DISCLOSE REGISTER - FULL PORTFOLIO HOLDINGS 1 Offer name Summer KiwiSaver Scheme Offer number OFR10856 Fund name Summer Conservative Selection Fund number FND13670 Period disclosure applies [dd/mm/yyyy] 31/03/2021 Asset name % of fund net assets Security code ANZ transactional bank account 7.61% n/a Housing New Zealand 3.36% 12/06/2025 3.12% NZHNZD0625L3 New Zealand Local Government Funding Agency Ltd 14/04/2033 3.50% 2.95% NZLGFDT009C0 New Zealand Local Government Funding Agency Ltd 15/04/2027 4.50% 2.10% NZLGFDT007C4 Westpac New Zealand 1.439% 24/02/2026 1.95% NZWNZD0226L9 Housing New Zealand 2.97% 12/06/2023 1.95% NZHNZD0623L8 New Zealand Local Government Funding Agency Ltd 15/04/2025 2.75% 1.59% NZLGFDT008C2 New Zealand Local Government Funding Agency Ltd 15/04/2024 2.25% 1.57% NZLGFDT011C6 Bank of New Zealand Subordinated Note 17/12/2025 5.314% 1.45% NZBNZDT383C8 New Zealand Local Government Funding Agency Ltd 14/04/2022 2.75% 1.33% NZLGFDT010C8 New Zealand Government 15/05/2024 0.5% 0.99% NZGOVDT524C5 Vector Ltd 14/03/2024 4.996% 0.98% NZVCTDT009C6 Housing New Zealand 3.42% 18/10/2028 0.95% NZHNZD0628L7 Transpower New Zealand Limited 04/09/2025 1.735% 0.93% NZTRPD0070L9 Kiwibank Subordinated Bonds 2.36% 11/12/2030 0.88% NZKIWD1230L2 Amazon.com, Inc. 0.83% US0231351067 Goodman Property Trust 0.80% NZCPTE0001S9 ASB Bank Limited 26/05/2021 4.245% 0.80% NZABBDG002C2 Visa Inc.- Class A Shares 0.79% US92826C8394 Kiwi Property Group Limited 0.78% NZKPGE0001S9 Fisher & Paykel Healthcare Corporation Limited 0.77% NZFAPE0001S2 Chorus Ltd Bonds 06/05/2021 4.12% 0.73% NZCNUDT002C8 ASB Bank limited 19/08/2024 1.83% 0.71% NZABBDG004C8 GMT Bond Issuer Limited 23/06/2022 5.00% 0.70% NZGMBDT003C6 Housing New Zealand Limited 05/10/2026 2.247% 0.66% NZHNZD0001L7 Transpower New Zealand Ltd 30/06/2022 4.30% 0.66% NZTRPD0030L3 Alphabet Inc Class A 0.65% US02079K3059 Trustpower Ltd 15/12/2022 4.01% 0.63% NZTPWDT150C2 Precinct Properties New Zealand Ltd 17/12/2021 5.54% 0.63% NZPCTDT001C1 New Zealand Local Government Funding Agency Ltd 20/04/2029 1.50% 0.62% NZLGFDT012C4 Kiwibank Limited 20/09/2024 2.155% 0.60% NZKIWD0924L1 Takeda Pharmaceutical Co Limited 0.58% JP3463000004 Precinct Properties New Zealand Limited 0.58% NZAPTE0001S3 JAPAN TREASURY DISC BILL #977 0.56% BO3023005 ANZ Capital Notes 25/05/2020 7.20% 0.56% NZANBDT013C0 Microsoft Corporation 0.56% US5949181045 Alibaba Group Holding-Sp Adr 0.56% US01609W1027 Genesis Energy Limited 5.0% 03/04/2025 0.55% NZGNEDT007C3 CSL Limited 0.55% AU000000CSL8 Vital Healthcare Property Trust 0.53% NZCHPE0001S4 Christchurch International Airport Limited 24/05/2024 4.13% 0.53% NZCHCDT004C4 Meridian Energy Limited 27/06/2025 4.21% 0.52% NZMELDT042C4 Stride Property Group 0.52% NZSPGE0001S2 Comcast Corp Class A 0.52% US20030N1019 Argosy Property Limited Green Bonds 29/10/2026 2.90% 0.51% NZARGDT002C4 Westpac New Zealand Limited 29/07/2024 2.22% 0.51% NZWNZD0724L3 Meridian Energy Limited 20/03/2024 4.88% 0.50% NZMELDT024C2 Westpac Banking Corp Subordinated Notes 01/09/2026 4.695% 0.50% NZWBCD0010L1 Mondelez International Inc 0.49% US6092071058 Baxter International Inc. 0.49% US0718131099 Christchurch City Holdings Limited Bonds 27/11/2024 3.58% 0.48% NZCCHDT853C4 Argosy Property Limited Green Bonds 27/03/2026 4.00% 0.48% NZARGDT001C6 Mercury NZ Limited 1.56% 09/14/27 0.48% NZMCYDG003C8 New Zealand Local Government Funding Agency Ltd 15/04/2037 2.00% 0.47% NZLGFDT016C5 The a2 Milk Company Limited 0.47% NZATME0002S8 Genesis Energy Limited Bonds 09/06/2047 5.70% 0.47% NZGNEDG004C5 Infratil Limited 0.47% NZIFTE0003S3 BHP Group Limited 0.47% AU000000BHP4 Spark New Zealand Limited 0.47% NZTELE0001S4 Fiserv Inc 0.46% US3377381088 Summerset Group Holdings Limited 4.20% 24/09/2025 0.46% NZSUMD0020L7 Merck & Co Inc 0.44% US58933Y1055 Property For Industry Limited 0.44% NZPFIE0001S5 Chorus Ltd Bonds 02/12/2027 1.98% 0.44% NZCNUDT004C4 Westpac New Zealand Limited Fixed Rate Note 23/03/2023 3.72% 0.42% NZWNZD0323L4 Kiwi Property Group Limited 07/09/2023 4.00% 0.42% NZKPGD0020L6 Argosy Property Limited 0.41% NZARGE0010S7

Page 1 of 31 Salesforce.com, Inc. 0.41% US79466L3024 Apple Inc. 0.41% US0378331005 Citigroup Inc 0.41% US1729674242 Fonterra Co-operative Group Ltd Fixed Rate Bonds 20/10/2021 4.33% 0.40% NZFCGDG003C9 Fletcher Building Limited 0.40% NZFBUE0001S0 New Zealand Local Government Funding Agency Ltd 15/04/2026 1.50% 0.40% NZLGFDT014C0 Metlifecare Limited 20/09/2026 3.00% 0.40% NZMETDT001C2 Contact Energy Limited 0.39% NZCENE0001S6 Ping An Insurance (Group) Company of China, Limited 0.39% CNE1000003X6 Taiwan Semiconductor Manufacturing Co Ltd 0.38% US8740391003 Kiwi Capital Funding Ltd Perpetual Capital Notes 27/05/2020 7.25% 0.38% NZKCFD0002L4 Netflix Inc 0.36% US64110L1061 Siemens AG-Reg 0.36% DE0007236101 Medtronic Inc. 0.36% IE00BTN1Y115 Intel Corp 0.36% US4581401001 Trustpower Limited 22/02/2029 3.97% 0.36% NZTPWDT170C0 Ebos Group Limited 0.36% NZEBOE0001S6 Bristol-Myers Squibb Company 0.35% US1101221083 Westpac Banking Corporation 0.35% AU000000WBC1 Meridian Energy Limited 0.34% NZMELE0002S7 Koninklijke Philips N.V. 0.34% NL0000009538 Commonwealth Bank of Australia Limited 0.34% AU000000CBA7 Insurance Australia Group Ltd 15/06/2022 5.15% 0.34% NZIAGDT003C3 Transpower New Zealand Limited 06/03/2025 3.823% 0.33% NZTRPD0050L1 Powerco Ltd 28/09/2022 4.76% 0.31% NZPWCDT007C3 Nippon Telegraph and Telephone Corp 0.31% JP3735400008 Port of Tauranga 1.02% 29/09/2025 0.31% NZPOTD0925L1 Contact Energy Ltd 15/11/2021 4.40% 0.30% NZCEND0030L2 Mainfreight Limited 0.30% NZMFTE0001S9 Z Energy Ltd 01/11/2021 4.01% 0.30% NZZELD0040L6 Meridian Energy Ltd 14/03/2023 4.53% 0.30% NZMELDT016C8 Activision Blizzard Inc 0.30% US00507V1098 LVMH Moet Hennessy- Louis Vuitton 0.29% FR0000121014 Z Energy Limited Limited 4.00% 03/09/2024 0.27% NZZELD0060L4 Ryman Healthcare Limited 0.27% NZRYME0001S4 NIKE, Inc. 0.27% US6541061031 National Australia Bank Limited 0.26% AU000000NAB4 Auckland International Airport Limited 0.26% NZAIAE0002S6 Auckland International Airport Ltd 09/11/2022 4.28% 0.26% NZAIADT200L2 Vector Ltd 27/05/2025 3.45% 0.26% NZVCTDT090C6 General Motors Co 0.25% US37045V1008 ASB Bank Ltd 26/05/2021 4.245% 0.25% NZABBDT034C0 Z Energy Limited 0.25% NZZELE0001S1 Christchurch City Holdings Limited Bonds 06/12/2022 3.40% 0.24% NZCCHDT839C3 Abbott Laboratories 0.24% US0028241000 Spark Finance Limited 3.37% 07/03/2024 0.24% NZSPFD0580L4 Mercury NZ Limited 06/03/2023 5.793% 0.24% NZMTYDT025C7 Kering SA 0.23% FR0000121485 Boston Scientific Corp 0.23% US1011371077 Wellington International Airport Ltd 15/05/2021 6.25% 0.23% NZWIAD0020L9 Telstra Corporation Limited 0.22% AU000000TLS2 Australia and New Zealand Banking Group Limited 0.22% AU000000ANZ3 STIF FUND (USD)( BNP PARIBAS) 0.22% 998907794 Chorus Limited 0.21% NZCNUE0001S2 Wellington International Airport Limited 01/04/2030 4.00% 0.21% NZWIAD0060L5 Coca-Cola Ltd 0.21% US1912161007 ANZ Bank New Zealand Limited 20/03/2024 3.03% 0.21% NZANBDT023C9 Property for Industry Limited 4.25% 01/10/2025 0.21% NZPFIDT020C1 New Zealand Government Bonds 15/05/2021 6.00% 0.20% NZGOVD0521C2 Investore Property Limited 0.20% NZIPLE0001S3 Genesis Energy Limited 20/07/2022 1.32% 0.20% NZGNEDT008C1 Rio Tinto Limited 0.20% AU000000RIO1 Transpower New Zealand 08/10/2021 1.52% 0.20% NZTRPD0080L8 Sanofi SA 0.20% FR0000120578 Mercury NZ Limited 29/09/2026 2.160% 0.19% NZMCYDG004C6 Vector Limited 1.575% 06/10/2026 0.19% NZVCTDT011C2 Downer EDI Limited 0.19% AU000000DOW2 QNB FINANCE LTD SR UNSEC FRN SOFR 0.19% ZP8978204 Wesfarmers Limited 0.18% AU000000WES1 New Zealand Local Government Funding Agency Ltd 15/04/2023 5.50% 0.18% NZLGFDT005C8 Kiwi Property Group Limited 20/08/2021 6.15% 0.18% NZKIPD0010L3 Sanford Limited 0.18% NZSANE0001S0

Page 2 of 31 Charter Hall Group Limited 0.18% AU000000CHC0 CHINA DEVELOPMENT BANK 0.18% AN0889195 Woolworths Limited 0.17% AU000000WOW2 Deere & Company 0.17% US2441991054 CASH COLLATERAL ISDA BPS USD 0.17% CCBPSIUS1 SKYCITY Entertainment Group Limited 0.17% NZSKCE0001S2 Lendlease Group 0.16% AU000000LLC3 Spark Finance Ltd 25/03/2022 4.50% 0.16% NZSPFD0322L1 Mirvac Group 0.16% AU000000MGR9 Ryman Healthcare Limited 2.55% 18/12/2026 0.16% NZRYMD0010L2 Viva Energy Group Limited 0.16% AU0000016875 AstraZeneca Plc 0.16% GB0009895292 Fortinet Inc 0.15% US34959E1091 ProShares VIX Short-Term Futures ETF 0.15% US74347W1716 CASH COLLATERAL ISDA MYI USD 0.15% CCMYIIUS1 Skellerup Holdings Limited 0.15% NZSKXE0001S8 Tencent Holdings Limited 0.15% KYG875721634 Genesis Energy Ltd Bonds 18/03/2022 4.14% 0.14% NZGNEDG001C1 JAPANESE GOVT BOND (20Y) #154 0.14% UV8902925 Kathmandu Holdings Limited 0.14% NZKMDE0001S3 Summerset Group Holdings Limited 0.14% NZSUME0001S0 ANZ Bank New Zealand Limited 02/09/2021 3.33% 0.14% NZANBDT018C9 South32 Limited 0.14% AU000000S320 Palo Alto Networks, Inc. 0.14% US6974351057 Nvidia Corporation 0.14% US67066G1040 Mercury NZ Floating Rate Bond 07/09/2021 0.14% NZMTYDT003C4 Bank of China 0.14% CNE1000001Z5 Ramsay Health Care Limited 0.14% AU000000RHC8 Macquarie Group Limited 0.13% AU000000MQG1 Trustpower Limited 15/12/2021 5.63% 0.13% NZTPWDT140C3 Goodman Group 0.13% AU000000GMG2 CHINA GOVERNMENT BOND 0.13% BJ7352427 Atlas Arteria Group 0.13% AU0000013559 CASH COLLATERAL ISDA IND USD 0.13% CCINDIUS5 Seven Group Holdings Limited 0.13% AU000000SVW5 U S TREASURY INFLATE PROT BD 0.13% 9128283R9 CHINA DEVELOPMENT BANK 0.13% AO7962449 Auckland International Airport Limited 17/4/2023 3.64% 0.13% NZAIADT220L0 Investore Property Limited 2.40 %31/08/2027 0.13% NZIPLDT002C1 Arvida New Zealand 2.87% 22/02/2028 0.13% NZARVDT001C7 Charter Hall Long Wale REIT 0.12% AU000000CLW0 Schneider Electric SE 0.12% FR0000121972 Mercury NZ Limited 11/07/2049 3.60% 0.12% NZMCYDG002C0 ISRAEL FIXED BOND 0.12% EI6295907 Brambles Limited 0.12% AU000000BXB1 Qualcomm Inc 0.12% US7475251036 Insurance Australia Group Limited 0.12% AU000000IAG3 Scentre Group Limited 0.12% AU000000SCG8 Northern Star Resources Limited 0.12% AU000000NST8 Genesis Energy Limited 0.11% NZGNEE0001S7 Freightways Limited 0.11% NZFREE0001S0 Smartgroup Corporation Limited 0.11% AU000000SIQ4 China Railway Construction Corporation Limited 0.11% CNE100000981 Asset Plus Limited 0.11% NZNAPE0007S3 JAPAN TREASURY DISC BILL #965 0.11% BN4176481 GMTNZ 4.00% 01/09/2023 0.10% NZGMBDT005C1 ServiceNow Inc 0.10% US81762P1021 Delegat Group Limited 0.10% NZDGLE0001S3 FRANCE GOVT OAT BD 0.10% ZP7360719 Super Retail Group Limited 0.09% AU000000SUL0 Fortescue Metals Group Limited 0.09% AU000000FMG4 GMT Bond Issuer Limited 04/09/2028 2.262% 0.09% NZGMBDT007C7 IRESS Limited 0.09% AU000000IRE2 JAPANESE GOVT BOND (30Y) #62 0.09% ZS0526047 U S TREASURY BOND 0.09% 912810SW9 CHINA DEVELOPMENT BANK 0.09% QZ2929490 JAPANESE GOVT BOND (30Y) #61 0.09% AW6341746 Shopping Centres Australasia Property Group 0.09% AU000000SXY7 Tasssal Group Limited 0.09% AU000000TGR4 Pushpay Holdings Limited 0.09% NZPPHE0001S6 Mercury NZ Limited 0.09% NZMRPE0001S2 IOOF Holdings Limited 0.09% AU000000IFL2

Page 3 of 31 GENERALITAT DE CATALUNYA 0.08% EH9891761 JYSKE REALKREDIT A/S IO **PARTIAL CALL** 0.08% AZ0551053 RIPON 1A A1 3MLIB+80BP 144A 0.08% CX2CIL010 Tower Limited 0.08% NZTWRE0011S2 Sydney Airport Holdings Pty Ltd 0.08% AU000000SYD9 Trustpower Limited Bonds 29/07/2026 3.35% 0.08% NZTPWDT180C9 OOH! Media Limited 0.08% AU000000OML6 Woodside Petroleum Limited 0.08% AU000000WPL2 Mcmillan Shakespeare Limited 0.08% AU000000MMS5 CHINA GOVERNMENT BOND 0.08% AP7294360 Port of Tauranga Limited 0.08% NZPOTE0003S0 TPMT 2019-4 A1 144A 0.08% 89178BAA2 VitalHarvest Freehold Trust Limited 0.07% AU0000018343 CDL Investments New Zealand Limited 0.07% NZKGLE0001S8 U S TREASURY BILLS 0.07% 912796F46 QATAR GOVT SR UNSEC REGS 0.07% AX5422925 JAPANESE GOVT BOND (ILB) #23 0.07% AS5951049 Capitol Health Limited 0.07% AU000000CAJ0 SPANISH GOVT BD (BONOS Y OBLIG) 0.07% BJ0516218 EUROPEAN MONETARY UNION EURO 0.06% EUR1096N3 FRANCE GOVT OAT BD 0.06% AN6136328 New Zealand Local Government Funding Agency Ltd 15/05/2021 6.00% 0.06% NZLGFDT004C1 ResMed Inc. 0.06% AU000000RMD6 FNMA PASS THRU 30YR #CA8607 0.06% 3140QGR58 Treasury Wine Estates Limited 0.06% AU000000TWE9 JYSKE REALKREDIT A/S SEC **PARTIAL CALL* 0.06% AX8961184 Centuria Industrial REIT 0.06% AU000000CIP0 Altium Limited 0.06% AU000000ALU8 CHINA GOVERNMENT BOND 0.06% BM7567605 Service Stream Limited 0.06% AU000000SSM2 NYKREDIT REALKREDIT IO **PARTIAL CALL** 0.06% AZ1042375 Origin Energy Limited 0.06% AU000000ORG5 AMP Limited 0.06% AU000000AMP6 ISRAEL MAKAM BILL 0.06% BN7960154 Transurban Group 0.06% AU000000TCL6 QBE Insurance Group Limited 0.06% AU000000QBE9 NORDEA KREDIT REALK IO **PARTIAL CALL** 0.06% ZS9944027 NATWEST GROUP PLC SR UNSEC 0.06% 780097BE0 STRA 2021-2X A SONIA3M + 90BP 0.06% 7452179A9 My Food Bag Group Ltd 0.06% NZMFBE0004S1 ISRAEL FLOATING RATE 0.05% EJ5390657 Aristocrat Leisure Limited 0.05% AU000000ALL7 Synlait Milk Limited 0.05% NZSMLE0001S9 FSQ 2020-2X A SONIA3M + 130BP 0.05% CX2AV3019 Santos Limited 0.05% AU000000STO6 DEUTSCHE BANK NY SOFR 0.05% 251526CB3 Aurizon Holdings Limited 0.05% AU000000AZJ1 U S TREASURY BILLS 0.05% 9127962Y4 NEXTDC Limited 0.05% AU000000NXT8 Pacific Edge Limited 0.05% NZPEBE0002S1 Wellington International Airport Limited 12/05/2023 4.25% 0.05% NZWIAD0030L8 SUMITOMO MITSUI BANKING SEC 0.05% AZ0983637 AUSTRALIA GOVT 0.05% BK4676346 REA Group Limited 0.05% AU000000REA9 CASH COLLATERAL FUT MSC USD 0.05% CCMSCXUS7 Vista Group International Limited 0.05% NZVGLE0003S1 Estia Health Ltd 0.05% AU000000EHE2 SPANISH GOVT BD (BONOS Y OBLIG) 0.05% AX4147556 HSBC HOLDINGS PLC SR UNSEC 0.05% 404280BT5 LLOYDS BANK PLC COVERED EMTN 0.05% 5395569Q5 BARCLAYS BANK PLC - CONTINGENT CAPITAL 0.05% 06740L8C2 Emeco Holdings Ltd 0.05% AU000000EHL7 SAUDI INTERNATIONAL BOND 0.05% AS1608783 TESCO PROP FIN 6 PLC 0.05% EJ5474840 JAPANESE GOVT BOND (30Y) #50 0.05% JK3805781 The New Zealand Refining Company Limited 0.05% NZNZRE0001S9 Cleanaway Waste Management Limited 0.05% AU000000CWY3 ISRAEL TREASURY BILL MOF 0.05% BN2963948 SPANISH GOVT BD (BONOS Y OBLIG) 0.04% AT2820591 LITHUANIA (REP OF) SR UNSEC 0.04% EJ0010177 MORGAN STANLEY SR UNSEC 0.04% 6174468M4 Suncorp Group Limited 0.04% AU000000SUN6

Page 4 of 31 Tilt Renewables Limited 0.04% NZTLTE0003S8 CSR Ltd 0.04% AU000000CSR5 CHINA DEVELOPMENT BANK 0.04% AX2612411 RECKITT BENCKISER TSY SR UNSEC 144A 0.04% 75625QAC3 DEUTSCHE BANK AG 0.04% ZP3884472 AVIATION CAPITAL GROUP SR UNSEC 144A 0.04% 05367AAJ2 ORACLE CORP SR UNSEC 0.04% 68389XCE3 UNIV OF CALIFORNIA-BG 0.04% 91412HGE7 EUROPEAN UNION 0.04% BN7431495 AAREAL BANK AG SEC 0.04% BN8909317 MFRA 2020-NQM2 A1 144A 0.04% 552751AA7 CMLTI 2006-WFH4 M2 1MLIB+29BP 0.04% 17309SAF7 PROVINCE OF QUEBEC 0.04% BM0804575 Siemens Energy AG 0.04% DE000ENER6Y0 ROYAL BANK OF CANADA COVERED SONIA SEC 0.04% ZR8273438 TWIN 2021-1 A SONIA + 85BP 0.04% CMBF04014 CSF 2021-1 A SONIA3M + 95BP 0.04% CX2PVJ011 STRA 2021-1 A SONIA3M IR +85BP 0.04% CX2M2B017 STATE OF ISRAEL 0.04% BJ1411179 TWRBG 2020-1 A SONI3M+137BP 0.04% CMBI92013 BNP PARIBAS SR NON-PREFER REGS SOFR 0.04% 09659X2M3 CMHI FINANCE BVI CO LTD SR UNSEC 0.04% AT7188143 CASH COLLATERAL LCH MSC USD 0.04% CCMSCHUS2 U S TREASURY INFLATE PROT BD 0.04% 912810SM1 MITSUBISHI UFJ FIN GRP SR UNSEC 0.04% 606822AT1 AVOLON HOLDINGS SR UNSEC 144A SMR 0.04% 70014LAA8 FORD MOTOR CREDIT CO LLC SR UNSEC 0.04% 345397ZM8 Laybuy Group Holdings Ltd 0.04% NZLBYE0001S0 WELLS FARGO & COMPANY SR UNSEC 0.04% BJ1181772 STRA 2020-1 A SONIA3M+90BP REGS 0.04% CX2405012 CHINA DEVELOPMENT BANK 0.04% AR1691898 MIZUHO FINANCIAL GROUP SR UNSEC 0.04% 60687YAH2 GNR 2016-H11 F 1MLIB+80BP 0.04% 38375UXM7 SAUDI INTERNATIONAL BOND 0.03% QZ9368189 ITALIAN BTP BOND 0.03% BI0195932 PROVINCE OF QUEBEC BDS 0.03% 74814ZEL3 CASH COLLATERAL ICE MSC USD 0.03% CCMSCZUS2 CASH MGMT BILL 0.03% 912796H93 Xero Limited 0.03% NZXROE0001S2 Rural Funds Group 0.03% AU000000RFF5 AMSI 2005-R5 M5 1MLIB+65BP 0.03% 03072SE68 SNCF RESEAU SRUNSEC 0.03% AZ3438431 SVHE 2005-OPT3 M1 1MLIB+47BP 0.03% 83611MGU6 REPUBLIC OF PERU GDN REGS 0.03% AV9721409 SUMITOMO MITSUI BANKING COVERED SEC 0.03% AU9538516 SUMITOMO MITSUI BANKING COVERED SEC 0.03% ZO3154150 The Warehouse Group Limited 0.03% NZWHSE0001S6 FNMA PASS THRU 30YR #MA3804 0.03% 31418DGN6 Christchurch International Airport Ltd 04/10/2021 6.25% 0.03% NZCIADT002C9 AFT Pharmaceuticals Ltd 0.03% NZAFTE0001S4 Oceania Healthcare Limited 0.03% NZOCAE0002S0 CRED SUIS GP FUN LTD SR UNSEC 0.03% 225433AR2 DIGITAL INTREPID HOLDING SR UNSEC 0.03% BN3334347 Challenger Limited 0.03% AU000000CGF5 Webjet Limited 0.03% AU000000WEB7 Boral Limited 0.03% AU000000BLD2 BOSTON PROPERTIES LP SR UNSEC 0.03% 10112RAZ7 NATIONWIDE BLDG SOCIETY SR UNSEC 144A 0.03% 63861VAA5 GWA Group 0.03% AU000000GWA4 BARCLAYS PLC SR UNSEC 0.03% BM1403336 JPN BANK FOR INT'L COOP 0.03% 471048CD8 AUCHAN HOLDING SA SR UNSEC 0.03% BK4723809 UNICREDIT SPA SR UNSEC REGS 0.03% AV9182479 JP Morgan Chase & Co. AUD Cash Deposit 0.03% n/a CONAGRA BRANDS INC GLBL SR UNSEC 0.03% 205887BJ0 TRINI 2021-1X A SONIA3M + 85BP 0.03% CX2RBV012 CN HUANENG GP HK TREASUR SR UNSEC 0.03% ZQ8762028 Sky Network Television Limited 0.03% NZSKTE0001S6 LLOYDS BANK PLC SEC 0.03% AZ6956959 NATIONWIDE BLDG SOCIETY SEC 144A 0.03% 638602BR2 NATWEST GROUP PLC COCO JRSUB 0.03% 780097BB6 PERU (REP OF) GLBL SRUNSC 144A 0.03% 715638BV3

Page 5 of 31 ENBRIDGE INC SR UNSEC 0.03% 29250NBB0 EASTERN CREATION II INVE SR UNSEC 0.03% ZO2843217 NYKREDIT REALKREDIT **PARTIAL CALL** 0.03% BG5056190 NOMURA HOLDINGS INC SR UNSEC 0.03% 65535HAS8 DEVELOPMENT BK OF JAPAN 0.03% ZO0614461 BRITISH POUND STERLING 0.03% GBP1097E4 RMAC 2018-1 A 3MGBP + 70BP 0.03% CX2LTF011 GSAMP 2006-HE3 A2D 0.03% 36244KAE5 NHEL 2006-1 A2D 1MLIB+54BP 0.03% 669884AE8 MORTI 2019-1 A SONIA + 130BP 0.03% CX2CMC015 UNICREDIT SPA SR UNSEC 0.03% BK5390673 JP Morgan Chase & Co. EUR Cash Deposit 0.03% n/a CROATIA 0.03% BJ9805851 PARTNERRE IRELAND FINANC CO GTD SR UNSEC 0.03% QZ4292673 GNR 2016-H14 FA 1MLIB+80BP 0.03% 38376RVV5 AUSTRALIA GOVT 0.03% ZO5418629 DEUTSCHE BANK AG SR UNSEC 0.03% AQ6887402 BANCA MONTE DEI PASCHI S SEC 0.03% ZR8866983 AMCO SPA SR UNSEC 0.03% BK4514968 IHO VERWALTUNGS GMBH SR SEC 0.02% ZS8102403 SUMITOMO MITSUI FINL GRP SR UNSEC 0.02% ZS8041809 FNMA PASS THRU 30YR #CA8895 0.02% 3140QG3D7 SYSCO CORPORATION 0.02% 871829BP1 KOOKMIN BANK COVERED SEC 0.02% BK4342261 CIEL 2019-1 A 3MGBP + 105BP 0.02% CMWG71018 NYKREDIT REALKREDIT AS 0.02% AP0290779 BANCA CARIGE SPA COVERED SEC 0.02% AL8833694 CHILE GOVT 0.02% ZP6062605 Flight Centre Travel Group Limited 0.02% AU000000FLT9 DELL INT LLC / EMC CORP 144A 0.02% 24703DBB6 NRZT 2020-RPL1 A1 144A 0.02% 64828XAA1 SUMITOMO MITSUI TR BK LT SEC 0.02% ZO8366296 EUROPEAN UNION 0.02% BO4675365 JP Morgan Chase & Co. USD Cash Deposit 0.02% n/a NATWEST GROUP PLC SR UNSEC 0.02% 78009PEH0 CBRE GI OPEN END FUND SR UNSEC 0.02% BN6470585 FNMA PASS THRU 30YR #MA4077 0.02% 31418DQ70 SAUDI INTERNATIONAL BOND 0.02% AW5997316 CSMC 2019-RPL8 A1 144A 0.02% 12596YAC4 CITRIX SYSTEMS INC SR UNSEC 0.02% 177376AE0 APA Group Limited 0.02% AU000000APA1 FSQ 2018-2 A 3MGBP + 95BP 0.02% CMJB99015 SABINE PASS LIQUEFACTION SR SEC 0.02% 785592AX4 CMLTI 2019-C A1 WM50 WC4.5780 144A 0.02% 17328GAA1 NRZT 2019-RPL3 A1 144A 0.02% 64830NAA9 GOLDMAN SACHS GROUP INC SR UNSEC 0.02% 38141GWZ3 Marsden Maritime Holdings Ltd. 0.02% NZNTHE0001S3 HWKSM 2019-1X A SONIA +105BP 0.02% CX2FRJ018 XAN 2020-RSO9 A 1MLIB +250BP 144A 0.02% 30070CAA3 SANTANDER UK GROUP HLDGS SUB 144A 0.02% 80281LAA3 INTESA SANPAOLO SPA JR SUB 0.02% ZO1586411 UBS AG STAMFORD CT GLBL SUB 0.02% 90261AAB8 NISSAN MOTOR CO SR UNSEC 144A 0.02% 654744AD3 DBGS 2019-1735 A WM29 WC4.2129 144A 0.02% 23307EAA9 STAR 2020-3 A1 WM50 WC5.2893 144A 0.02% 85573MAA7 Napier Port Holdings Limited 0.02% NZNPHE0005S2 SBERBANK (SB CAP SA) REGS 0.02% EJ6725067 ISRAEL FIXED BOND 0.02% AL0699770 BARCLAYS PLC SR UNSEC 0.02% 06738EAE5 CHINA MENGNIU DAIRY SR UNSEC 0.02% AT8289197 ARROW ELECTRONICS INC SR UNSEC 0.02% 042735BG4 AMERICAN TOWER CORP SR UNSEC 0.02% 03027XAV2 PENSKE TRUCK LEASING/PTL 144A 0.02% 709599AH7 DIAMONDBACK ENERGY INC SR UNSEC 0.02% 25278XAL3 CHINA DEVELOPMENT BANK 0.02% BK7063559 SYDNEY AIRPORT FINANCE CO SEC 144A 0.02% 87124VAD1 TALNT 2019-1A A 144A 0.02% 89231XAA9 FORD MOTOR CREDIT CO LLC 0.02% 345397WK5 CHARTER COMM OPT LLC/CAP 0.02% 161175BB9 A10 2020-C A 144A 0.02% 66981EAA1 ABU DHABI GOVT 0.02% AP4164210 BARCLAYS PLC JR SUB COCO 0.02% AZ0489668

Page 6 of 31 MUFG UNION BANK NA SR UNSEC 0.02% 90520EAK7 TWIN 2017-1 A 3MGBP 0.02% CX2E19011 LAS VEGAS SANDS CORP SR UNSEC 0.02% 517834AH0 HSBC BANK CANADA COVERED SEC REGS 0.02% AV7907893 NATIONWIDE BLDG SOCIETY JR SUB 0.02% ZR6557048 CENTRAL NIPPON EXPRESSWY 0.02% AP6364693 CENTRAL NIPPON EXPRESSWY 0.02% QZ4193376 DAIMLER FINANCE NA LLC CO GTD 144A 0.02% 233851AF1 Arvida Group Limited 0.02% NZARVE0001S5 JPMORGAN CHASE & CO SR UNSEC 0.02% 46647PAD8 ACE 2005-HE5 M4 1MLIB+60BP 0.02% 004421RH8 BARCLAYS BANK PLC SUB REGS 0.02% 0673999A5 RMS 30 A 3MLIB +80BP 0.02% CX2ENJ015 QNB FINANCE LTD FRN 0.02% ZS2342856 NEXTERA ENERGY CAPITAL SR UNSEC 0.02% 65339KBC3 SANTANDER UK PLC SR UNSEC 0.02% 80283LAW3 LLOYDS BANKING GROUP PLC JR SUB 0.02% EK1358739 SUMITOMO MITSUI FINL GRP SR UNSEC 0.02% 86562MCA6 MITSUBISHI UFJ FIN GRP SR UNSEC 0.02% 606822BS2 CLARION FUNDING PLC SR SE**PARI-PASSU** 0.02% AW6617160 SANTANDER UK GROUP HLDGS SR UNSEC SOFR 0.02% 80281LAN5 T-MOBILE USA INC SEC 144A 0.02% 87264ABG9 OVERSEA-CHINESE BANKING SUB COCO 144A 0.02% 69033CAD1 SROCK 2019-1 A 1MEUR + 85BP 0.02% CX2EF2011 GSMSC 2015-5R 1C 1MLIB+14BP 144A 0.02% 36251QAC6 TOKYO METROPOLITAN GOVT 0.02% BK4385500 SYSTEMS RESOURCE 0.02% 871911AT0 DEUTSCHE BANK NY SUB SOFR 0.02% 251526CF4 AMSI 2005-R11 M3 1MLIB+50BP 0.02% 03072SV36 FNMA PASS THRU 30YR #BK8661 0.02% 3140HNTT9 JP Morgan Chase & Co. JPY Cash Deposit 0.02% n/a TENCENT HOLDINGS LTD SR UNSEC 144A 0.02% 88032WAU0 MIZUHO FINANCIAL GROUP SR UNSEC 0.02% 60687YBH1 CSMC 2019-RPL9 A1 144A 0.02% 12654WAC7 PERU (REP OF) GLBL SRUNSC REGS 0.02% QZ7401545 JPMCC 2019-FL12 A 1MLIB+145BP 144A 0.02% 46651QAA5 CMLTI 2007-SHL1 A WM34 WC8.8868 144A 0.02% 17312WAA4 VOLKSWAGEN FIN SERV NV SR UNSEC REGS 0.02% AT9867777 HSBC HOLDINGS PLC SR UNSEC SONIA 0.02% 404280CR8 ROYAL BANK OF CANADA COV SEC SONIA 0.02% ZP6595406 NATIONWIDE BLDG SOCIETY SEC SONIA 0.02% BO1068051 ELAT 2007-1 A1 1MLIB+110BP 144A 0.02% 288542AA1 JAPANESE YEN 0.02% JPY1097D2 LLOYDS BANKING GROUP PLC SR UNSEC 0.02% BH3421394 VOLKSWAGEN FIN SERV NV CO GTD SR UNSEC 0.02% BN5128374 ENEL FINANCE INTL NV SR UNSEC SMR 0.02% ZO9275116 CREDIT SUISSE GROUP AG SR UNSEC 144A 0.02% 225401AG3 CAIXABANK SA JR SUB COCO PRFSTY 0.02% ZO7459118 BANCO BILBAO VIZCAYA ARG JR SUB PRFSTY 0.02% BK4220673 CHARTER COMM OPT LLC/CAP 0.02% 161175AZ7 VOLKSWAGEN BANK GMBH SR UNSEC REGS 0.02% AW8992017 COOPERATIEVE RABOBANK UA JR SUB COCO 0.02% BK4137737 CSMC 2019-RPL4 A1 144A 0.02% 22946AAC2 PARGN 13X A1 3MGBP + 24BP 0.02% CMKG89013 NYKREDIT REALKREDIT **PARTIAL CALL** 0.02% AX9541290 AT&T INC SR UNSEC 0.02% AV4209251 TAKEDA PHARMACEUTICAL SR UNSEC 0.02% BK2909236 FHLMC GOLD 30YR GNT #G0-8747 0.02% 3128MJZM5 BANCO BILBAO VIZCAYA ARG COCO JR SUB 0.02% AX7516377 CREDIT AGRICOLE LONDON SOFR REGS 0.02% 22536PAG6 EUROFINS SCIENTIFIC SE SR UNSEC 0.02% AO3855738 AMERN MUN PWR-C-HYDRO 0.02% 02765UEP5 BANCO BILBAO VIZCAYA ARG JR SUB 0.02% AU5731057 BANCO SANTANDER SA COCO PRFSTY JR SUB 0.02% AP3065806 BUMP 2019-1 A SONIA + 60BP 0.02% CX2CEI011 Reject Shop Ltd 0.02% AU000000TRS9 STATE OF QATAR SR UNSEC 144A 0.02% 74727PBB6 JAPAN FIN ORG MUNICIPAL 0.02% ZO1367317 DEXIA CREDIT LOCAL 0.02% AQ6666749 COOPERATIEVE RABOBANK UA JR SUB 0.02% JK8426674 PETROBRAS GLOBAL **REPURCHASE OFFER** 0.02% 71647NBE8 CREDIT SUISSE GROUP AG SR UNSEC 0.02% AZ1870148

Page 7 of 31 LOGICOR FINANCING SARL CO GTD SR UNSEC 0.02% AV2671478 Tourism Holdings Limited 0.02% NZHELE0001S9 DEXIA CREDIT LOCAL GOV GTD 0.02% JV6517603 SUMITOMO MITSUI BANKING COVERED SEC 0.02% ZQ3491581 NATWEST GROUP PLC SR UNSEC 0.02% AM6924725 COMMUNITY OF MADRID SPAI 0.02% AN0563311 VOLKSWAGEN FIN SERV AG SR UNSEC REGS 0.02% AX8482843 TWIN 2018-1 A 3MEUR + 88BP 0.02% CX2603012 JAPANESE YEN 0.02% JPY1165C1 QATAR GOVT SR UNSEC REGS 0.02% AS1975760 ENEL FINANCE INTL NV CO GTD SR UNSEC 0.02% ZQ0626247 GOLDMAN SACHS GROUP INC SR UNSEC REGS 0.02% ZP5392854 DPF 2021-1 A 3MEUR + 65BP 0.02% CX21NF011 VMWARE INC SR UNSEC 0.02% 928563AF2 DEUTSCHE BANK AG 0.02% BN9674902 EQUINIX INC SR UNSEC 0.02% BO2492037 EUROPEAN UNION SR UNSEC REGS EMTN 0.02% BO7141985 NHEL 2005-4 M1 1MLIB+44BP 0.02% 66987WDE4 GHM 2007-1 A2B 3ME+13BP 0.02% 2886269B2 NYKREDIT REALKREDIT AS 0.02% BO0840575 NMRR 2018-1R 3A1 1MLIB+90BP 144A 0.02% 65541JAC1 GOLDMAN SACHS GROUP INC SR UNSEC 0.02% BN6710287 SANDS CHINA LTD SR UNSEC 0.02% 80007RAE5 BROADCOM INC SR UNSEC 144A 0.02% 11135FBA8 LGATE 2008-W1X A1 3MGBP+60BP 0.02% CMU017018 SERBIA GOVT 0.02% BO2494439 BAYER US FINANCE II LLC SR UNSEC 144A 0.02% 07274NAL7 MIRAV 2020-1 A 3MEUR + 85BP 0.02% CX2PH6015 LLOYDS BANKING GROUP PLC SUB 0.02% 539439AM1 U S TREASURY INFLATE PROT BD 0.02% 912810FH6 Adairs Ltd 0.02% AU000000ADH2 Fonterra Co-operative Group Ltd Fixed Rate Bonds 07/03/2023 4.42% 0.02% NZFCGDG004C7 EUROPEAN UNION 0.02% BM3710233 NATIONWIDE BLDG SOCIETY SR UNSEC 144A 0.02% 63861VAB3 NATWEST GROUP PLC COCO JRSUB 0.02% 780097BQ3 ABU DHABI GOVT SR UNSEC REGS 0.02% BH6827852 USBR 2016-1 A 1MLIB+75BP 0.02% 91754RZD2 NXP BV/NXP FUNDING LLC SR UNSEC 144A 0.02% 62947QAV0 QATAR GOVT 0.02% LW2393129 ABU DHABI GOVT SR UNSEC REGS 0.01% BH6827142 FNMA TBA 2.0% APR 30YR 0.01% 01F020646 LLOYDS BANKING GROUP PLC SR UNSEC 0.01% 539439AS8 HSBC HOLDINGS PLC SR UNSEC 0.01% 404280BS7 QATAR GOVT SR UNSEC REGS 0.01% AX5422859 MIZUHO FINANCIAL GROUP SR UNSEC 0.01% 60687YAS8 NCHET 2005-2 M3 1MLIB+73.5BP 0.01% 64352VKV2 TOKYO METROPOLITAN GOVT SR UNSEC 144A 0.01% 889124AL7 Resimac Group Ltd 0.01% AU0000033094 BOC AVIATION LTD SR UNSEC REGS 0.01% 09681MAE8 DEUTSCHE BANK NY SR UNSEC 0.01% 251526BR9 FNMA PASS THRU 40YR #BF0463 0.01% 3140FXQR6 VANKE REAL ESTATE HK SR UNSEC 0.01% ZQ4362062 DEVELOPMENT BK OF JAPAN SR UNSEC REGS 0.01% ZR7680575 NISSAN MOTOR CO SR UNSEC 144A 0.01% 654744AA9 MDGH - GMTN BV 0.01% BJ4435605 DOMI 2019-1 A 3MEUR + 85BP 0.01% CX2CHL011 BARCLAYS PLC SR UNSEC 0.01% 06738EBE4 SAUDI ARABIA (KSA SUKUK LTD) REGS 0.01% AN1402543 ZIMMER BIOMET HOLDINGS INC SR UNSEC SMR 0.01% 98956PAL6 SAUDI ARABIAN OIL CO SR UNSEC REGS 0.01% ZS0947847 VOLKSWAGEN GROUP AMERICA SR UNSEC 144A 0.01% 928668AP7 CENTERPOINT ENERGY INC SR UNSEC SMR 0.01% 15189TAT4 SANTANDER UK GROUP HLDGS SR UNSEC 0.01% 80281LAF2 KOMATSU FINANCE AMERICA CO GTD 0.01% AP0072607 NEW ZEALAND GOVERNMENT 0.01% ZR6098787 CENTRAL JAPAN RAILWAY CO 0.01% AM5533261 NISSAN MOTOR ACCEPTANCE SR UNSEC 144A 0.01% 654740AV1 Comvita Limited 0.01% NZCVTE0001S7 DELTA AIR LINES INC SR UNSEC 0.01% 247361ZM3 TOKYO METROPOLITAN GOVT 0.01% LW0887312 CDBL FUNDING 1 SR UNSEC 0.01% BM1532456 FIRST ABU DHABI BANK PJS SR UNSEC 0.01% AX9925998

Page 8 of 31 RMAC 2018-2 A 3MGBP + 97BP 0.01% CM1D35014 CENTRAL NIPPON EXPRESSWY 0.01% AR0676072 QNB FINANCE LTD SR UNSEC FRN 0.01% AS7036823 FNMA PASS THRU 30YR #AZ7355 0.01% 3140E0E50 ERLS 2019-PL1 A 1MEUR+ 85BP 0.01% CX2IRR014 OCCIDENTAL PETROLEUM COR SR UNSEC SMR 0.01% 674599CQ6 CNPC GLOBAL CAPITAL 0.01% BK0924179 QNB FINANCE LTD CO GTD SR UNSEC 0.01% BN6176547 TAKEDA PHARMACEUTICAL SR UNSEC 0.01% 874060AX4 ONCIL 2016-1 A 3MGBP+140BP 0.01% CMV267018 BROADCOM INC SR UNSEC 144A 0.01% 11135FBF7 CASH COLLATERAL CME MSC USD 0.01% CCMSCCUS3 ITALY (REP OF) GOVT EMTN 0.01% 004428B15 FORD FOUNDATION/THE UNSEC 0.01% 34531XAB0 AT&T INC SR UNSEC 0.01% 00206RKE1 James Hardie Industries PLC 0.01% AU000000JHX1 CSFB 2004-CF2 2M1 1MLIB+135BP 144A 0.01% 22541SE20 U S TREASURY BILLS 0.01% 912796G29 PCHLT 2005-1 M4 1MLIB+90BP 0.01% 71085PBN2 TRINI 2015-1A A 1MLIB+115BP 144A 0.01% CX27UC017 DANISH KRONER 0.01% DKK1099A8 FNMA PASS THRU 30YR #CA9090 0.01% 3140QHC45 PERU GOVT 0.01% AV9610925 TPMT 2019-HY2 A1 1MLIB+100BP 144A 0.01% 89177HAA0 UK GILT 1.75% 2049 0.01% AU3796482 MARKS & SPENCER PLC SR UNSEC 0.01% AL4335553 VIRGIN MEDIA SECURED FIN REGS SMR 0.01% AM2044296 ITALIAN BTP BOND 0.01% QZ7665156 SOUTH AUST GOVT FIN AUTH 0.01% BG0382559 VOLKSWAGEN FIN SERV NV SR UNSEC 0.01% ZO4566816 SLM STUDNT LOAN TST 03-7 0.01% 7844159A1 FAIRFAX FINL HLDGS LTD SR UNSEC REGS 0.01% AR6730758 FAIRFAX FINL HLDGS LTD SR UNSEC 144A 0.01% AR6731004 AROUNDTOWN SA SR UNSEC 0.01% AS1405222 ALBA 2005-1 A3 3MGBP+19BP 0.01% CMRG18031 AIB GROUP PLC SUB 0.01% ZO6167829 RMACS 2006-NS4X A3A 3MLIB+17BP 0.01% 5456919H2 BANCA MONTE DEI PASCHI S SR UNSEC 0.01% AZ5286333 ESAIL 2007-3X A3A 3MGBP + 95BP 0.01% CM4E46065 CAIXABANK SA SR UNSEC 0.01% AV0889478 JPMAC 2006-WMC3 A1SS 1MLIB+13BP 0.01% 46629KAA7 FORD MOTOR CREDIT CO LLC SR UNSEC 0.01% AX4517493 IMCD NV CO GTD SR UNSEC 0.01% AR6721799 CVS HEALTH CORP SR UNSEC 0.01% 126650CZ1 DEUTSCHE BANK AG 0.01% BM3470093 ABBEY NATL TREASURY SERV 0.01% 4104869D8 CANADA GOVT REAL RETURN 0.01% 135087ZH0 CPI PROPERTY GROUP SA SR 0.01% ZQ1738090 VOLKSWAGEN INTL FIN NV CO GTD REGS 0.01% AV6225206 DEUTSCHE BANK AG 0.01% ZO2007029 TAKEDA PHARMACEUTICAL SR UNSEC 144A SMR 0.01% AV7093538 CREDIT SUISSE GUERNSEY COVERED 0.01% EK4867512 BANCA CARIGE SPA SEC 0.01% AV1320689 WAMU 2007-OA3 2A1A 1YCMT+76 0.01% 93364AAC6 ROMANIA GOVT SR UNSEC REGS 0.01% BM7280894 NOVA LJUBLJANSKA BANKA D SUB 0.01% ZP7632919 NORTHWELL HEALTHCARE INC SEC 0.01% 667274AC8 CHARTER COMM OPT LLC/CAP SEC 0.01% 161175BS2 BANCO DE CREDITO DEL PER SR UNSEC REGS 0.01% 05971V2B0 UK TSY 0 5/8% 2050 0.01% BJ7876565 TRANSURBAN FINANCE CO SEC 144A 0.01% 89400PAE3 ENERGY TRANSFER OPERATNG SR UNSEC 0.01% 29278NAH6 NEWCREST FINANCE PTY LTD SR UNSEC 144A 0.01% 65120FAE4 PACIFIC GAS & ELECTRIC SEC 0.01% 694308JP3 STIF FUND (JPY)( BNP PARIBAS) 0.01% 948907795 REGENCY ENERGY PARTNERS LP SR UNSEC 0.01% 75886AAL2 CITIGROUP INC SR UNSEC 0.01% 172967LM1 ABBVIE INC SR UNSEC 0.01% 00287YCR8 DBS BANK LTD SEC REGS 0.01% 23304SAB9 ORACLE CORP SR UNSEC 0.01% 68389XCA1 WALT DISNEY COMPANY/THE SR UNSEC 0.01% 254687FV3 FNMA PASS THRU 30YR #BR1297 0.01% 3140KYNP5

Page 9 of 31 CITIGROUP INC SR UNSEC 0.01% 172967LV1 ALLY FINANCIAL INC SR UNSEC 0.01% 02005NBG4 MALAYSIA INVESTMNT ISSUE 0.01% ZS1338228 WELLS FARGO & COMPANY SR UNSEC 0.01% 949746SJ1 JAPANESE YEN 0.01% JPY1109I7 CROWN CASTLE TOWERS LLC SEC 144A 0.01% 22822RBB5 MALAYSIAN GOVERNMENT 0.01% 005027A15 CHARLES SCHWAB CORP SR UNSEC 0.01% 808513BN4 CHARLES SCHWAB CORP SR UNSEC 0.01% 808513BP9 GENERAL MOTORS FINL CO SR UNSEC 0.01% 37045XCH7 Clearview Wealth Ltd 0.01% AU000000CVW9 FRANCE (GOVT OF) 0.01% BN6163990 PACIFIC GAS & ELECTRIC SR UNSEC 0.01% 694308HN0 AT&T INC SR UNSEC 0.01% 00206RKD3 TREASURY CORP VICTORIA 0.01% EJ6963270 CHARTER COMM OPT LLC/CAP SEC 0.01% 161175BX1 FHLT 2005-D 2A4 0.01% 35729PME7 PEMEX SR UNSEC 0.01% 71654QCC4 BCAP 2011-RR5 12A1 144A 0.01% 05534AAN1 BRITISH COLUMBIA PROV OF 0.01% 110709GB2 PERU (REP OF) GLBL SR UNSEC 0.01% 715638DR0 SPANISH GOVT BD (BONOS Y OBLIG) 0.01% BN9905777 FNMA PASS THRU 30YR #AZ2940 0.01% 3138YUHS3 AUSTRALIA GOVT 0.01% QZ5429456 IRO EUR 10Y P 0.20000 L 01/25/22 GLM 0.01% 317U432X8 CASH COLLATERAL TBA GSC USD 0.01% CCGSCTUS3 BRITISH TELECOM PLC GLBL SR UNSECURED 0.01% 111021AE1 MALAYSIA GOVERNMENT 0.01% AW6351018 MALAYSIA INVESTMNT ISSUE 0.01% AW5043582 NATIONWIDE BLDG SOCIETY JR SUB - CCDS 0.01% EJ9656046 PERU (REP OF) GLBL SRUNSEC REGS 0.00% 715638DC3 Metro Performance Glass Limited 0.00% NZMPGE0001S5 STIF FUND (EUR)( BNP PARIBAS) 0.00% 929907798 GECMS 1997-HE4 A6 0.00% 36157NFL3 MHL 2005-4 A1 1MLIB+28BP 0.00% 61913PAZ5 NEW ZEALAND DOLLAR 0.00% NZD1124A1 NEW ZEALAND GOVERNMENT 0.00% BK4327957 FNMA PASS THRU 15YR #FM1843 0.00% 3140X5BM4 REPUBLIC OF PERU 0.00% AO4008642 FHR 4579 FD 1MLIB+35BP 0.00% 3137BPPH6 PETROBRAS GLOBAL **REPURCHASE OFFER** 0.00% 71647NAK5 REALT 2018-1A A1 144A 0.00% 75585RQL2 STIF FUND (CHF) 0.00% 984029694 CWL 2007-12 1A1 1MLIB+74BP 0.00% 126697AA9 SLMA 2005-8 A4 3MLIB 0.00% 78442GQR0 NORWEGIAN GOVERNMENT BD 474 0.00% EI2488605 JP Morgan Chase & Co. GBP Cash Deposit 0.00% n/a FNMA PASS THRU 30YR #ZT1702 0.00% 3132AD3K2 OTC EPUT FRTR 0.75% 05/52 @ 97 BPS 0.00% 3175SQ653 CANADIAN GOVERNMENT BD 0.00% 135087D35 CHINESE - YUAN RENMINBI (CNH) 0.00% CNH1167A4 VM CASH CCP CME MSC USD 0.00% XXMSC3US4 STIF FUND (CAD) (ERSTE GROUP BANK AG) 0.00% 920089497 CASH Uninvested ARS 0.00% 00000ARS8 WAMU 2005-AR6 2A1A 1MLIB+23 0.00% 92922FJ25 FNMA TBA 3.0% APR 30YR 0.00% 01F030645 ISRAELI SHEKEL 0.00% ILS2031A2 CAMPBELL SOUP CO SR UNSEC SMR 0.00% 134429BE8 REPUBLIC OF PERU GDN 144A 0.00% 715638BX9 CVS HEALTH CORP SR UNSEC SMR 0.00% 126650CV0 ISRAELI SHEKEL 0.00% ILS1334B6 SPRINT SPECTRUM / SPEC I SEC 144A 0.00% 85208NAA8 STIF FUND (GBP)( BNP PARIBAS) 0.00% 988907796 GNR 2017-121 PE WM47 WC3.8930 0.00% 38380TV37 WAMU 2006-AR10 2A1 WM 36 WC 3.7663 0.00% 93363EAF2 SASC 2006-EQ1A A1 1MLIB+13.50BP 144A 0.00% 86360RAA1 FNMA TBA 3.0% MAY 30YR 0.00% 01F030652 REPUBLIC OF ARGENTINA 0.00% AN0758861 BUMF 6 A2 3MEUR+19BP 0.00% CM9J09026 JP Morgan Chase & Co. HKD Cash Deposit 0.00% n/a PERUVIAN SOL-NDF 0.00% PEN1130B5 FIN FUT EUR-BUND 10YR EUX 06/08/21 0.00% RXM100094

Page 10 of 31 FNMA PASS THRU 30YR #BK9241 0.00% 3140HPHT7 VM CASH FUT DOM MSC USD 0.00% XXMSC1US8 IRS USD 0.75000 06/16/21-10Y CME 0.00% SWU017A18 TAIWANESE DOLLAR-NDF 0.00% TWD1104B4 CHINA DEVELOPMENT BANK 0.00% UV7415648 PERUVIAN SOL-NDF 0.00% PEN1343A0 JAPANESE YEN 0.00% JPY1127B0 TAIWANESE DOLLAR-NDF 0.00% TWD1167A0 DANISH KRONER 0.00% DKK1182C2 IRS JPY 0.40000 06/19/19-20Y LCH 0.00% SWU00U6T2 VM CASH FUT FOR MSC EUR 0.00% XXMSC2EM7 ISRAELI SHEKEL 0.00% ILS2033A0 IRS USD 1.00000 12/16/20-10Y LCH 0.00% SWU0GB071 FIN FUT EURO-SCHATZ 2YR EUX 06/08/21 0.00% DUM100012 SAUDI ARABIA GOVT EM SP CBK 0.00% SWPC0JIS6 OIS GBP SONIO/0.75000 09/15/21-30Y LCH 0.00% SWU018Y28 IRS KRW R 1.72500 03/20/19-5Y NGF 0.00% SWU00S9O5 IRS KRW R 1.79500 03/20/19-10Y BPS 0.00% SWU00SB46 VM CASH CCP ICE MSC USD 0.00% XXMSC4US2 FNMA PASS THRU 30YR #BN5342 0.00% 3140JM5C2 VM CASH CCP LCH MSC EUR 0.00% XXMSC5EM0 IRS USD 1.25000 06/09/21-20Y LCH 0.00% SWU0177O2 CASH Uninvested SGD 0.00% 00000SGD4 PERUVIAN SOL-NDF 0.00% PEN1110B9 ISRAELI SHEKEL 0.00% ILS1133B9 VM CASH CCP LCH MSC NOK 0.00% XXMSC5NO6 VM CASH CCP LCH MSC JPY 0.00% XXMSC5JP8 VM CASH FUT FOR MSC GBP 0.00% XXMSC2GB9 CCS AUD R US3ML/AUD3MBBSW+42.2 MYC 0.00% CCS0079R8 VM CASH CCP LCH MSC AUD 0.00% XXMSC5AU6 MALAYSIAN RINGGIT-NDF 0.00% MYR1167D2 IRS USD 0.75000 03/30/21-10Y LCH 0.00% SWU015JB1 VM CASH CCP LCH MSC NZD 0.00% XXMSC5NZ1 VM CASH CCP CME MSC CZK 0.00% XXMSC3CZ8 PERUVIAN SOL-NDF 0.00% PEN1189A7 STIF FUND (NZD) 0.00% 956002299 VM CASH CCP LCH MSC CHF 0.00% XXMSC5CH3 VM CASH FUT FOR MSC JPY 0.00% XXMSC2JP5 STIF FUND (CZK) 0.00% 921002291 VM CASH CCP CME MSC ZAR 0.00% XXMSC3ZA8 VM CASH CCP ICE MSC EUR 0.00% XXMSC4EM3 VM CASH CCP LCH MSC SEK 0.00% XXMSC5SE3 EUROPEAN MONETARY UNION EURO 0.00% EUR1097R3 IRS USD 0.50000 06/16/21-5Y CME 0.00% SWU017A59 BWSTA 2019-1 A2 144A 0.00% 065606AB1 STIF FUND (SEK) 0.00% 980089494 MEXICAN NUEVO PESO 0.00% MXN1246A9 PERUVIAN SOL-NDF 0.00% PEN2084A1 VM CASH FUT FOR MSC AUD 0.00% XXMSC2AU3 IRS USD 2.00000 01/15/20-10Y LCH 0.00% SWU00VD05 FHR 4579 SD IO WM33 WC3.105 0.00% 3137BPS83 TMTS 2003-6HE A1 1MLIB+94BP 0.00% 881561CE2 SOUTH AFRICAN RAND 0.00% ZAR1166B5 FIN FUT US 30YR CBT 06/21/21 0.00% USM100018 IRS USD 2.10000 08/25/21-30Y LCH 0.00% SWU019CZ7 IRS USD 0.75000 06/16/21-10Y LCH 0.00% SWU017A26 ITALY GOVT SW SP BOA 0.00% SWPC0JFV2 ITALY GOVT SW SP BRC 0.00% SWPC0JG41 STIF FUND (MXN) 0.00% 952072692 FNMA TBA 2.5% JUN 30YR 0.00% 01F022667 FNR 2006-48 TF 1MLIB+40BP 0.00% 31395NLE5 STIF FUND (AUD)( BNP PARIBAS) 0.00% 908907793 ZCS BRL 3.35 01/21/21-01/03/22 CME 0.00% SWU017VQ0 VM CASH CCP LCH MSC GBP 0.00% XXMSC5GB2 IRS AUD 1.25000 06/17/20-10Y LCH 0.00% SWU00Y1H5 SWISS FRANCS 0.00% CHF1097C0 CASH Uninvested THB 0.00% 00000THB5 VM CASH CCP CME MSC MXN 0.00% XXMSC3MX2 FNMA TBA 1.5% APR 30YR 0.00% 01F012643 IRS USD 0.40000 03/30/21-5Y LCH 0.00% SWU015GP3 FIN FUT EURO-OAT EUX 10YR 06/08/21 0.00% OATM10523 VM CASH CCP LCH MSC CAD 0.00% XXMSC5CA8

Page 11 of 31 IRS USD 1.15000 03/30/21-30Y LCH 0.00% SWU015HX5 INF SWAP GB NI 2.9997 11/15/20-30Y LCH 0.00% SWU09BM42 IRS USD 1.72000 10/15/21-10Y CME 0.00% SWU018U22 IRS USD 1.76000 08/25/21-30Y LCH 0.00% SWU018EB0 IRS USD 1.32500 12/02/20-30Y CME 0.00% SWU016TV4 IRS EUR 0.00000 06/16/21-30Y LCH 0.00% SWU016T02 IRS NOK 1.50000 03/10/21-5Y LCH 0.00% SWU018YR3 STIF FUND (NOK) 0.00% 960002293 AP MOLLER - MAERSK A/S SNR SE SP JPM 0.00% SWPC0G1M3 ITALY GOVT SW SP BRC 0.00% SWPC0JFW0 VM CASH CCP LCH MSC USD 0.00% XXMSC5US9 ZCS BRL 3.3 11/06/20-01/03/22 CME 0.00% SWU016H54 IRS KRW R 1.79500 03/20/19-10Y SCX 0.00% SWU00SAD7 IRS USD 1.29800 08/25/21-3Y LCH 0.00% SWU00VUF3 IRS USD 1.24900 08/31/21-3Y LCH 0.00% SWU00VXO1 IRS EUR 0.50000 09/15/21-30Y LCH 0.00% SWU018WN4 IRS USD 1.62000 01/27/22-30Y LCH 0.00% SWU017X54 SCLP 2017-4 A 144A 0.00% 83405JAA3 INF SWAP GB NI 3.0505 11/15/20-30Y LCH 0.00% SWU0VB9A8 U S TREASURY BOND 0.00% 912810SS8 STIF FUND (ZAR) 0.00% 972007009 IRS JPY 0.30000 12/16/20-2Y LCH 0.00% SWU012M08 FIN FUT AUS 3YR BOND SFE 06/15/21 0.00% YMM100009 CANADIAN DOLLAR 0.00% CAD1097D5 IRS EUR 0.45000 12/15/20-15Y LCH 0.00% SWU00XH23 IRS USD 0.75000 12/16/20-2Y LCH 0.00% SWU0CA101 IRS USD 1.95000 10/04/21-10Y LCH 0.00% SWU019OV3 NORWEGIAN KRONER 0.00% NOK1124C4 IRS USD 1.25000 06/16/21-30Y LCH 0.00% SWU0178Y9 IRS USD 2.01000 09/17/21-30Y CME 0.00% SWU018MJ4 FIN FUT UK GILT ICE 06/28/21 0.00% G M10001 IRS NZD 0.50000 12/16/20-5Y LCH 0.00% SWU016IW4 IRS USD 1.25000 12/16/20-30Y CME 0.00% SWU012TP6 IRS USD 1.30600 08/21/20-3Y LCH 0.00% SWU00VS33 IRS MXN 4.87000 07/13/20-5Y* CME 0.00% SWU013KR9 FORD MOTOR CREDIT CO LLC SR UNSEC 0.00% 345397A29 INF SWAP GB NI 3.74 03/15/21-10Y LCH 0.00% SWU09TZ56 ZCS BRL 3.7 02/26/21-01/03/22 CME 0.00% SWU018QQ4 ROLLS-ROYCE PLC SNR SE ICE 0.00% SWPC0I0F5 STIF FUND (DKK) 0.00% 922022694 OIS GBP SONIO/0.50000 09/15/21-5Y LCH 0.00% SWU018Y10 IRS KRW R 1.71800 06/19/19-10Y GLM 0.00% SWU00TOH1 IRS EUR 0.06350 11/17/22-30Y LCH 0.00% SWU016KP6 IRS EUR 0.00000 03/17/21-15Y LCH 0.00% SWU016X72 INF SWAP GB NI 3.3967 11/15/20-10Y LCH 0.00% SWU09JU12 ZCS BRL 3.345 01/22/21-01/03/22 CME 0.00% SWU017WB2 STIF FUND (CNH) 0.00% 911002392 CASH Uninvested ILS 0.00% 00000ILS7 FIN FUT EURO$ CME (WHT) 09/13/21 0.00% EDU100010 CASH Uninvested PLN 0.00% 00000PLN2 INF SWAP GB NI 3.445 11/15/20-10Y LCH 0.00% SWU09AW19 IRS EUR 0.05400 05/27/25-25Y LCH 0.00% SWU017449 IRS GBP 0.54700 03/05/21-4Y* LCH 0.00% SWU018XT0 SOUTHERN CAL EDISON 1ST MTGE SOFR 0.00% 842400HA4 CASH Uninvested HKD 0.00% 00000HKD3 IRS USD R 3ML/1ML+7.25 04/27/22-23 CME 0.00% SWU02Y548 IRS USD R 3ML/1ML+10.5 09/27/22-24 CME 0.00% SWU0FC088 IRS GBP 0.48750 03/05/21-4Y* LCH 0.00% SWU018XS2 IRS GBP 0.64750 03/05/21-5Y* LCH 0.00% SWU018XV5 IRS GBP 0.59950 03/05/21-5Y* LCH 0.00% SWU018XU7 IRS USD R 3ML/1ML+8.8 09/06/22-24 CME 0.00% SWU0FA223 SOUTHERN CAL EDISON 1ST MTGE 0.00% 842400HB2 IRS USD R 3ML/1ML+7 03/07/22-24 CME 0.00% SWU0JG929 IRS ZAR 7.25000 06/20/18-5Y CME 0.00% SWU00OG16 IRS USD R 3ML/1ML+10.2 10/04/22-24 CME 0.00% SWU0FC286 CHINESE - YUAN RENMINBI (CNH) 0.00% CNH1097A9 OTC EPUT USD VS ILS @ 3.26 JPM 0.00% 31750I0T5 IRS USD R 3ML/1ML+9.125 03/18/21-22 CME 0.00% SWU0SF236 CASH Uninvested ROL 0.00% 00000ROL9 IRS USD R 3ML/1ML+8.5 06/19/17-22 CME 0.00% SWU0B8909 CASH COLLATERAL ISDA CBK USD 0.00% CCCBKIUS9 THE ADT SECURITY CORPORATION DIR 0.00% CDSCF7184

Page 12 of 31 OVINTIV INC DIR 0.00% CDSCF7192 NEW ALBERTSONS LP DIR 0.00% CDSCF7200 HOWMET AEROSPACE INC DIR 0.00% CDSCF7218 AMERICAN AIRLINES GROUP INC DIR 0.00% CDSCF7226 AMERICAN AXLE & MANUFACTURING INC DIR 0.00% CDSCF7234 AMKOR TECHNOLOGY INC DIR 0.00% CDSCF7242 ANTERO RESOURCES CORPORATION DIR 0.00% CDSCF7259 APACHE CORPORATION DIR 0.00% CDSCF7267 ARAMARK SERVICES INC (AKA: ARAMARK C DIR 0.00% CDSCF7275 ASHLAND LLC DIR 0.00% CDSCF7283 AVON PRODUCTS INC DIR 0.00% CDSCF7291 BALL CORPORATION DIR 0.00% CDSCF7309 BAUSCH HEALTH COS INC (AKA: VALEANT DIR 0.00% CDSCF7317 BEAZER HOMES USA INC DIR 0.00% CDSCF7325 BOYD GAMING CORPORATION DIR 0.00% CDSCF7333 CHARTER COMM / CCO DIR 0.00% CDSCF7341 CHS/COMMUNITY HEALTH SYSTEMS INC DIR 0.00% CDSCF7358 CIT GROUP INC DIR 0.00% CDSCF7366 CALPINE CORPORATION DIR 0.00% CDSCF7374 CARNIVAL CORPORATION DIR 0.00% CDSCF7382 LUMEN TECHNOLOGIES (CENTURYLINK INC) DIR 0.00% CDSCF7390 CLEVELAND-CLIFFS INC DIR 0.00% CDSCF7408 UNITI GROUP LP / UNITI FIBER HOLDING DIR 0.00% CDSCF7416 DAVITA INC DIR 0.00% CDSCF7424 DELL INC DIR 0.00% CDSCF7432 DELTA AIR LINES INC DIR 0.00% CDSCF7440 DIAMOND SPORTS GROUP LLC / DIAMOND S DIR 0.00% CDSCF7457 DISH DBS CORPORATION DIR 0.00% CDSCF7465 RR DONNELLEY & SONS COMPANY DIR 0.00% CDSCF7473 EQM MIDSTREAM PARTNERS LP (AKA: EQT DIR 0.00% CDSCF7481 FIRSTENERGY CORP DIR 0.00% CDSCF7499 FORD MOTOR COMPANY DIR 0.00% CDSCF7507 FREEPORT-MCMORAN INC DIR 0.00% CDSCF7515 TEGNA INC DIR 0.00% CDSCF7523 GAP INC DIR 0.00% CDSCF7531 GENWORTH HOLDINGS INC DIR 0.00% CDSCF7549 GOODYEAR TIRE & RUBBER CO/THE DIR 0.00% CDSCF7556 HCA INC DIR 0.00% CDSCF7564 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ DIR 0.00% CDSCF7572 K HOVNANIAN ENTERPRISES INC DIR 0.00% CDSCF7580 ISTAR INC (AKA: ISTAR FINANCIAL INC) DIR 0.00% CDSCF7598 IRON MOUNTAIN INCORPORATED DIR 0.00% CDSCF7606 KB HOME DIR 0.00% CDSCF7614 L BRANDS INC DIR 0.00% CDSCF7622 LAMB WESTON HOLDINGS INC DIR 0.00% CDSCF7630 LIBERTY INTERACTIVE LLC (AKA: LIBERT DIR 0.00% CDSCF7648 LOUISIANA-PACIFIC CORPORATION DIR 0.00% CDSCF7655 MBIA INC DIR 0.00% CDSCF7663 MDC HOLDINGS INC DIR 0.00% CDSCF7671 MGIC INVESTMENT CORPORATION DIR 0.00% CDSCF7689 MGM RESORTS INTERNATIONAL DIR 0.00% CDSCF7697 MACYS RETAIL HOLDINGS LLC DIR 0.00% CDSCF7705 MERITOR INC DIR 0.00% CDSCF7713 MURPHY OIL CORPORATION DIR 0.00% CDSCF7721 NRG ENERGY INC DIR 0.00% CDSCF7739 NABORS INDUSTRIES INC DIR 0.00% CDSCF7747 NETFLIX INC DIR 0.00% CDSCF7754 NEWELL BRANDS INC (AKA: NEWELL RUBBE DIR 0.00% CDSCF7762 NORBORD INC DIR 0.00% CDSCF7770 OCCIDENTAL PETROLEUM CORPORATION DIR 0.00% CDSCF7788 OLIN CORPORATION DIR 0.00% CDSCF7796 PG&E CORPORATION DIR 0.00% CDSCF7804 PITNEY BOWES INC DIR 0.00% CDSCF7812 AVIENT CORPORATION DIR 0.00% CDSCF7820 POST HOLDINGS INC DIR 0.00% CDSCF7838 RADIAN GROUP INC DIR 0.00% CDSCF7846 REALOGY GROUP LLC / REALOGY CO-ISSUE DIR 0.00% CDSCF7853 RITE AID CORPORATION DIR 0.00% CDSCF7861 ROYAL CARIBBEAN CRUISES LTD DIR 0.00% CDSCF7879 NAVIENT CORPORATION DIR 0.00% CDSCF7887 SABRE GLBL INC DIR 0.00% CDSCF7895 SAFEWAY INC DIR 0.00% CDSCF7903

Page 13 of 31 SEALED AIR CORPORATION DIR 0.00% CDSCF7911 SIRIUS XM RADIO INC DIR 0.00% CDSCF7929 ONEMAIN FINANCE CORPORATION (AKA: SP DIR 0.00% CDSCF7937 STAPLES INC DIR 0.00% CDSCF7945 T-MOBILE USA INC DIR 0.00% CDSCF7952 TALEN ENERGY SUPPLY LLC (AKA: PPL EN DIR 0.00% CDSCF7960 TARGA RESOURCES PARTNERS LP / TARGA DIR 0.00% CDSCF7978 TENET HEALTHCARE CORPORATION DIR 0.00% CDSCF7986 PACTIV CORPORATION DIR 0.00% CDSCF7994 TESLA INC DIR 0.00% CDSCF8000 TEVA PHARMACEUTICAL FINANCE COMPANY DIR 0.00% CDSCF8018 TOLL BROTHERS FINANCE CORP DIR 0.00% CDSCF8026 TRANSDIGM INC DIR 0.00% CDSCF8034 TRANSOCEAN INC DIR 0.00% CDSCF8042 UNISYS CORPORATION DIR 0.00% CDSCF8059 UNITED AIRLINES HOLDINGS INC DIR 0.00% CDSCF8067 UNITED RENTALS (NORTH AMERICA) INC DIR 0.00% CDSCF8075 UNITED STATES STEEL CORPORATION DIR 0.00% CDSCF8083 UNIVERSAL HEALTH SERVICES INC DIR 0.00% CDSCF8091 VISTRA OPERATIONS COMPANY LLC DIR 0.00% CDSCF8109 XEROX CORPORATION DIR 0.00% CDSCF8117 YUM! BRANDS INC DIR 0.00% CDSCF8125 ALTICE USA (CSC HOLDINGS LLC) DIR 0.00% CDSCF8133 BOMBARDIER INC DIR 0.00% CDSCF8141 UNIVISION COMMUNICATIONS INC DIR 0.00% CDSCF8158 NOVA CHEMICALS CORPORATION DIR 0.00% CDSCF8166 AVIS BUDGET CAR RENTAL LLC/ AVIS BUD DIR 0.00% CDSCF8174 NYKREDIT REALKREDIT**PARTIAL CALL** 0.00% AQ2934281 JYSKE REALKREDIT A/S IO **PARTIAL CALL** 0.00% AX2612635 NYKREDIT REALKREDIT IO **PARTIAL CALL** 0.00% AO8258144 NYKREDIT REALKREDIT **PARTIAL CALL** 0.00% EK6948450 NORDEA KREDIT IO **PARTIAL CALL** 0.00% AX1624953 NORDEA KREDIT REALKREDIT **PARTIAL CALL* 0.00% AQ2656686 BRFKREDIT A/S**PARTIAL CALL** 0.00% EK6891502 CASH COLLATERAL ISDA UAG USD 0.00% CCUAGIUS6 NYKREDIT REALKREDIT **PARTIAL CALL** 0.00% AN1017184 REALKREDIT DANMARK**PARTIAL CALL** 0.00% EK3038677 BRFKREDIT A/S**PARTIAL CALL** 0.00% EK4410826 Westpac Cash Deposit 0.00% n/a JP Morgan Chase & Co. CNY Cash Deposit 0.00% n/a 0 0.00% 0.00% (blank) 0.00% (blank) CASH Uninvested AUD 0.00% 00000AUD7 CASH Uninvested BRL 0.00% 00000BRL1 CASH Uninvested CAD 0.00% 00000CAD5 CASH Uninvested EUR 0.00% 00000EUR8 CASH Uninvested GBP 0.00% 00000GBP8 CASH Uninvested JPY 0.00% 00000JPY8 CASH Uninvested MXN 0.00% 00000MXN6 CASH Uninvested ZAR 0.00% 00000ZAR3 ITRAXX.O P 0.80 EU34 5Y I 06/16/21 BOA 0.00% 3175119L9 ITRAXX.O P 0.75 EU34 5Y I 05/19/21 GST 0.00% 3175129U7 ITRAXX.O P 0.75 EU34 5Y I 05/19/21 BPS 0.00% 3175139U5 ITRAXX.O P 0.85 EU34 5Y I 06/16/21 BRC 0.00% 3175199P3 ITRAXX.O P 0.90 EU34 5Y I 05/19/21 BRC 0.00% 317522PM6 ITRAXX.O P 0.80 EU34 5Y I 06/16/21 BRC 0.00% 3175299K3 ITRAXX.O P 0.80 EU34 5Y I 05/19/21 GST 0.00% 3175329J0 ITRAXX.O P 0.70 EU34 5Y I 05/19/21 GST 0.00% 3175329T8 ITRAXX.O C 0.40 EU34 5Y I 05/19/21 GST 0.00% 3175425A2 ITRAXX.O P 0.75 EU34 5Y I 04/21/21 BOA 0.00% 3175439U2 ITRAXX.O P 0.75 EU34 5Y I 04/21/21 BRC 0.00% 3175459D5 ITRAXX.O P 0.80 EU34 5Y I 04/21/21 BRC 0.00% 3.18E+09 ITRAXX.O C 0.375 EU34 5Y I 04/21/21 BPS 0.00% 317545TH4 ITRAXX.O P 0.75 EU34 5Y I 04/21/21 BPS 0.00% 317545VF5 ITRAXX.O P 0.70 EU34 5Y I 05/19/21 BPS 0.00% 317546646 ITRAXX.O P 0.70 EU34 5Y I 05/19/21 BRC 0.00% 317546D48 ITRAXX.O C 0.40 EU34 5Y I 05/19/21 BPS 0.00% 317547834 ITRAXX.O P 0.80 EU34 5Y I 06/16/21 GST 0.00% 3.18E+15 ITRAXX.O P 0.80 EU34 5Y I 05/19/21 BRC 0.00% 317548592 ITRAXX.O P 0.75 EU34 5Y I 04/21/21 MYC 0.00% 31754A837 ITRAXX.O P 0.80 EU34 5Y I 04/21/21 BPS 0.00% 31754ADA5 ITRAXX.O P 0.75 EU34 5Y I 07/21/21 BRC 0.00% 31754F6A2

Page 14 of 31 ITRAXX.O C 0.40 EU34 5Y I 07/21/21 BRC 0.00% 31754OPA2 ITRAXX.O P 0.75 EU34 5Y I 07/21/21 GST 0.00% 31754TD22 ITRAXX.O P 0.80 EU34 5Y I 05/19/21 BPS 0.00% 317552354 ITRAXX.O P 0.90 EU34 5Y I 05/19/21 MYC 0.00% 3175609T9 ITRAXX.O C 0.375 EU34 5Y I 04/21/21 BRC 0.00% 317567220 ITRAXX.O P 0.75 EU34 5Y I 05/19/21 BRC 0.00% 3175930X0 CDX.O P 0.85 IG35 5Y V1 I 04/21/21 GST 0.00% 3175DA944 CDX.O P 1.05 IG35 5Y V1 I 05/19/21 GST 0.00% 3175DB009 CDX.O P 0.90 IG35 5Y V1 I 05/19/21 BOA 0.00% 3175DB017 CDX.O P 0.75 IG35 5Y V1 I 05/19/21 JPM 0.00% 3175DB249 CDX.O P 0.85 IG36 5Y V1 I 06/16/21 GST 0.00% 3175DB561 CDX.O P 1.00 IG35 5Y V1 I 04/21/21 BPS 0.00% 3175EM640 CDX.O C 0.45 IG35 5Y V1 I 04/21/21 BPS 0.00% 3175EM806 CDX.O P 0.95 IG35 5Y V1 I 04/21/21 BPS 0.00% 3175EM814 CDX.O P 0.85 IG35 5Y V1 I 04/21/21 BPS 0.00% 3175EM871 CDX.O C 0.45 IG35 5Y V1 I 04/21/21 GST 0.00% 3175EM970 CDX.O P 0.80 IG35 5Y V1 I 04/21/21 GST 0.00% 3175EN010 CDX.O P 0.90 IG35 5Y V1 I 05/19/21 JPM 0.00% 3175EN036 CDX.O P 0.80 IG35 5Y V1 I 04/21/21 BPS 0.00% 3175EN259 CDX.O P 0.90 IG35 5Y V1 I 05/19/21 BPS 0.00% 3175EN317 CDX.O P 100.00 HY35 5Y V1 I 04/21/21 CBK 0.00% 3175EN382 CDX.O P 0.80 IG35 5Y V1 I 05/19/21 BOA 0.00% 3175EN796 CDX.O P 0.80 IG35 5Y V1 I 05/19/21 MYC 0.00% 3175EP106 CDX.O P 0.80 IG35 5Y V1 I 05/19/21 CBK 0.00% 3175EP205 CDX.O P 0.90 IG35 5Y V1 I 06/16/21 BOA 0.00% 3175EP338 CDX.O P 0.80 IG35 5Y V1 I 06/16/21 BOA 0.00% 3175EP627 CDX.O P 100.00 HY35 5Y V1 I 07/21/21 BPS 0.00% 3175EP940 ITRAXX.O P 0.80 EU34 5Y I 04/21/21 BOA 0.00% 3175FDSF0 ITRAXX.O C 0.425 EU34 5Y I 03/17/21 BPS 0.00% 3175PPGG3 CDX.O P 0.90 IG36 5Y V1 I 07/21/21 GST 0.00% 3175PS116 CDX.O P 0.90 IG36 5Y V1 I 07/21/21 JPM 0.00% 3175PS124 CDX.O P 100.00 HY36 5Y V1 I 06/16/21 BOA 0.00% 3175PS132 CDX.O P 0.90 IG35 5Y V1 I 05/19/21 GST 0.00% 3175SH737 CDX.O P 0.95 IG35 5Y V1 I 05/19/21 GST 0.00% 3175SQ687 CDX.O P 0.85 IG35 5Y V1 I 05/19/21 BOA 0.00% 3175ZP137 CDX.O C 0.45 IG35 5Y V1 I 04/21/21 BOA 0.00% 3175ZP145 CDX.O P 0.75 IG35 5Y V1 I 05/19/21 GST 0.00% 3175ZP418 Dual Ccy Liab Adj US 0.00% A_DUAL US Currency Adjustment CNH 0.00% ADJ C2 Currency Adjustment ILS 0.00% ADJ IL Currency Adjustment USD 0.00% ADJ US CCS USD P US3ML/AUD3MBBSW+29.75 MYC 0.00% CCS004144 CCS USD P US3ML/AUD3MBBSW+42.2 MYC 0.00% CCS0079N7 CCS USD P US3ML/AUD3MBBSW+29 AZD 0.00% CCS212234 CATERPILLAR INCORPORATED DIR 0.00% CDSCD0959 STRAT DUMMY AUD - USD 0.00% STRAUDUSD STRAT DUMMY CHF - USD 0.00% STRCHFUSD STRAT DUMMY NZD - USD 0.00% STRNZDUSD CDX IG33 10Y ICE 0.00% SWPC0IJC2 CDX ITRAXX MAIN32 10Y ICE 0.00% SWPC0IM79 CDX IG35 10Y ICE 0.00% SWPC0JJ89 CDX HY35 5Y ICE 0.00% SWPC0JKD6 CDX IG36 5Y ICE 0.00% SWPC0JZ99 CDX IG36 10Y ICE 0.00% SWPC0JZB4 EUR - USD (UNDERLYING) 0.00% USDU1PN62 EUR - USD (UNDERLYING) 0.00% USDU2D3X1 BRL - USD (UNDERLYING) 0.00% USDU2E3M3 JPY - USD (UNDERLYING) 0.00% USDU2FIF9 CNH - USD (UNDERLYING) 0.00% USDU2J334 EUR - USD (UNDERLYING) 0.00% USDU2L9R0 BRL - USD (UNDERLYING) 0.00% USDU2LF85 RUB - USD (UNDERLYING) 0.00% USDU2LGR2 PEN - USD (UNDERLYING) 0.00% USDU2LJY4 MXN - USD (UNDERLYING) 0.00% USDU2M6O8 DKK - USD (UNDERLYING) 0.00% USDU2MAF2 PEN - USD (UNDERLYING) 0.00% USDU2NRX3 ILS - USD (UNDERLYING) 0.00% USDU2NVP5 PEN - USD (UNDERLYING) 0.00% USDU2NW09 CAD - USD (UNDERLYING) 0.00% USDU2NW66 ZAR - USD (UNDERLYING) 0.00% USDU2O6V8 JPY - USD (UNDERLYING) 0.00% USDU2O8T1 PEN - USD (UNDERLYING) 0.00% USDU2OAO9

Page 15 of 31 ZAR - USD (UNDERLYING) 0.00% USDU2OI60 DKK - USD (UNDERLYING) 0.00% USDU2OI86 KRW - USD (UNDERLYING) 0.00% USDU2OQ87 ILS - USD (UNDERLYING) 0.00% USDU2OWA5 CAD - USD (UNDERLYING) 0.00% USDU2OWN7 GBP - USD (UNDERLYING) 0.00% USDU2OWO5 ILS - USD (UNDERLYING) 0.00% USDU2P2B3 ILS - USD (UNDERLYING) 0.00% USDU2P2F4 RUB - USD (UNDERLYING) 0.00% USDU2P488 CNH - USD (UNDERLYING) 0.00% USDU2PF78 JPY - USD (UNDERLYING) 0.00% USDU2PP51 AUD - USD (UNDERLYING) 0.00% USDU2PP69 TWD - USD (UNDERLYING) 0.00% USDU2PQI2 GBP - USD (UNDERLYING) 0.00% USDU2PQM3 CHF - USD (UNDERLYING) 0.00% USDU2PQN1 NZD - USD (UNDERLYING) 0.00% USDU2PQQ4 NOK - USD (UNDERLYING) 0.00% USDU2PQR2 JPY - USD (UNDERLYING) 0.00% USDU2PQS0 SEK - USD (UNDERLYING) 0.00% USDU2PR67 EUR - USD (UNDERLYING) 0.00% USDU2PRI1 MXN - USD (UNDERLYING) 0.00% USDU2PXH6 MYR - USD (UNDERLYING) 0.00% USDU2PXN3 IDR - USD (UNDERLYING) 0.00% USDU2PYP7 TWD - USD (UNDERLYING) 0.00% USDU2PYT9 PEN - USD (UNDERLYING) 0.00% USDU2Q2Q8 RUB - USD (UNDERLYING) 0.00% USDU2Q9F5 PEN - USD (UNDERLYING) 0.00% USDU2QUX2 CNH - USD (UNDERLYING) 0.00% USDU2QXK7 JPY - USD (UNDERLYING) 0.00% USDU2R2S2 NZD - USD (UNDERLYING) 0.00% USDU2R526 NOK - USD (UNDERLYING) 0.00% USDU2R583 NZD - USD (UNDERLYING) 0.00% USDU2R7I9 IRS USD R 3ML/1ML+7 06/12/17-22 CME 0.00% SWU0JSFF7 IRS USD R 3ML/1ML+8.375 06/12/17-22 CME 0.00% SWU0AR023 AEGON NV DIR 0.00% CDSCE8043 AHOLD FINANCE USA LLC DIR 0.00% CDSCE8050 ALLIANZ FINANCE II BV AMSTERDAM DIR 0.00% CDSCE8068 BAE SYSTEMS PLC DIR 0.00% CDSCE8076 E.ON INTERNATIONAL FINANCE BV DIR 0.00% CDSCE8084 BARCLAYS PLC DIR 0.00% CDSCE8092 BNP PARIBAS SA DIR 0.00% CDSCE8100 BOUYGUES SA DIR 0.00% CDSCE8118 DANONE SA DIR 0.00% CDSCE8126 ENGIE SA (AKA: GDF SUEZ) DIR 0.00% CDSCE8134 SKY LIMITED DIR 0.00% CDSCE8142 BRITISH TELECOMMUNICATIONS PUBLIC LI DIR 0.00% CDSCE8159 CENTRICA PLC DIR 0.00% CDSCE8167 ENEL SPA DIR 0.00% CDSCE8175 CREDIT AGRICOLE SA/LONDON BRANCH DIR 0.00% CDSCE8183 DIAGEO CAPITAL PLC DIR 0.00% CDSCE8191 ELECTRICITE DE FRANCE SA (EDF) DIR 0.00% CDSCE8209 HSBC HOLDINGS PLC DIR 0.00% CDSCE8217 LLOYDS BANKING GROUP PLC DIR 0.00% CDSCE8225 CREDIT SUISSE GROUP FINANCE (GUERNSE DIR 0.00% CDSCE8233 ASSICURAZIONI GENERALI SPA DIR 0.00% CDSCE8241 MUENCHENER RUECKVERSICHERUNGS-GESELL DIR 0.00% CDSCE8258 NATIONAL GRID PLC DIR 0.00% CDSCE8266 SSE PLC (AKA: SCOTTISH AND SOUTHERN DIR 0.00% CDSCE8274 PRUDENTIAL PLC DIR 0.00% CDSCE8282 COOPERATIEVE RABOBANK UA (AKA: RABOB DIR 0.00% CDSCE8290 NATURGY CAPITAL MARKETS SA DIR 0.00% CDSCE8308 KONINKLIJKE KPN NV DIR 0.00% CDSCE8316 INNOGY FINANCE BV DIR 0.00% CDSCE8324 SOCIETE GENERALE DIR 0.00% CDSCE8332 TELIA COMPANY AB DIR 0.00% CDSCE8340 TOTAL CAPITAL DIR 0.00% CDSCE8357 UNITED UTILITIES PLC DIR 0.00% CDSCE8365 BMW FINANCE NV DIR 0.00% CDSCE8373 NESTLE HOLDINGS INC DIR 0.00% CDSCE8381 TELEFONICA EMISIONES SA DIR 0.00% CDSCE8399 DEUTSCHE TELEKOM INTERNATIONAL FINAN DIR 0.00% CDSCE8407 IMPERIAL BRANDS FINANCE PLC (AKA: IM DIR 0.00% CDSCE8415

Page 16 of 31 EDP FINANCE BV DIR 0.00% CDSCE8423 BANCO SANTANDER SA DIR 0.00% CDSCE8431 ING GROEP NV DIR 0.00% CDSCE8449 ORANGE SA (AKA: FRANCE TELECOM SA) DIR 0.00% CDSCE8456 UBS GROUP FUNDING (SWITZERLAND) AG DIR 0.00% CDSCE8464 VEOLIA ENVIRONNEMENT SA DIR 0.00% CDSCE8472 VOLKSWAGEN INTERNATIONAL FINANCE NV DIR 0.00% CDSCE8480 STMICROELECTRONICS NV DIR 0.00% CDSCE8498 KONINKLIJKE PHILIPS NV DIR 0.00% CDSCE8506 BANCO BILBAO VIZCAYA ARGENTARIA SA ( DIR 0.00% CDSCE8514 POSTNL DIR 0.00% CDSCE8522 DEUTSCHE BANK AG DIR 0.00% CDSCE8530 HANNOVER RUECKVERSICHERUNG SE DIR 0.00% CDSCE8548 DANSKE BANK A/S DIR 0.00% CDSCE8555 COMPAGNIE DE SAINT-GOBAIN SA DIR 0.00% CDSCE8563 VOLVO TREASURY AB DIR 0.00% CDSCE8571 INTESA SANPAOLO SPA DIR 0.00% CDSCE8589 TATE & LYLE INTERNATIONAL FINANCE PL DIR 0.00% CDSCE8597 COMMERZBANK AG DIR 0.00% CDSCE8605 SES SA DIR 0.00% CDSCE8613 MEDIOBANCA BANCA DI CREDITO FINANZIA DIR 0.00% CDSCE8621 NEXT GROUP PLC DIR 0.00% CDSCE8639 ANHEUSER-BUSCH INBEV SA/NV DIR 0.00% CDSCE8647 PERNOD RICARD DIR 0.00% CDSCE8654 TELEKOM FINANZMANAGEMENT GMBH DIR 0.00% CDSCE8662 LAFARGEHOLCIM LTD DIR 0.00% CDSCE8670 BERTELSMANN SE & CO KGA (AKA: BERTEL DIR 0.00% CDSCE8688 HEINEKEN NV DIR 0.00% CDSCE8696 FORTUM OYJ DIR 0.00% CDSCE8704 CARLSBERG BREWERIES A/S DIR 0.00% CDSCE8712 BAT INTERNATIONAL FINANCE PLC DIR 0.00% CDSCE8720 TELENOR ASA DIR 0.00% CDSCE8738 BASF SE DIR 0.00% CDSCE8746 SWISS RE TREASURY (US) CORPORATION DIR 0.00% CDSCE8753 AXA SA DIR 0.00% CDSCE8761 UNIBAIL-RODAMCO-WESTFIELD SE DIR 0.00% CDSCE8779 IBERDROLA INTERNATIONAL BV DIR 0.00% CDSCE8787 ROLLS-ROYCE PLC DIR 0.00% CDSCE8795 UNILEVER NV DIR 0.00% CDSCE8803 CONTINENTAL AG DIR 0.00% CDSCE8811 EQUINOR ASA (AKA: STATOIL ASA/STATOI DIR 0.00% CDSCE8829 GLENCORE FINANCE (EUROPE) LIMITED DIR 0.00% CDSCE8837 LVMH MOET HENNESSY-LOUIS VUITTON SE DIR 0.00% CDSCE8845 ENI SPA DIR 0.00% CDSCE8852 NATWEST GROUP PLC DIR 0.00% CDSCE8860 VALEO SA DIR 0.00% CDSCE8878 BAYER AG DIR 0.00% CDSCE8886 ACCOR SA DIR 0.00% CDSCE8894 RENAULT DIR 0.00% CDSCE8902 AIRBUS FINANCE BV DIR 0.00% CDSCE8910 UNICREDIT SPA DIR 0.00% CDSCE8928 ANGLO AMERICAN CAPITAL PLC DIR 0.00% CDSCE8936 COMPASS GROUP PLC DIR 0.00% CDSCE8944 ARCELORMITTAL SA DIR 0.00% CDSCE8951 ZURICH INSURANCE COMPANY LTD DIR 0.00% CDSCE8969 VODAFONE GROUP PLC DIR 0.00% CDSCE8977 WPP FINANCE SA DIR 0.00% CDSCE8985 WENDEL SA DIR 0.00% CDSCE8993 AKZO NOBEL NV DIR 0.00% CDSCE9009 VINCI SA DIR 0.00% CDSCE9017 REPSOL INTERNATIONAL FINANCE BV DIR 0.00% CDSCE9025 ELECTROLUX AB DIR 0.00% CDSCE9033 PUBLICIS GROUPE SA DIR 0.00% CDSCE9041 CARREFOUR SA DIR 0.00% CDSCE9058 STANDARD CHARTERED PLC DIR 0.00% CDSCE9066 PEARSON FUNDING PLC DIR 0.00% CDSCE9074 MICHELIN LUXEMBOURG SCS DIR 0.00% CDSCE9082 BP CAPITAL MARKETS PLC DIR 0.00% CDSCE9090 HEIDELBERGCEMENT AG DIR 0.00% CDSCE9108 STELLANTIS NV DIR 0.00% CDSCE9116 KERING DIR 0.00% CDSCE9124 DAIMLER AG DIR 0.00% CDSCE9132

Page 17 of 31 SHELL INTERNATIONAL FINANCE BV DIR 0.00% CDSCE9140 ASTRAZENECA PLC DIR 0.00% CDSCE9157 CNH INDUSTRIAL FINANCE EUROPE SA DIR 0.00% CDSCE9165 VIVENDI SA DIR 0.00% CDSCE9173 THALES SA DIR 0.00% CDSCE9181 STORA ENSO OYJ DIR 0.00% CDSCE9199 SOLVAY SA DIR 0.00% CDSCE9207 HENKEL AG & CO KGAA DIR 0.00% CDSCE9215 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV DIR 0.00% CDSCE9223 LANXESS AG DIR 0.00% CDSCE9231 AVIVA PLC DIR 0.00% CDSCE9249 ITV PLC DIR 0.00% CDSCE9256 SANOFI DIR 0.00% CDSCE9264 KONINKLIJKE DSM NV DIR 0.00% CDSCE9272 DEUTSCHE LUFTHANSA AKTIENGESELLSCHAF DIR 0.00% CDSCE9280 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCF1252 AES CORPORATION DIR 0.00% CDSCF1260 AT&T INC DIR 0.00% CDSCF1278 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCF1286 ALLSTATE CORP DIR 0.00% CDSCF1294 ALLY FINANCIAL INC DIR 0.00% CDSCF1302 ALTRIA GROUP INC DIR 0.00% CDSCF1310 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCF1328 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCF1336 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCF1344 AMGEN INC DIR 0.00% CDSCF1351 ARROW ELECTRONICS INC DIR 0.00% CDSCF1369 AUTOZONE INC DIR 0.00% CDSCF1377 AVNET INC DIR 0.00% CDSCF1385 BARRICK GOLD CORPORATION DIR 0.00% CDSCF1393 BAXTER INTERNATIONAL INC DIR 0.00% CDSCF1401 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCF1419 BEST BUY CO INC DIR 0.00% CDSCF1427 BLOCK FINANCIAL CORP DIR 0.00% CDSCF1435 BOEING CO/THE DIR 0.00% CDSCF1443 BORGWARNER INC DIR 0.00% CDSCF1450 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCF1468 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCF1476 CIGNA CORPORATION DIR 0.00% CDSCF1484 CSX CORPORATION DIR 0.00% CDSCF1492 CVS HEALTH CORPORATION DIR 0.00% CDSCF1500 CAMPBELL SOUP COMPANY DIR 0.00% CDSCF1518 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCF1526 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCF1534 CARDINAL HEALTH INC DIR 0.00% CDSCF1542 CATERPILLAR INCORPORATED DIR 0.00% CDSCF1559 CISCO SYSTEMS INC DIR 0.00% CDSCF1567 COMCAST CORPORATION DIR 0.00% CDSCF1575 CONAGRA BRANDS INC DIR 0.00% CDSCF1583 CONOCOPHILLIPS DIR 0.00% CDSCF1591 COX COMMUNICATIONS INC DIR 0.00% CDSCF1609 D.R. HORTON INC DIR 0.00% CDSCF1617 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCF1625 DANAHER CORPORATION DIR 0.00% CDSCF1633 DARDEN RESTAURANTS INC DIR 0.00% CDSCF1641 DEERE & COMPANY DIR 0.00% CDSCF1658 DEVON ENERGY CORPORATION DIR 0.00% CDSCF1666 WALT DISNEY COMPANY DIR 0.00% CDSCF1674 DOMINION ENERGY INC DIR 0.00% CDSCF1682 DOMTAR CORPORATION DIR 0.00% CDSCF1690 DOW CHEMICAL COMPANY DIR 0.00% CDSCF1708 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCF1716 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCF1724 ERP OPERATING LP DIR 0.00% CDSCF1732 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCF1740 ENBRIDGE INC DIR 0.00% CDSCF1757 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCF1765 EXELON CORPORATION DIR 0.00% CDSCF1773 EXPEDIA GROUP INC DIR 0.00% CDSCF1781 FEDEX CORPORATION DIR 0.00% CDSCF1799 FISERV INC DIR 0.00% CDSCF1807 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCF1815

Page 18 of 31 GENERAL MILLS INC DIR 0.00% CDSCF1823 GENERAL MOTORS COMPANY DIR 0.00% CDSCF1831 HALLIBURTON COMPANY DIR 0.00% CDSCF1849 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCF1856 HESS CORPORATION DIR 0.00% CDSCF1864 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCF1872 HOME DEPOT INC DIR 0.00% CDSCF1880 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCF1898 HOST HOTELS & RESORTS LP DIR 0.00% CDSCF1906 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCF1914 ILFC DIR 0.00% CDSCF1922 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCF1930 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCF1948 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCF1955 KINDER MORGAN INC DIR 0.00% CDSCF1963 KOHLS CORPORATION DIR 0.00% CDSCF1971 KROGER CO DIR 0.00% CDSCF1989 LENNAR CORPORATION DIR 0.00% CDSCF1997 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCF2003 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCF2011 LOEWS CORPORATION DIR 0.00% CDSCF2029 LOWES COMPANIES INC DIR 0.00% CDSCF2037 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCF2045 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCF2052 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCF2060 MCDONALDS CORPORATION DIR 0.00% CDSCF2078 MCKESSON CORPORATION DIR 0.00% CDSCF2086 METLIFE INC DIR 0.00% CDSCF2094 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCF2102 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCF2110 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCF2128 NEWMONT CORPORATION DIR 0.00% CDSCF2136 NEXTERA ENERGY CAPITAL HOLDINGS INC DIR 0.00% CDSCF2144 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCF2151 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCF2169 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCF2177 ORACLE CORPORATION DIR 0.00% CDSCF2185 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCF2193 PFIZER INC DIR 0.00% CDSCF2201 PIONEER NATURAL RESOURCES COMPANY DIR 0.00% CDSCF2219 PROCTER & GAMBLE COMPANY DIR 0.00% CDSCF2227 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCF2235 PULTEGROUP INC DIR 0.00% CDSCF2243 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCF2250 REYNOLDS AMERICAN INC DIR 0.00% CDSCF2268 RYDER SYSTEM INC DIR 0.00% CDSCF2276 SEMPRA ENERGY DIR 0.00% CDSCF2284 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCF2292 SIMON PROPERTY GROUP LP DIR 0.00% CDSCF2300 SOUTHERN CO DIR 0.00% CDSCF2318 SOUTHWEST AIRLINES CO DIR 0.00% CDSCF2326 TARGET CORPORATION DIR 0.00% CDSCF2334 TECK RESOURCES LIMITED DIR 0.00% CDSCF2342 TRANSCANADA PIPELINES LIMITED DIR 0.00% CDSCF2359 TYSON FOODS INC DIR 0.00% CDSCF2367 UNION PACIFIC CORPORATION DIR 0.00% CDSCF2375 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCF2383 RAYTHEON TECHNOLOGIES CORPORATION DIR 0.00% CDSCF2391 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCF2409 VALERO ENERGY CORPORATION DIR 0.00% CDSCF2417 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCF2425 VIACOMCBS INC DIR 0.00% CDSCF2433 WALMART INC DIR 0.00% CDSCF2441 WESTROCK MWV LLC DIR 0.00% CDSCF2458 WEYERHAEUSER COMPANY DIR 0.00% CDSCF2466 WHIRLPOOL CORPORATION DIR 0.00% CDSCF2474 WILLIAMS COS INC DIR 0.00% CDSCF2482 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCF2490 NEW ZEALAND DOLLAR 0.00% NZD1096B3 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCF0007 AES CORPORATION DIR 0.00% CDSCF0015 AT&T INC DIR 0.00% CDSCF0023

Page 19 of 31 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCF0031 ALLSTATE CORP DIR 0.00% CDSCF0049 ALLY FINANCIAL INC DIR 0.00% CDSCF0056 ALTRIA GROUP INC DIR 0.00% CDSCF0064 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCF0072 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCF0080 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCF0098 AMGEN INC DIR 0.00% CDSCF0106 ARROW ELECTRONICS INC DIR 0.00% CDSCF0114 AUTOZONE INC DIR 0.00% CDSCF0122 AVNET INC DIR 0.00% CDSCF0130 BARRICK GOLD CORPORATION DIR 0.00% CDSCF0148 BAXTER INTERNATIONAL INC DIR 0.00% CDSCF0155 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCF0163 BEST BUY CO INC DIR 0.00% CDSCF0171 BLOCK FINANCIAL CORP DIR 0.00% CDSCF0189 BOEING CO/THE DIR 0.00% CDSCF0197 BORGWARNER INC DIR 0.00% CDSCF0205 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCF0213 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCF0221 CIGNA CORPORATION DIR 0.00% CDSCF0239 CSX CORPORATION DIR 0.00% CDSCF0247 CVS HEALTH CORPORATION DIR 0.00% CDSCF0254 CAMPBELL SOUP COMPANY DIR 0.00% CDSCF0262 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCF0270 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCF0288 CARDINAL HEALTH INC DIR 0.00% CDSCF0296 CATERPILLAR INCORPORATED DIR 0.00% CDSCF0304 CISCO SYSTEMS INC DIR 0.00% CDSCF0312 COMCAST CORPORATION DIR 0.00% CDSCF0320 CONAGRA BRANDS INC DIR 0.00% CDSCF0338 CONOCOPHILLIPS DIR 0.00% CDSCF0346 COX COMMUNICATIONS INC DIR 0.00% CDSCF0353 D.R. HORTON INC DIR 0.00% CDSCF0361 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCF0379 DANAHER CORPORATION DIR 0.00% CDSCF0387 DARDEN RESTAURANTS INC DIR 0.00% CDSCF0395 DEERE & COMPANY DIR 0.00% CDSCF0403 DEVON ENERGY CORPORATION DIR 0.00% CDSCF0411 WALT DISNEY COMPANY DIR 0.00% CDSCF0429 DOMINION ENERGY INC DIR 0.00% CDSCF0437 DOMTAR CORPORATION DIR 0.00% CDSCF0445 DOW CHEMICAL COMPANY DIR 0.00% CDSCF0452 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCF0460 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCF0478 ERP OPERATING LP DIR 0.00% CDSCF0486 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCF0494 ENBRIDGE INC DIR 0.00% CDSCF0502 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCF0510 EXELON CORPORATION DIR 0.00% CDSCF0528 EXPEDIA GROUP INC DIR 0.00% CDSCF0536 FEDEX CORPORATION DIR 0.00% CDSCF0544 FISERV INC DIR 0.00% CDSCF0551 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCF0569 GENERAL MILLS INC DIR 0.00% CDSCF0577 GENERAL MOTORS COMPANY DIR 0.00% CDSCF0585 HALLIBURTON COMPANY DIR 0.00% CDSCF0593 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCF0601 HESS CORPORATION DIR 0.00% CDSCF0619 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCF0627 HOME DEPOT INC DIR 0.00% CDSCF0635 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCF0643 HOST HOTELS & RESORTS LP DIR 0.00% CDSCF0650 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCF0668 ILFC DIR 0.00% CDSCF0676 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCF0684 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCF0692 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCF0700 KINDER MORGAN INC DIR 0.00% CDSCF0718 KOHLS CORPORATION DIR 0.00% CDSCF0726 KROGER CO DIR 0.00% CDSCF0734 LENNAR CORPORATION DIR 0.00% CDSCF0742

Page 20 of 31 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCF0759 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCF0767 LOEWS CORPORATION DIR 0.00% CDSCF0775 LOWES COMPANIES INC DIR 0.00% CDSCF0783 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCF0791 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCF0809 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCF0817 MCDONALDS CORPORATION DIR 0.00% CDSCF0825 MCKESSON CORPORATION DIR 0.00% CDSCF0833 METLIFE INC DIR 0.00% CDSCF0841 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCF0858 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCF0866 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCF0874 NEWMONT CORPORATION DIR 0.00% CDSCF0882 NEXTERA ENERGY CAPITAL HOLDINGS INC DIR 0.00% CDSCF0890 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCF0908 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCF0916 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCF0924 ORACLE CORPORATION DIR 0.00% CDSCF0932 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCF0940 PFIZER INC DIR 0.00% CDSCF0957 PIONEER NATURAL RESOURCES COMPANY DIR 0.00% CDSCF0965 PROCTER & GAMBLE COMPANY DIR 0.00% CDSCF0973 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCF0981 PULTEGROUP INC DIR 0.00% CDSCF0999 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCF1005 REYNOLDS AMERICAN INC DIR 0.00% CDSCF1013 RYDER SYSTEM INC DIR 0.00% CDSCF1021 SEMPRA ENERGY DIR 0.00% CDSCF1039 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCF1047 SIMON PROPERTY GROUP LP DIR 0.00% CDSCF1054 SOUTHERN CO DIR 0.00% CDSCF1062 SOUTHWEST AIRLINES CO DIR 0.00% CDSCF1070 TARGET CORPORATION DIR 0.00% CDSCF1088 TECK RESOURCES LIMITED DIR 0.00% CDSCF1096 TRANSCANADA PIPELINES LIMITED DIR 0.00% CDSCF1104 TYSON FOODS INC DIR 0.00% CDSCF1112 UNION PACIFIC CORPORATION DIR 0.00% CDSCF1120 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCF1138 RAYTHEON TECHNOLOGIES CORPORATION DIR 0.00% CDSCF1146 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCF1153 VALERO ENERGY CORPORATION DIR 0.00% CDSCF1161 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCF1179 VIACOMCBS INC DIR 0.00% CDSCF1187 WALMART INC DIR 0.00% CDSCF1195 WESTROCK MWV LLC DIR 0.00% CDSCF1203 WEYERHAEUSER COMPANY DIR 0.00% CDSCF1211 WHIRLPOOL CORPORATION DIR 0.00% CDSCF1229 WILLIAMS COS INC DIR 0.00% CDSCF1237 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCF1245 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCE2764 AT&T INC DIR 0.00% CDSCE2772 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCE2780 ALLSTATE CORP DIR 0.00% CDSCE2798 ALTRIA GROUP INC DIR 0.00% CDSCE2806 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCE2814 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCE2822 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCE2830 AMGEN INC DIR 0.00% CDSCE2848 ANADARKO PETROLEUM CORPORATION DIR 0.00% CDSCE2855 APACHE CORPORATION DIR 0.00% CDSCE2863 ARROW ELECTRONICS INC DIR 0.00% CDSCE2871 AUTOZONE INC DIR 0.00% CDSCE2889 AVNET INC DIR 0.00% CDSCE2897 BARRICK GOLD CORPORATION DIR 0.00% CDSCE2905 BAXTER INTERNATIONAL INC DIR 0.00% CDSCE2913 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCE2921 BEST BUY CO INC DIR 0.00% CDSCE2939 BLOCK FINANCIAL CORP DIR 0.00% CDSCE2947 BOEING CO/THE DIR 0.00% CDSCE2954 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCE2962 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCE2970

Page 21 of 31 CBS CORPORATION DIR 0.00% CDSCE2988 CSX CORPORATION DIR 0.00% CDSCE2996 CVS HEALTH CORPORATION DIR 0.00% CDSCE3002 CAMPBELL SOUP COMPANY DIR 0.00% CDSCE3010 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCE3028 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCE3036 CARDINAL HEALTH INC DIR 0.00% CDSCE3044 CARNIVAL CORPORATION DIR 0.00% CDSCE3051 CATERPILLAR INCORPORATED DIR 0.00% CDSCE3069 CISCO SYSTEMS INC DIR 0.00% CDSCE3077 COMCAST CORPORATION DIR 0.00% CDSCE3085 CONAGRA BRANDS INC DIR 0.00% CDSCE3093 CONOCOPHILLIPS DIR 0.00% CDSCE3101 EXELON CORPORATION DIR 0.00% CDSCE3119 COX COMMUNICATIONS INC DIR 0.00% CDSCE3127 D.R. HORTON INC DIR 0.00% CDSCE3135 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCE3143 DARDEN RESTAURANTS INC DIR 0.00% CDSCE3150 DEERE & COMPANY DIR 0.00% CDSCE3168 DEVON ENERGY CORPORATION DIR 0.00% CDSCE3176 WALT DISNEY COMPANY DIR 0.00% CDSCE3184 DOMINION ENERGY INC (AKA: DOMINION R DIR 0.00% CDSCE3192 DOMTAR CORPORATION DIR 0.00% CDSCE3200 DOW CHEMICAL COMPANY DIR 0.00% CDSCE3218 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCE3226 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCE3234 ERP OPERATING LP DIR 0.00% CDSCE3242 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCE3259 ENCANA CORPORATION DIR 0.00% CDSCE3267 ENBRIDGE INC DIR 0.00% CDSCE3275 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCE3283 EXPEDIA GROUP INC DIR 0.00% CDSCE3291 FIRSTENERGY CORP DIR 0.00% CDSCE3309 FORD MOTOR COMPANY DIR 0.00% CDSCE3317 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCE3325 GENERAL MILLS INC DIR 0.00% CDSCE3333 GENERAL MOTORS COMPANY DIR 0.00% CDSCE3341 HALLIBURTON COMPANY DIR 0.00% CDSCE3358 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCE3366 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ DIR 0.00% CDSCE3374 HESS CORPORATION DIR 0.00% CDSCE3382 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCE3390 HOME DEPOT INC DIR 0.00% CDSCE3408 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCE3416 HOST HOTELS & RESORTS LP DIR 0.00% CDSCE3424 INGERSOLL-RAND COMPANY DIR 0.00% CDSCE3432 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCE3440 ILFC DIR 0.00% CDSCE3457 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCE3465 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCE3473 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCE3481 KINDER MORGAN INC DIR 0.00% CDSCE3499 KOHLS CORPORATION DIR 0.00% CDSCE3507 KROGER CO DIR 0.00% CDSCE3515 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCE3523 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCE3531 LOEWS CORPORATION DIR 0.00% CDSCE3549 LOWES COMPANIES INC DIR 0.00% CDSCE3556 MACYS RETAIL HOLDINGS INC DIR 0.00% CDSCE3564 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCE3572 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCE3580 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCE3598 MCDONALDS CORPORATION DIR 0.00% CDSCE3606 MCKESSON CORPORATION DIR 0.00% CDSCE3614 METLIFE INC DIR 0.00% CDSCE3622 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCE3630 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCE3648 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCE3655 NEWELL BRANDS INC (AKA: NEWELL RUBBE DIR 0.00% CDSCE3663 NEWMONT CORP DIR 0.00% CDSCE3671 NORDSTROM INC DIR 0.00% CDSCE3689 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCE3697

Page 22 of 31 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCE3705 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCE3713 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCE3721 PFIZER INC DIR 0.00% CDSCE3739 PROCTER AND GAMBLE CO. DIR 0.00% CDSCE3747 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCE3754 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCE3762 RAYTHEON COMPANY DIR 0.00% CDSCE3770 REYNOLDS AMERICAN INC DIR 0.00% CDSCE3788 ROYAL CARIBBEAN CRUISES LTD DIR 0.00% CDSCE3796 RYDER SYSTEM INC DIR 0.00% CDSCE3804 SEMPRA ENERGY DIR 0.00% CDSCE3812 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCE3820 SIMON PROPERTY GROUP LP DIR 0.00% CDSCE3838 SOUTHERN CO DIR 0.00% CDSCE3846 SOUTHWEST AIRLINES CO DIR 0.00% CDSCE3853 TARGET CORPORATION DIR 0.00% CDSCE3861 TECK RESOURCES LIMITED DIR 0.00% CDSCE3879 TYSON FOODS INC DIR 0.00% CDSCE3887 UNION PACIFIC CORPORATION DIR 0.00% CDSCE3895 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCE3903 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCE3911 VALERO ENERGY CORPORATION DIR 0.00% CDSCE3929 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCE3937 VIACOM INC DIR 0.00% CDSCE3945 WALMART INC (AKA WAL-MART STORES INC DIR 0.00% CDSCE3952 WESTROCK MWV LLC DIR 0.00% CDSCE3960 WEYERHAEUSER COMPANY DIR 0.00% CDSCE3978 WHIRLPOOL CORPORATION DIR 0.00% CDSCE3986 WILLIAMS COS INC DIR 0.00% CDSCE3994 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCE4000 SHELL INTERNATIONAL FINANCE B SNR SE ICE 0.00% SWPC0EM03 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCD1916 AT&T INC DIR 0.00% CDSCD1924 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCD1932 ALLSTATE CORP DIR 0.00% CDSCD1940 ALLY FINANCIAL INC DIR 0.00% CDSCD1957 ALTRIA GROUP INC DIR 0.00% CDSCD1965 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCD1973 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCD1981 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCD1999 AMGEN INC DIR 0.00% CDSCD2005 ARROW ELECTRONICS INC DIR 0.00% CDSCD2013 AUTOZONE INC DIR 0.00% CDSCD2021 AVNET INC DIR 0.00% CDSCD2039 BARRICK GOLD CORPORATION DIR 0.00% CDSCD2047 BAXTER INTERNATIONAL INC DIR 0.00% CDSCD2054 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCD2062 BEST BUY CO INC DIR 0.00% CDSCD2070 BLOCK FINANCIAL CORP DIR 0.00% CDSCD2088 BOEING CO/THE DIR 0.00% CDSCD2096 BORGWARNER INC DIR 0.00% CDSCD2104 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCD2112 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCD2120 CIGNA CORPORATION DIR 0.00% CDSCD2138 CSX CORPORATION DIR 0.00% CDSCD2146 CVS HEALTH CORPORATION DIR 0.00% CDSCD2153 CAMPBELL SOUP COMPANY DIR 0.00% CDSCD2161 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCD2179 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCD2187 CARDINAL HEALTH INC DIR 0.00% CDSCD2195 CATERPILLAR INCORPORATED DIR 0.00% CDSCD2203 CISCO SYSTEMS INC DIR 0.00% CDSCD2211 COMCAST CORPORATION DIR 0.00% CDSCD2229 CONAGRA BRANDS INC DIR 0.00% CDSCD2237 CONOCOPHILLIPS DIR 0.00% CDSCD2245 COX COMMUNICATIONS INC DIR 0.00% CDSCD2252 D.R. HORTON INC DIR 0.00% CDSCD2260 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCD2278 DANAHER CORPORATION DIR 0.00% CDSCD2286 DARDEN RESTAURANTS INC DIR 0.00% CDSCD2294 DEERE & COMPANY DIR 0.00% CDSCD2302

