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     30000 | PA      | $14371.39     | 0.03%             | 2052-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3250000 | PA      | $14564.43     | 0.03%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.472000 17-DEC-2030 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7715768 | OU      | $-3418.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1000000 | PA      | $57181.61     | 0.13%             | 2030-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    150000 | PA      | $38028.77     | 0.09%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                         | Ireland Government Bonds                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     31000 | PA      | $35033.03     | 0.08%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds              | Kingdom of Belgium Government Bonds              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     30000 | PA      | $32780.04     | 0.07%             | 2042-06-22      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED GBP / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $1397.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-OAT FUTURE JUN26                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -2 | NC      | $9.81         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.227620 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    713000 | OU      | $4199.52      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    150000 | PA      | $171772.84    | 0.39%             | 2033-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                | Hellenic Republic Government Bond                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      4000 | PA      | $4441.79      | 0.01%             | 2054-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED MXN / SOLD USD                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |         1 | NC      | $687.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 13.825000 02-JAN-2029 BZD               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    124000 | OU      | $115.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  52850000 | PA      | $30906.60     | 0.07%             | 2044-09-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.715000 16-SEP-2031 SHI               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    371000 | OU      | $589.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                  | Japan Government Ten Year Bonds                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10150000 | PA      | $58387.06     | 0.13%             | 2032-12-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                              | CUSIP: 91282CQC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $87623.44     | 0.20%             | 2033-02-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    210000 | PA      | $245586.55    | 0.56%             | 2027-09-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.320000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4661753 | OU      | $3118.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                              | Republic of Austria Government Bond              | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     40000 | PA      | $46532.86     | 0.11%             | 2033-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     40000 | PA      | $35059.26     | 0.08%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD JPY                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-88776.95    | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                          | Romania Government Bond                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $44668.82     | 0.10%             | 2029-04-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     10000 | PA      | $12033.78     | 0.03%             | 2030-10-20      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.125000 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    124000 | OU      | $608.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds               | Japan Government Twenty Year Bonds               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   2100000 | PA      | $13108.52     | 0.03%             | 2032-09-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-590.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    112000 | PA      | $37892.60     | 0.09%             | 2035-03-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED SEK / SOLD USD                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |         1 | NC      | $160.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.702000 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3522000 | OU      | $3373.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.034000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    197000 | OU      | $-281.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.959000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    369000 | OU      | $-1457.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.373800 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  15518000 | OU      | $12317.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Norway Government Bonds                          | Norway Government Bonds                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    150000 | PA      | $15427.08     | 0.04%             | 2035-06-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    160000 | PA      | $186266.84    | 0.43%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                | Japan Government Forty Year Bonds                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  19650000 | PA      | $95722.76     | 0.22%             | 2051-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-156.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-444.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: GBP 4.239200 16-SEP-2031 SON               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    494000 | OU      | $2571.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Finland Government Bonds                         | Finland Government Bonds                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      5000 | PA      | $2303.87      | 0.01%             | 2052-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: EUR 2.688000 16-SEP-2031 EUR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    288000 | OU      | $3696.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    230000 | PA      | $272250.88    | 0.62%             | 2027-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                | Hellenic Republic Government Bond                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     13000 | PA      | $15329.46     | 0.04%             | 2042-01-30      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD PLN                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-204.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      5000 | PA      | $5803.51      | 0.01%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.952500 16-SEP-2031 HKD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2171000 | OU      | $904.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED ILS / SOLD USD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | IL        |         1 | NC      | $1088.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     40000 | PA      | $46868.67     | 0.11%             | 2027-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                         | Ireland Government Bonds                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      7000 | PA      | $8102.41      | 0.02%             | 2036-06-18      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD SEK                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-36.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MYR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $4478.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED PLN / SOLD USD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |         1 | NC      | $-59.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     55000 | PA      | $64200.13     | 0.15%             | 2036-07-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-197.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     60000 | PA      | $64954.21     | 0.15%             | 2043-06-22      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-14798.09    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    400000 | PA      | $102288.40    | 0.23%             | 2028-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     50000 | PA      | $55936.14     | 0.13%             | 2035-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 3.086900 16-SEP-2031 3M                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1739000 | OU      | $-1668.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.692500 16-SEP-2031 JIB               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     13000 | OU      | $1.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES   | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |    100000 | NS      | $100000.00    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD HKD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $106.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                           | Netherlands Government Bond                      | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     15000 | PA      | $16980.90     | 0.04%             | 2036-07-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD BRL                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1383.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD MXN                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1843.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                | Hellenic Republic Government Bond                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     10000 | PA      | $11576.81     | 0.03%             | 2034-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds             | Republic of Austria Government Bonds             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     10000 | PA      | $10414.58     | 0.02%             | 2053-10-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.795000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3820000 | OU      | $-2094.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 150000000 | PA      | $8773.73      | 0.02%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.370000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   9326494 | OU      | $7320.62      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 960000000 | PA      | $54488.62     | 0.12%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     30000 | PA      | $24200.90     | 0.06%             | 2039-07-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SEK                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-157.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     28000 | PA      | $5994.26      | 0.01%             | 2047-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED BRL / SOLD USD                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | BR        |         1 | NC      | $182.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.146000 16-SEP-2031 CAD               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    531000 | OU      | $1243.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.941200 16-SEP-2031 SOR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     12000 | OU      | $-23.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIKA SLOVENIJA                              | Slovenia Government Bond                         | CUSIP: 000000000<br>LEI: 485100000LWQHIX4XX88 | Long             | DBT              | NUSS              | SI        |     25000 | PA      | $28835.85     | 0.07%             | 2034-03-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.350000 11-SEP-2031 TII               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4661753 | OU      | $3442.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD ZAR                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-96.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    420000 | PA      | $12929.20     | 0.03%             | 2050-06-17      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                               | Peru Government Bond                             | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    150000 | PA      | $46911.80     | 0.11%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.570000 16-SEP-2031 CNR               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     31000 | OU      | $-0.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-138.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     50000 | PA      | $14604.60     | 0.03%             | 2032-04-30      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    102000 | PA      | $112181.40    | 0.26%             | 2042-05-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** BlackRock ETF Trust II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer