2022-02-16-FPRS-Board-Special-Meeting-Agenda-and ...

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PURSUANT TO ASSEMBLY BILL 361 AND ONGOING SOCIAL DISTANCING RECOMMENDATIONS,

THE SPECIAL PASADENA FIRE & POLICE RETIREMENT SYSTEM BOARD MEETING FOR

FEBRUARY 16, 2022 AT 10:00 A.M. WILL TAKE PLACE SOLELY BY TELECONFERENCE/VIDEOCONFERENCE.

TO ACCESS THE MEETING:

Livestream of the Retirement Board meeting with captioning is available at http://www.pasadenamedia.org and at

http://pasadena.granicus.com/MediaPlayer.php?publish_id=9

OR

Join Zoom Meeting https://us02web.zoom.us/j/82035935528 Meeting ID: 820 3593 5528 One tap mobile +16699006833,, 82035935528# US (San Jose) Dial by your location

+1 669 900 6833 US (San Jose) Meeting ID: 820 3593 5528 Find your local number: https://us02web.zoom.us/u/kAkqrQzip

In order to facilitate public participation at meetings held solely by electronic means, the Retirement Board will accept public comment in the following manner:

1. Advance Correspondence, to become part of the record:

Members of the public may submit comments of any length up to two hours prior to the start of the meeting, at the following e-mail address:

[email protected]

Please be aware that, while these comments will be provided to the members of the body and will become part of the meeting record, they will not be read aloud. Any comment submitted in this fashion will be forwarded to the legislative body prior to the start of the meeting. 2. Live Public Comments during the meeting

During the meeting, members of the public may provide live public comment on an agenda item, at the time the Chair solicits public comment, by either (a) if using the

http://www.pasadenamedia.org/

http://pasadena.granicus.com/MediaPlayer.php?publish_id=9

https://us02web.zoom.us/j/82035935528

https://us02web.zoom.us/u/kAkqrQzip

mailto:[email protected]

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Zoom program, selecting the “raise hand” function; or (b) if participating by telephone, pressing *9 to raise your hand. Public comments are limited to 3 minutes each, and the Chair or the Retirement Board may limit this time if reasonable under the circumstances. Your phone call to the Retirement Board meeting will be recorded as part of the Retirement Board meeting. By staying on the line and making public comment during the Retirement Board meeting, you are agreeing to have your phone call recorded. If assistance is needed by phone, please call the FPRS Office at (626) 744-4320.

Public Comment will be limited to items on this Special Meeting Agenda.

IF YOU NEED A REASONABLE MODIFICATION OR ACCOMMODATION PURSUANT TO THE AMERICANS WITH DISABILITIES ACT

BECAUSE YOU ARE UNABLE TO PARTICIPATE ELECTRONICALLY AS SET FORTH ABOVE, CONTACT THE FPRS OFFICE AS SOON AS POSSIBLE AT

(626) 744-4320 OR [email protected].

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P A S A D E N A

F I R E & P O L I C E

R E T I R E M E N T S Y S T E M

PASADENA FIRE & POLICE RETIREMENT SYSTEM

RETIREMENT BOARD - SPECIAL MEETING

Wednesday, February 16, 2022 Teleconference/Videoconference

10:00 a.m.

AGENDA 1. Call to Order 2. Public Comment 3. Minutes: January 19, 2022 (Special Meeting) CONSENT CALENDAR 4. Approve the monthly retirement allowance roll of $997,962.20 for January 2022. 5. Approve additions/removals of the following members/beneficiaries to/from the

monthly allowance roll:

Name Effective Date

Add/ Remove

PensionContinuance

Pension Amount

a. G. Bailey 9/11/2021 Remove Yes, 60% $4,724.21 b. C. Bailey 9/12/2021 Add No $2,834.53 c. R. Gile 1/19/2022 Remove Yes, 60% $3,827.22 d. N. Gile 1/20/2022 Add No $2,296.33

6. Receive and file the 4th Quarter 2021 Asset Manager Performance Reports from

the following asset managers: a. Atlanta Capital Investment Managers b. Capital Group, American Funds EuroPacific Growth Fund c. Dodge & Cox International Stock Fund d. Dodge & Cox Stock Fund e. Invesco Core Real Estate, USA – LP f. PanAgora Risk Parity Multi-Asset GT g. TCW MetWest Fixed Income Review

h. T. Rowe Price Institutional Large Cap Growth Fund i. Vanguard Inflation-Protected Securities Fund j Vanguard Growth Index Fund k. Vanguard Short-Term Investment-Grade Fund l. Voya Senior Loan Trust Fund Review

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CalPERS HEARINGS 7. CalPERS scheduled hearing on the Service Pending Industrial Disability

Retirement application for Kevin Robertson, Firefighter II. 8. CalPERS scheduled hearing on the Service Pending Industrial Disability

Retirement application for Marie Sell, Police Lieutenant. ACTION ITEMS - The Board may discuss and take action on the following items: 9. Review, discuss and consider approval of change in methodology for calculating

cost of living adjustment. 10. Review, discuss and consider approval of contract for actuarial services. 11. Discuss and possibly take action on the following investment reports submitted

by Verus Investments: a. Receive and file, January 2022 Withdrawal and Rebalance Transaction

Summary b. Review and approve, February-April 2022 Rebalance and Withdrawal c. Receive and file, 4th Quarter 2021 Investment Performance Review d. Receive and file, January 2022 Performance Update e. Receive and file, 2021 Annual Review

INFORMATION ITEMS 12. Staff Report a. January 2022 Budget/Expense Report 13. Counsel Report 14. Articles/Newsletters/Conferences COMMENTS FROM BOARD MEMBERS ADJOURN

POSTING STATEMENT: I HEREBY CERTIFY that this Agenda was posted in its entirety at the City Kiosk and on the City Council Chamber bulletin board, Room S249, on February 10, 2022 at 5:00 p.m. __________________________________ Bernadette Kastner Administrator/Secretary to the Board

Any documents distributed to a majority of the Pasadena Fire & Police Retirement Board regarding any item on this agenda will be made available at the office of the Fire & Police Retirement System, located at 100 N. Garfield Avenue, #S201, Pasadena, CA 91101. To make arrangements to view items, during normal business hours, please contact the Retirement Office at (626)744-4320.

DISTRIBUTION Board Members A. Taylor, Verus C. Schloss, Verus I. Safie, System Atty City Attorney Bertel Associates

Police Dept (Admin Srv) Fire Chief Director of Finance City Treasurer City Controller Principal Accountant

A. Souto M. Howard L. Demirdjian B. Yates D. Thomas, City counsel A. Snitzer M. Treger

L. Derderian, PIO Library, NIS T. Phillips, CPA B. Lomeli K. Robertson M. Sell J. Ward

J. Head, AIMS E. Rodriguez, AIMS M. Baluyot, AIMS S. Haddock, AIMS

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PASADENA FIRE & POLICE RETIREMENT SYSTEM RETIREMENT BOARD - SPECIAL MEETING

Wednesday, January 19, 2022 Teleconference/Videoconference

10:00 a.m.

MINUTES

1. Call to Order

The regular meeting of the Pasadena Fire & Police Retirement Board was called toorder by Chair, Mr. Keith Jones, on Wednesday, January 19, 2022 at 10:08 a.m.virtually via a Zoom meeting.

Members – PresentK. Jones, ChairP. Boyle, Vice ChairJ. BrinsleyG. MasudaJ. Milligan

Staff – Present B. Kastner, Administrator/SecretaryM. Price, Senior Office AssistantI. Safie, Board Counsel

Others C. Schloss (Verus Investments)C. Moody (City of Pasadena)M. Howard (City of Pasadena)B. LomeliM. TregerD. ThomasT. McGinityR. KendreM. Sajorda

2. Public Comment

None noted.

3. Minutes: Approve the minutes for the special meeting of November 17, 2021.

Item: 3Date: 02/16/22

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MOTION by Mr. Masuda, seconded by Mr. Brinsley, to approve the minutes for the meeting of November 17, 2021. (Motion unanimously carried, 5-0).