Page 23 of 31 DEVON ENERGY CORPORATION DIR 0.00% CDSCD2310 WALT DISNEY COMPANY DIR 0.00% CDSCD2328 DOMINION ENERGY INC (AKA: DOMINION R DIR 0.00% CDSCD2336 DOMTAR CORPORATION DIR 0.00% CDSCD2344 DOW CHEMICAL COMPANY DIR 0.00% CDSCD2351 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCD2369 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCD2377 ERP OPERATING LP DIR 0.00% CDSCD2385 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCD2393 OVINTIV INC DIR 0.00% CDSCD2401 ENBRIDGE INC DIR 0.00% CDSCD2419 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCD2427 EXELON CORPORATION DIR 0.00% CDSCD2435 EXPEDIA GROUP INC DIR 0.00% CDSCD2443 FEDEX CORPORATION DIR 0.00% CDSCD2450 FISERV INC DIR 0.00% CDSCD2468 FIRSTENERGY CORP DIR 0.00% CDSCD2476 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCD2484 GENERAL MILLS INC DIR 0.00% CDSCD2492 GENERAL MOTORS COMPANY DIR 0.00% CDSCD2500 HALLIBURTON COMPANY DIR 0.00% CDSCD2518 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCD2526 HESS CORPORATION DIR 0.00% CDSCD2534 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCD2542 HOME DEPOT INC DIR 0.00% CDSCD2559 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCD2567 HOST HOTELS & RESORTS LP DIR 0.00% CDSCD2575 INGERSOLL-RAND COMPANY DIR 0.00% CDSCD2583 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCD2591 ILFC DIR 0.00% CDSCD2609 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCD2617 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCD2625 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCD2633 KINDER MORGAN INC DIR 0.00% CDSCD2641 KOHLS CORPORATION DIR 0.00% CDSCD2658 KROGER CO DIR 0.00% CDSCD2666 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCD2674 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCD2682 LOEWS CORPORATION DIR 0.00% CDSCD2690 LOWES COMPANIES INC DIR 0.00% CDSCD2708 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCD2716 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCD2724 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCD2732 MCDONALDS CORPORATION DIR 0.00% CDSCD2740 MCKESSON CORPORATION DIR 0.00% CDSCD2757 METLIFE INC DIR 0.00% CDSCD2765 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCD2773 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCD2781 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCD2799 NEWMONT CORPORATION DIR 0.00% CDSCD2807 NEXTERA ENERGY CAPITAL HOLDINGS INC DIR 0.00% CDSCD2815 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCD2823 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCD2831 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCD2849 ORACLE CORPORATION DIR 0.00% CDSCD2856 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCD2864 PFIZER INC DIR 0.00% CDSCD2872 PIONEER NATURAL RESOURCES COMPANY DIR 0.00% CDSCD2880 PROCTER & GAMBLE COMPANY DIR 0.00% CDSCD2898 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCD2906 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCD2914 REYNOLDS AMERICAN INC DIR 0.00% CDSCD2922 RYDER SYSTEM INC DIR 0.00% CDSCD2930 SEMPRA ENERGY DIR 0.00% CDSCD2948 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCD2955 SIMON PROPERTY GROUP LP DIR 0.00% CDSCD2963 SOUTHERN CO DIR 0.00% CDSCD2971 SOUTHWEST AIRLINES CO DIR 0.00% CDSCD2989 TARGET CORPORATION DIR 0.00% CDSCD2997 TECK RESOURCES LIMITED DIR 0.00% CDSCD3003 TRANSCANADA PIPELINES LIMITED DIR 0.00% CDSCD3011 TYSON FOODS INC DIR 0.00% CDSCD3029

Page 24 of 31 UNION PACIFIC CORPORATION DIR 0.00% CDSCD3037 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCD3045 RAYTHEON TECHNOLOGIES CORPORATION DIR 0.00% CDSCD3052 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCD3060 VALERO ENERGY CORPORATION DIR 0.00% CDSCD3078 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCD3086 VIACOMCBS INC DIR 0.00% CDSCD3094 WALMART INC DIR 0.00% CDSCD3102 WESTROCK MWV LLC DIR 0.00% CDSCD3110 WEYERHAEUSER COMPANY DIR 0.00% CDSCD3128 WHIRLPOOL CORPORATION DIR 0.00% CDSCD3136 WILLIAMS COS INC DIR 0.00% CDSCD3144 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCD3151 IRS USD 0.75000 12/16/20-2Y CME 0.00% SWU012TM3 FIN FUT EURO$ CME (BLU) 06/17/24 0.00% EDM400021 CME ACAL EURO$ 3YMDCV 04/21 @ 99 0.00% 3EJ1C0002 OTC EPUT USD VS ILS @ 3.195 HUS 0.00% 31750HRW1 AEGON NV DIR 0.00% CDSCD4290 AHOLD FINANCE USA LLC DIR 0.00% CDSCD4308 ALLIANZ FINANCE II BV AMSTERDAM DIR 0.00% CDSCD4316 BAE SYSTEMS PLC DIR 0.00% CDSCD4324 BNP PARIBAS DIR 0.00% CDSCD4332 SKY LIMITED DIR 0.00% CDSCD4340 BRITISH TELECOMMUNICATIONS PLC DIR 0.00% CDSCD4357 CENTRICA PLC DIR 0.00% CDSCD4365 ENEL SPA DIR 0.00% CDSCD4373 CREDIT AGRICOLE SA/LONDON BRANCH DIR 0.00% CDSCD4381 DIAGEO CAPITAL PLC DIR 0.00% CDSCD4399 ELECTRICITE DE FRANCE SA (EDF) DIR 0.00% CDSCD4407 HSBC HOLDINGS PLC DIR 0.00% CDSCD4415 LINDE FINANCE BV DIR 0.00% CDSCD4423 LLOYDS BANKING GROUP PLC DIR 0.00% CDSCD4431 CREDIT SUISSE GROUP FINANCE (GUERNSE DIR 0.00% CDSCD4449 ASSICURAZIONI GENERALI SPA DIR 0.00% CDSCD4456 MUENCHENER RUECKVERSICHERUNGS-GESELL DIR 0.00% CDSCD4464 NATIONAL GRID PLC DIR 0.00% CDSCD4472 SSE PLC DIR 0.00% CDSCD4480 PRUDENTIAL PLC DIR 0.00% CDSCD4498 NATURGY CAPITAL MARKETS SA DIR 0.00% CDSCD4506 KONINKLIJKE KPN NV DIR 0.00% CDSCD4514 SOCIETE GENERALE SA DIR 0.00% CDSCD4522 TELIA COMPANY AB DIR 0.00% CDSCD4530 TOTAL CAPITAL DIR 0.00% CDSCD4548 UNITED UTILITIES PLC DIR 0.00% CDSCD4555 TESCO PLC DIR 0.00% CDSCD4563 HEINEKEN NV DIR 0.00% CDSCD4571 BMW FINANCE N V DIR 0.00% CDSCD4589 NESTLE HOLDINGS INC DIR 0.00% CDSCD4597 TELEFONICA EMISIONES SA DIR 0.00% CDSCD4605 DEUTSCHE TELEKOM INTERNATIONAL FINAN DIR 0.00% CDSCD4613 IMPERIAL BRANDS FINANCE PLC (AKA: IM DIR 0.00% CDSCD4621 EDP FINANCE BV DIR 0.00% CDSCD4639 BANCO SANTANDER SA DIR 0.00% CDSCD4647 ING GROEP NV DIR 0.00% CDSCD4654 ORANGE SA (AKA: FRANCE TELECOM SA) DIR 0.00% CDSCD4662 ENGIE SA (AKA: GDF SUEZ) DIR 0.00% CDSCD4670 UBS GROUP AG DIR 0.00% CDSCD4688 VEOLIA ENVIRONNEMENT SA DIR 0.00% CDSCD4696 E.ON SE DIR 0.00% CDSCD4704 KONINKLIJKE PHILIPS NV DIR 0.00% CDSCD4712 BANCO BILBAO VIZCAYA ARGENTARIA SA ( DIR 0.00% CDSCD4720 POSTNL DIR 0.00% CDSCD4738 DEUTSCHE BANK AG DIR 0.00% CDSCD4746 UNICREDIT SPA DIR 0.00% CDSCD4753 UNIONE DI BANCHE ITALIANE SCPA DIR 0.00% CDSCD4761 HANNOVER RUECKVERSICHERUNG SE DIR 0.00% CDSCD4779 DANSKE BANK A/S DIR 0.00% CDSCD4787 ZURICH INSURANCE COMPANY LTD DIR 0.00% CDSCD4795 COOPERATIEVE RABOBANK UA (AKA: RABOB DIR 0.00% CDSCD4803 COMPAGNIE DE SAINT-GOBAIN SA DIR 0.00% CDSCD4811 BP CAPITAL MARKETS PLC DIR 0.00% CDSCD4829 ADECCO GROUP AG (AKA: ADECCO SA) DIR 0.00% CDSCD4837

Page 25 of 31 VOLVO TREASURY AKTIEBOLAG DIR 0.00% CDSCD4845 BAYER AG DIR 0.00% CDSCD4852 STMICROELECTRONICS NV DIR 0.00% CDSCD4860 COMMERZBANK AG DIR 0.00% CDSCD4878 ANHEUSER-BUSCH INBEV SA/NV DIR 0.00% CDSCD4886 PERNOD RICARD DIR 0.00% CDSCD4894 TELEKOM FINANZMANAGEMENT GMBH DIR 0.00% CDSCD4902 LAFARGEHOLCIM LTD DIR 0.00% CDSCD4910 BERTELSMANN SE & CO KGA (AKA: BERTEL DIR 0.00% CDSCD4928 FORTUM OYJ DIR 0.00% CDSCD4936 BOUYGUES SA DIR 0.00% CDSCD4944 CARLSBERG BREWERIES AS DIR 0.00% CDSCD4951 BAT INTERNATIONAL FINANCE PLC DIR 0.00% CDSCD4969 TELENOR ASA DIR 0.00% CDSCD4977 BASF SE DIR 0.00% CDSCD4985 SWISS RE TREASURY (US) CORPORATION DIR 0.00% CDSCD4993 DEUTSCHE POST AG DIR 0.00% CDSCD5008 GLAXOSMITHKLINE CAPITAL PLC DIR 0.00% CDSCD5016 AXA SA DIR 0.00% CDSCD5024 WOLTERS KLUWER NV DIR 0.00% CDSCD5032 AIR LIQUIDE DIR 0.00% CDSCD5040 RENTOKIL INITIAL PLC DIR 0.00% CDSCD5057 ENI SPA DIR 0.00% CDSCD5065 ROYAL BANK OF SCOTLAND GROUP PLC DIR 0.00% CDSCD5073 EXPERIAN FINANCE PLC DIR 0.00% CDSCD5081 AIRBUS FINANCE BV DIR 0.00% CDSCD5099 ANGLO AMERICAN CAPITAL PLC DIR 0.00% CDSCD5107 COMPASS GROUP PLC DIR 0.00% CDSCD5115 SODEXO SA DIR 0.00% CDSCD5123 WPP FINANCE SA DIR 0.00% CDSCD5131 WENDEL DIR 0.00% CDSCD5149 BARCLAYS PLC DIR 0.00% CDSCD5156 AKZO NOBEL NV DIR 0.00% CDSCD5164 VINCI SA DIR 0.00% CDSCD5172 REPSOL INTERNATIONAL FINANCE BV DIR 0.00% CDSCD5180 PUBLICIS GROUPE SA DIR 0.00% CDSCD5198 DANONE SA DIR 0.00% CDSCD5206 VOLKSWAGEN INTERNATIONAL FINANCE NV DIR 0.00% CDSCD5214 IBERDROLA INTERNATIONAL BV DIR 0.00% CDSCD5222 UNILEVER NV DIR 0.00% CDSCD5230 CARREFOUR SA DIR 0.00% CDSCD5248 EQUINOR ASA DIR 0.00% CDSCD5255 PEARSON FUNDING PLC DIR 0.00% CDSCD5263 RELX CAPITAL INC (AKA: REED ELSEVIER DIR 0.00% CDSCD5271 MICHELIN LUXEMBOURG SCS DIR 0.00% CDSCD5289 VODAFONE GROUP PLC DIR 0.00% CDSCD5297 UNIBAIL-RODAMCO-WESTFIELD SE DIR 0.00% CDSCD5305 HEIDELBERGCEMENT AG DIR 0.00% CDSCD5313 KERING DIR 0.00% CDSCD5321 DAIMLER AG DIR 0.00% CDSCD5339 SHELL INTERNATIONAL FINANCE BV DIR 0.00% CDSCD5347 ASTRAZENECA PLC DIR 0.00% CDSCD5354 CNH INDUSTRIAL FINANCE EUROPE SA DIR 0.00% CDSCD5362 VIVENDI SA DIR 0.00% CDSCD5370 STORA ENSO OYJ DIR 0.00% CDSCD5388 SOLVAY SA DIR 0.00% CDSCD5396 HENKEL AG & CO KGAA DIR 0.00% CDSCD5404 GLENCORE FINANCE (EUROPE) LIMITED DIR 0.00% CDSCD5412 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV DIR 0.00% CDSCD5420 LANXESS AG DIR 0.00% CDSCD5438 AVIVA PLC DIR 0.00% CDSCD5446 SANOFI DIR 0.00% CDSCD5453 KONINKLIJKE DSM NV DIR 0.00% CDSCD5461 MEDIOBANCA BANCA DI CREDITO FINANZIA DIR 0.00% CDSCD5479 LVMH MOET HENNESSY-LOUIS VUITTON SE DIR 0.00% CDSCD5487 ALSTOM SA DIR 0.00% CDSCD5495 SES SA DIR 0.00% CDSCD5503 STANDARD CHARTERED PLC DIR 0.00% CDSCD5511 OTE PLC DIR 0.00% CDSCD5529 CONTINENTAL AG DIR 0.00% CDSCD5537 INF SWAP GB NI 3.436 02/15/20-10Y LCH 0.00% SWU0DM641 CHINESE - YUAN RENMINBI (CNH) 0.00% CNH1091A5

Page 26 of 31 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCD0660 AT&T INC DIR 0.00% CDSCD0678 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCD0686 ALLSTATE CORP DIR 0.00% CDSCD0694 ALLY FINANCIAL INC DIR 0.00% CDSCD0702 ALTRIA GROUP INC DIR 0.00% CDSCD0710 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCD0728 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCD0736 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCD0744 AMGEN INC DIR 0.00% CDSCD0751 ARROW ELECTRONICS INC DIR 0.00% CDSCD0769 AUTOZONE INC DIR 0.00% CDSCD0777 AVNET INC DIR 0.00% CDSCD0785 BARRICK GOLD CORPORATION DIR 0.00% CDSCD0793 BAXTER INTERNATIONAL INC DIR 0.00% CDSCD0801 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCD0819 BEST BUY CO INC DIR 0.00% CDSCD0827 BLOCK FINANCIAL CORP DIR 0.00% CDSCD0835 BOEING CO/THE DIR 0.00% CDSCD0843 BORGWARNER INC DIR 0.00% CDSCD0850 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCD0868 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCD0876 CIGNA CORPORATION DIR 0.00% CDSCD0884 CSX CORPORATION DIR 0.00% CDSCD0892 CVS HEALTH CORPORATION DIR 0.00% CDSCD0900 CAMPBELL SOUP COMPANY DIR 0.00% CDSCD0918 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCD0926 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCD0934 CARDINAL HEALTH INC DIR 0.00% CDSCD0942 CISCO SYSTEMS INC DIR 0.00% CDSCD0967 COMCAST CORPORATION DIR 0.00% CDSCD0975 CONAGRA BRANDS INC DIR 0.00% CDSCD0983 CONOCOPHILLIPS DIR 0.00% CDSCD0991 COX COMMUNICATIONS INC DIR 0.00% CDSCD1007 D.R. HORTON INC DIR 0.00% CDSCD1015 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCD1023 DANAHER CORPORATION DIR 0.00% CDSCD1031 DARDEN RESTAURANTS INC DIR 0.00% CDSCD1049 DEERE & COMPANY DIR 0.00% CDSCD1056 DEVON ENERGY CORPORATION DIR 0.00% CDSCD1064 WALT DISNEY COMPANY DIR 0.00% CDSCD1072 DOMINION ENERGY INC (AKA: DOMINION R DIR 0.00% CDSCD1080 DOMTAR CORPORATION DIR 0.00% CDSCD1098 DOW CHEMICAL COMPANY DIR 0.00% CDSCD1106 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCD1114 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCD1122 ERP OPERATING LP DIR 0.00% CDSCD1130 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCD1148 OVINTIV INC DIR 0.00% CDSCD1155 ENBRIDGE INC DIR 0.00% CDSCD1163 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCD1171 EXELON CORPORATION DIR 0.00% CDSCD1189 EXPEDIA GROUP INC DIR 0.00% CDSCD1197 FEDEX CORPORATION DIR 0.00% CDSCD1205 FISERV INC DIR 0.00% CDSCD1213 FIRSTENERGY CORP DIR 0.00% CDSCD1221 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCD1239 GENERAL MILLS INC DIR 0.00% CDSCD1247 GENERAL MOTORS COMPANY DIR 0.00% CDSCD1254 HALLIBURTON COMPANY DIR 0.00% CDSCD1262 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCD1270 HESS CORPORATION DIR 0.00% CDSCD1288 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCD1296 HOME DEPOT INC DIR 0.00% CDSCD1304 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCD1312 HOST HOTELS & RESORTS LP DIR 0.00% CDSCD1320 INGERSOLL-RAND COMPANY DIR 0.00% CDSCD1338 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCD1346 ILFC DIR 0.00% CDSCD1353 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCD1361 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCD1379 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCD1387

Page 27 of 31 KINDER MORGAN INC DIR 0.00% CDSCD1395 KOHLS CORPORATION DIR 0.00% CDSCD1403 KROGER CO DIR 0.00% CDSCD1411 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCD1429 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCD1437 LOEWS CORPORATION DIR 0.00% CDSCD1445 LOWES COMPANIES INC DIR 0.00% CDSCD1452 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCD1460 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCD1478 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCD1486 MCDONALDS CORPORATION DIR 0.00% CDSCD1494 MCKESSON CORPORATION DIR 0.00% CDSCD1502 METLIFE INC DIR 0.00% CDSCD1510 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCD1528 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCD1536 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCD1544 NEWMONT CORPORATION DIR 0.00% CDSCD1551 NEXTERA ENERGY CAPITAL HOLDINGS INC DIR 0.00% CDSCD1569 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCD1577 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCD1585 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCD1593 ORACLE CORPORATION DIR 0.00% CDSCD1601 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCD1619 PFIZER INC DIR 0.00% CDSCD1627 PIONEER NATURAL RESOURCES COMPANY DIR 0.00% CDSCD1635 PROCTER & GAMBLE COMPANY DIR 0.00% CDSCD1643 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCD1650 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCD1668 REYNOLDS AMERICAN INC DIR 0.00% CDSCD1676 RYDER SYSTEM INC DIR 0.00% CDSCD1684 SEMPRA ENERGY DIR 0.00% CDSCD1692 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCD1700 SIMON PROPERTY GROUP LP DIR 0.00% CDSCD1718 SOUTHERN CO DIR 0.00% CDSCD1726 SOUTHWEST AIRLINES CO DIR 0.00% CDSCD1734 TARGET CORPORATION DIR 0.00% CDSCD1742 TECK RESOURCES LIMITED DIR 0.00% CDSCD1759 TRANSCANADA PIPELINES LIMITED DIR 0.00% CDSCD1767 TYSON FOODS INC DIR 0.00% CDSCD1775 UNION PACIFIC CORPORATION DIR 0.00% CDSCD1783 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCD1791 RAYTHEON TECHNOLOGIES CORPORATION DIR 0.00% CDSCD1809 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCD1817 VALERO ENERGY CORPORATION DIR 0.00% CDSCD1825 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCD1833 VIACOMCBS INC DIR 0.00% CDSCD1841 WALMART INC DIR 0.00% CDSCD1858 WESTROCK MWV LLC DIR 0.00% CDSCD1866 WEYERHAEUSER COMPANY DIR 0.00% CDSCD1874 WHIRLPOOL CORPORATION DIR 0.00% CDSCD1882 WILLIAMS COS INC DIR 0.00% CDSCD1890 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCD1908 IRO USD 10Y C 1.52250 M 04/12/21 CBK 0.00% 317U844X0 THE ADT SECURITY CORPORATION DIR 0.00% CDSCD7848 AES CORPORATION DIR 0.00% CDSCD7855 ADVANCED MICRO DEVICES INC (AMD) DIR 0.00% CDSCD7863 NEW ALBERTSONS LP DIR 0.00% CDSCD7871 HOWMET AEROSPACE INC DIR 0.00% CDSCD7889 AMERICAN AIRLINES GROUP INC DIR 0.00% CDSCD7897 AMERICAN AXLE & MANUFACTURING INC DIR 0.00% CDSCD7905 AMKOR TECHNOLOGY INC DIR 0.00% CDSCD7913 ANTERO RESOURCES CORPORATION DIR 0.00% CDSCD7921 APACHE CORPORATION DIR 0.00% CDSCD7939 ARAMARK SERVICES INC (AKA: ARAMARK C DIR 0.00% CDSCD7947 ASHLAND LLC DIR 0.00% CDSCD7954 AVON PRODUCTS INC DIR 0.00% CDSCD7962 BALL CORPORATION DIR 0.00% CDSCD7970 BEAZER HOMES USA INC DIR 0.00% CDSCD7988 BOYD GAMING CORPORATION DIR 0.00% CDSCD7996 CHARTER COMM / CCO DIR 0.00% CDSCD8002 CHS/COMMUNITY HEALTH SYSTEMS INC DIR 0.00% CDSCD8010 CIT GROUP INC DIR 0.00% CDSCD8028

Page 28 of 31 CALPINE CORPORATION DIR 0.00% CDSCD8036 CARNIVAL CORPORATION DIR 0.00% CDSCD8044 CENTURYLINK INC DIR 0.00% CDSCD8051 CLEVELAND-CLIFFS INC DIR 0.00% CDSCD8069 UNITI GROUP LP / UNITI GROUP FINANCE DIR 0.00% CDSCD8077 DAVITA INC (AKA: DAVITE HEALTHCARE P DIR 0.00% CDSCD8085 DELL INC DIR 0.00% CDSCD8093 DELTA AIR LINES INC DIR 0.00% CDSCD8101 DIAMOND SPORTS GROUP LLC / DIAMOND S DIR 0.00% CDSCD8119 DISH DBS CORPORATION DIR 0.00% CDSCD8127 RR DONNELLEY & SONS COMPANY DIR 0.00% CDSCD8135 FORD MOTOR COMPANY DIR 0.00% CDSCD8143 FREEPORT-MCMORAN INC DIR 0.00% CDSCD8150 GAP INC DIR 0.00% CDSCD8168 GENWORTH HOLDINGS INC DIR 0.00% CDSCD8176 GOODYEAR TIRE & RUBBER CO/THE DIR 0.00% CDSCD8184 HCA INC DIR 0.00% CDSCD8192 HD SUPPLY INC DIR 0.00% CDSCD8200 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ DIR 0.00% CDSCD8218 K HOVNANIAN ENTERPRISES INC DIR 0.00% CDSCD8226 ISTAR INC (AKA: ISTAR FINANCIAL INC) DIR 0.00% CDSCD8234 IRON MOUNTAIN INCORPORATED DIR 0.00% CDSCD8242 KB HOME DIR 0.00% CDSCD8259 L BRANDS INC DIR 0.00% CDSCD8267 LAMB WESTON HOLDINGS INC DIR 0.00% CDSCD8275 LENNAR CORPORATION DIR 0.00% CDSCD8283 LIBERTY INTERACTIVE LLC (AKA: LIBERT DIR 0.00% CDSCD8291 MBIA INC DIR 0.00% CDSCD8309 MDC HOLDINGS INC DIR 0.00% CDSCD8317 MGIC INVESTMENT CORPORATION DIR 0.00% CDSCD8325 MGM RESORTS INTERNATIONAL DIR 0.00% CDSCD8333 MACYS RETAIL HOLDINGS LLC DIR 0.00% CDSCD8341 MERITOR INC DIR 0.00% CDSCD8358 MURPHY OIL CORPORATION DIR 0.00% CDSCD8366 NRG ENERGY INC DIR 0.00% CDSCD8374 NABORS INDUSTRIES INC DIR 0.00% CDSCD8382 NETFLIX INC DIR 0.00% CDSCD8390 NEWELL BRANDS INC (AKA: NEWELL RUBBE DIR 0.00% CDSCD8408 NORBORD INC DIR 0.00% CDSCD8416 NORDSTROM INC DIR 0.00% CDSCD8424 OCCIDENTAL PETROLEUM CORPORATION DIR 0.00% CDSCD8432 OLIN CORPORATION DIR 0.00% CDSCD8440 PG&E CORPORATION DIR 0.00% CDSCD8457 TALEN ENERGY SUPPLY LLC (AKA: PPL EN DIR 0.00% CDSCD8465 PITNEY BOWES INC DIR 0.00% CDSCD8473 AVIENT CORPORATION DIR 0.00% CDSCD8481 PULTEGROUP INC DIR 0.00% CDSCD8499 RADIAN GROUP INC DIR 0.00% CDSCD8507 REALOGY GROUP LLC / REALOGY CO-ISSUE DIR 0.00% CDSCD8515 RITE AID CORPORATION DIR 0.00% CDSCD8523 ROYAL CARIBBEAN CRUISES LTD DIR 0.00% CDSCD8531 NAVIENT CORPORATION DIR 0.00% CDSCD8549 SABRE GLBL INC DIR 0.00% CDSCD8556 SAFEWAY INC DIR 0.00% CDSCD8564 SEALED AIR CORPORATION DIR 0.00% CDSCD8572 SIRIUS XM RADIO INC DIR 0.00% CDSCD8580 ONEMAIN FINANCE CORPORATION (AKA: SP DIR 0.00% CDSCD8598 STAPLES INC DIR 0.00% CDSCD8606 T-MOBILE USA INC DIR 0.00% CDSCD8614 TARGA RESOURCES PARTNERS LP / TARGA DIR 0.00% CDSCD8622 TEGNA INC DIR 0.00% CDSCD8630 TENET HEALTHCARE CORPORATION DIR 0.00% CDSCD8648 PACTIV CORPORATION DIR 0.00% CDSCD8655 TESLA INC DIR 0.00% CDSCD8663 TEVA PHARMACEUTICAL FINANCE COMPANY DIR 0.00% CDSCD8671 TOLL BROTHERS FINANCE CORP DIR 0.00% CDSCD8689 TRANSDIGM INC DIR 0.00% CDSCD8697 TRANSOCEAN INC DIR 0.00% CDSCD8705 UNITED AIRLINES HOLDINGS INC DIR 0.00% CDSCD8713 UNITED RENTALS (NORTH AMERICA) INC DIR 0.00% CDSCD8721 UNITED STATES STEEL CORPORATION DIR 0.00% CDSCD8739 UNIVERSAL HEALTH SERVICES INC DIR 0.00% CDSCD8747

Page 29 of 31 BAUSCH HEALTH COS INC (AKA: VALEANT DIR 0.00% CDSCD8754 VISTRA OPERATIONS COMPANY LLC DIR 0.00% CDSCD8762 XEROX CORPORATION DIR 0.00% CDSCD8770 YUM! BRANDS INC DIR 0.00% CDSCD8788 ALTICE USA (CSC HOLDINGS LLC) DIR 0.00% CDSCD8796 BOMBARDIER INC DIR 0.00% CDSCD8804 UNIVISION COMMUNICATIONS INC DIR 0.00% CDSCD8812 NOVA CHEMICALS CORPORATION DIR 0.00% CDSCD8820 AVIS BUDGET CAR RENTAL LLC/ AVIS BUD DIR 0.00% CDSCD8838 INF SWAP GB NI 3.386 01/15/20-10Y LCH 0.00% SWU09GG14 OTC EPUT USD VS ILS @ 3.165 HUS 0.00% 31750HR27 OTC EPUT USD VS ILS @ 3.182 JPM 0.00% 31750HRV3 FNMA TBA 3.5% APR 15YR 0.00% 01F032443 IRS SEK 0.50000 06/19/19-5Y LCH 0.00% SWU00SMW2 IRS USD R 3ML/1ML+8.375 04/26/21-22 CME 0.00% SWU02Y480 IRO USD 5Y C 0.82000 M 04/15/21 MYC 0.00% 317U858X3 OTC ECAL USD VS ILS @ 3.415 JPM 0.00% 31750I0S7 IRS EUR -0.25000 09/15/21-5Y LCH 0.00% SWU018WK0 IRS NZD 0.52750 03/17/21-3Y LCH 0.00% SWU018819 FIN FUT EURO$ CME (WHT) 03/14/22 0.00% EDH200005 IRO USD 3Y P 1.88000 M 09/15/21 BOA 0.00% 317U057U8 INF SWAP GB NI 3.45 02/15/20-10Y LCH 0.00% SWU0JF673 INF SWAP GB NI 3.475 08/15/20-10Y LCH 0.00% SWU09CC17 OTC ECAL EUR VS CNH @ 7.95 HUS 0.00% 31750HSR1 IRS CZK 1.91250 01/30/19-10Y CME 0.00% SWU00SF83 IRO USD 10Y P 2.45000 L 09/30/21 FAR 0.00% 317U061Y4 INF SWAP GB NI 3.334 08/15/20-5Y LCH 0.00% SWU09ED12 INF SWAP GB NI 3.4725 11/15/20-10Y LCH 0.00% SWU09VF12 INF SWAP GB NI 3.355 11/15/20-5Y LCH 0.00% SWU0SC5B2 IRO USD 5Y C 0.75000 M 06/14/21 CBK 0.00% 317U842X2 IRO USD 10Y P 1.95000 L 09/30/21 FAR 0.00% 317U059Y8 IRS USD 1.00000 12/16/20-5Y CME 0.00% SWU012TN1 FIN FUT EURO$ CME (RED) 09/19/22 0.00% EDU200000 U S TREASURY BOND 0.00% 912810ST6 INF SWAP GB NI 3.453 02/15/20-10Y LCH 0.00% SWU09HH37 INF SWAP GB NI 3.66375 03/15/21-5Y LCH 0.00% SWU032K16 OIS GBP SONIO/0.00000 06/16/21-2Y LCH 0.00% SWU016SV5 INF SWAP GB NI 3.272 11/15/20-20Y LCH 0.00% SWU045B18 OIS GBP SONIO/0.25000 06/16/21-10Y LCH 0.00% SWU016SZ6 EUROPEAN MONETARY UNION EURO 0.00% EUR1179D5 CCS AUD R US3ML/AUD3MBBSW+29.75 MYC 0.00% CCS004136 IRO USD 3Y P 1.44800 L 08/23/21 MYC 0.00% 317U607T6 JAPANESE YEN 0.00% JPY1092B1 INF SWAP GB NI 3.2725 11/15/20-20Y LCH 0.00% SWU09JK54 IRO USD 5Y C 0.86500 L 04/19/21 BOA 0.00% 317U928X9 CME APUT EURO$ 3YMDCV 04/21 @ 98.5 0.00% 3EJ1P0016 OIS GBP SONIO/0.00000 06/16/21-5Y LCH 0.00% SWU016SX1 IRO USD 3Y P 1.39900 L 08/26/21 MYC 0.00% 317U644T1 IRS CAD 2.56485 03/07/19-30Y LCH 0.00% SWU00T160 PERUVIAN SOL-NDF 0.00% PEN1096B7 IRO GBP 1Y C 0.01000 L 02/07/22 BRC 0.00% 317U578X2 INF SWAP GB NI 3.262 02/15/20-5Y LCH 0.00% SWU09LL66 U S TREASURY NOTE 0.00% 9128284M9 IRO GBP 1Y C 0.01000 L 02/07/22 GLM 0.00% 317U587X1 INF SWAP GB NI 3.2565 02/15/20-5Y LCH 0.00% SWU09LL58 BRAZILIAN REAL-NDF 0.00% BRL1124B1 IRS EUR -0.06000 11/17/22-10Y LCH 0.00% SWU016KQ4 INF SWAP GB NI 3.258 02/15/20-5Y LCH 0.00% SWU09LL74 IRO USD 10Y P 1.86250 M 04/12/21 CBK 0.00% 317U843X1 IRO USD 10Y C 1.50000 M 06/15/21 BOA 0.00% 317U850X1 IRS CAD 1.71250 10/02/19-10Y LCH 0.00% SWU00WS56 OTC ECAL USD VS ILS @ 3.338 JPM 0.00% 31750HRU5 OIS GBP SONIO/0.50000 06/16/21-30Y LCH 0.00% SWU016T10 IRO USD 5Y P 1.12000 M 04/15/21 MYC 0.00% 317U857X4 IRS CHF -0.50000 09/16/20-5Y LCH 0.00% SWU013C64 MEXICAN NUEVO PESO 0.00% MXN1104C6 JAPAN GOVT JP BP BPS 0.00% SWPC0FSK0 IRS EUR 0.00000 09/15/21-10Y LCH 0.00% SWU018WL8 EUROPEAN MONETARY UNION EURO 0.00% EUR1124L3 INF SWAP GB NI 3.2171 11/15/20-20Y LCH 0.00% SWU09JK70 FIN FUT EURO-BOBL 5Y EUX 06/08/21 0.00% OEM100016 IRS EUR -0.50000 06/16/21-2Y LCH 0.00% SWU016SU7

Page 30 of 31 IRS CAD 2.75000 12/18/18-30Y LCH 0.00% SWU00RPX9 OTC ECAL USD VS ILS @ 3.3275 HUS 0.00% 31750HR19 OTC ECAL USD VS ILS @ 3.315 HUS 0.00% 31750HRX9 IRS USD 1.46000 02/02/21-30Y CME 0.00% SWU018165 IRS EUR -0.50000 06/16/21-5Y LCH 0.00% SWU016SW3 CCS AUD R US3ML/AUD3MBBSW+29 AZD 0.00% CCS112236 OIS GBP SONIO/0.75000 09/15/21-10Y LCH 0.00% SWU018XZ6 IRO USD 5Y P 1.20000 M 06/14/21 CBK 0.00% 317U841X3 IRO USD 5Y P 1.14500 L 04/19/21 BOA 0.00% 317U929X8 OTC EPUT EUR VS CNH @ 7.7 HUS 0.00% 31750HSP5 IRO GBP 1Y P 0.01000 L 02/07/22 BRC 0.00% 317U579X1 AUSTRALIAN DOLLARS 0.00% AUD1097B7 FIN FUT AUS 10YR BOND SFE 06/15/21 0.00% XMM100059 CANADIAN DOLLAR 0.00% CAD1124B6 SOUTH KOREA GOVT AS BP HUS 0.00% SWPC0H4H9 IRO GBP 1Y P 0.01000 L 02/07/22 GLM 0.00% 317U586X2 IRS NOK 1.90000 03/10/21-10Y LCH 0.00% SWU018YS1 GNMA II TBA 4.0% APR 30YR JMBO 0.00% 21H040640 IRO USD 10Y P 2.00000 M 06/15/21 BOA 0.00% 317U849X5 RUSSIAN RUBLE-NDF 0.00% RUB1141A9 INDONESIAN RUPIAH-NDF 0.00% IDR1167D3 SOUTH AFRICAN RAND 0.00% ZAR1134B4 BRAZILIAN REAL-NDF 0.00% BRL1095C4 RUSSIAN RUBLE-NDF 0.00% RUB1173B8 SOUTH KOREA WON-NDF 0.00% KRW1167B7 RUSSIAN RUBLE-NDF 0.00% RUB1112A4 JAPAN GOVT JP BP GST 0.00% SWPC0FSJ3 JAPAN GOVT JP BP CBK 0.00% SWPC0FSL8 CHINA AS BP BRC 0.00% SWPC0JGE9 IRS JPY 0.03500 11/29/19-10Y LCH 0.00% SWU00XXP4 IRO GBP 1Y C 0.01000 L 02/07/22 RYL 0.00% 317U549X8 IRS CAD 1.50000 06/17/20-10Y LCH 0.00% SWU00Y1I3 IRS JPY 0.20000 06/19/19-10Y LCH 0.00% SWU00SDN2 IRS CAD 1.90000 12/18/19-10Y LCH 0.00% SWU00UG12 FIN FUT US ULTRA 10YR CBT 06/21/21 0.00% UXYM10009 IRS JPY 0.00000 03/17/21-10Y LCH 0.00% SWU018116 IRS USD 0.40000 01/15/21-7Y LCH 0.00% SWU013ZU6 IRS USD 1.25000 06/16/21-30Y CME 0.00% SWU0XC005 IRS USD 1.00000 12/16/20-5Y LCH 0.00% SWU0ZY112 OTC EPUT FN 2.0% 4/51 @ 101:27 FAR 0.00% 317576UM6 FIN FUT 10YR JGB OSE 06/14/21 0.00% JBM100018 CHINA AS BP GST 0.00% SWPC0H4C0 FIN FUT EUX EURO-BTP 06/08/21 0.00% IKM100027 IRS JPY 0.50000 06/19/19-30Y LCH 0.00% SWU00U746 GNMA II TBA 2.0% APR 30YR JMBO 0.00% 21H020642 GNMA II TBA 2.0% MAY 30YR JMBO 0.00% 21H020659 IRS EUR -0.25000 06/16/21-10Y LCH 0.00% SWU016SY9 FIN FUT US 5YR CBT 06/30/21 0.00% FVM100018 FNMA TBA 3.5% MAY 30YR 0.00% 01F032658 SOUTH KOREA GOVT AS BP BPS 0.00% SWPC0H4D8 NORWEGIAN KRONER 0.00% NOK1097B9 IRO GBP 1Y P 0.01000 L 02/07/22 RYL 0.00% 317U550X4 FNMA TBA 2.5% MAY 30YR 0.00% 01F022659 CHINA AS BP BPS 0.00% SWPC0JUT0 FIN FUT US 10YR CBT 06/21/21 0.00% TYM100090 FNMA TBA 3.5% APR 30YR 0.00% 01F032641 SWEDISH KRONER 0.00% SEK1097B6 FNMA TBA 4.0% APR 30YR 0.00% 01F040644 BRITISH POUND STERLING 0.00% GBP1125F7 IRO EUR 25Y P 0.45100 L 05/23/25 BPS 0.00% 317U173X1 IRO USD 30Y P 2.32000 L 01/25/22 GLM 0.00% 317U607X7 IRO USD 30Y P 2.32000 L 01/25/22 MYC 0.00% 317U434X6 FNMA TBA 2.5% APR 30YR 0.00% 01F022642 FNMA TBA 2.0% JUN 30YR -0.01% 01F020661 FNMA TBA 2.0% MAY 30YR -0.02% 01F020653 CASH Uninvested USD -0.11% 00000USD6 FX Hedging Contract MTM valuation -0.21% n/a NEW ZEALAND DOLLAR -0.57% NZD1097A4

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