CONSENT CALENDAR 4. Approve the revised monthly retirement allowance roll of $1,018,794.93 for November

2021 and monthly retirement allowance roll of $1,003,326.07 for December 2021. 5. Approve additions/removals of the following members/beneficiaries to/from the

monthly allowance roll:

Name Effective Date

Add/ Remove

PensionContinuance

Pension Amount

a. C. Bishop 12/6/2021 Remove Yes, 100% $1,209.31 b. Estate of C. Bishop 12/7/2021 Add No $1,209.31 c. W. Wilson 12/7/2021 Remove No $8,540.95

6. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing

application for Kevin Robertson, Firefighter II for the February 16, 2022 regular meeting of the FPRS Board.

7. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing application for Marie Sell, Police Lieutenant for the February 16, 2022 regular meeting of the FPRS Board.

8. Schedule the CalPERS Industrial Disability Retirement hearing application for Eric Butler, Police Officer for the March 16, 2022 regular meeting of the FPRS Board.

9. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing application for Jayce Ward, Police Corporal for the March 16, 2022 regular meeting of the FPRS Board.

MOTION by Mr. Boyle, seconded by Mr. Brinsley, to approve items 4-9 on the Consent Calendar. (Motion unanimously carried, 5-0)

CalPERS HEARINGS 10. CalPERS scheduled hearing on the Industrial Disability Retirement application for

Carlos Sainz, Police Officer. The hearing was opened on the CalPERS Industrial Disability Retirement application filed by Carlos Sainz, Police Officer. The Board received the Disability Hearing Option form signed by the applicant that requested that the Board close the hearing to the general public, including the discussion of the medical reports submitted in consideration of the Board’s determination. Therefore, the hearing was closed to the public. The following were present at the hearing: Matthew Howard (City) and Michael Treger (Applicant’s counsel). By order of the Chair, the following exhibits are marked and entered into the record:

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a. CalPERS letter acknowledging receipt of the Service Pending Industrial Disability Retirement application, filed by Carlos Sainz, Police Officer, dated February 5, 2021.

b. Verification of employment with the City of Pasadena. c. Certification Form signed by the Applicant and City. d. Information report and recommendation from the Human Resources Department

dated December 21, 2021 and the accompanying medical file, including: 1) DWC-1 Claim Form 2) Notice of Application 3) Essential Functions Job Analysis - Police Officer 4) Medical Reports:

a) AME Edward Green, MD 3/3/2021

b) AME Edward Green, MD 10/9/2020

e. Letter from Applicant’s Attorney, Michael Treger, dated January 7, 2022 and the accompanying medical file, including:

1. Philip H. Conwisar, MD 8/27/2020 2. Philip H. Conwisar, MD 10/6/2020 3. Philip H. Conwisar, MD 10/12/2020 4. Philip H. Conwisar, MD 11/5/2020 5. Philip H. Conwisar, MD 11/23/2020 6. Philip H. Conwisar, MD 12/21/2020 7. Philip H. Conwisar, MD 1/4/2021 8. Philip H. Conwisar, MD 2/4/2021 9. Philip H. Conwisar, MD 2/15/2021 10. Philip H. Conwisar, MD 3/18/2021 11. Philip H. Conwisar, MD 3/22/2021 12. Philip H. Conwisar, MD 5/4/2021 13. Philip H. Conwisar, MD 5/6/2021 14. Philip H. Conwisar, MD 6/3/2021 15. Philip H. Conwisar, MD 6/11/2021 16. Philip H. Conwisar, MD 6/14/2021 17. Philip H. Conwisar, MD 7/22/2021 18. Philip H. Conwisar, MD 7/23/2021

Mr. Treger briefly reviewed the Applicant’s memorandum and the most relevant medical reports on the disabling injuries. Mr. Howard noted the City’s concurrence with the medical evidence and acknowledged Mr. Sainz for his years of service with the City of Pasadena. There being no testimony or discussion, a MOTION to close the hearing was made by Mr. Boyle, seconded by Mr. Brinsley. (Motion unanimously carried, 5-0) MOTION by Mr. Brinsley, seconded by Mr. Milligan, to approve the CalPERS Industrial Disability Retirement Application, filed by Carlos Sainz, Police Officer, who has filed a CalPERS Industrial Disability Retirement Application, is substantially incapacitated, within the meaning of the Public Employees’ Retirement Law, from the performance of his usual duties in the position of Police Officer effective June 4, 2021, and that such disability is a result of injury or disease arising in the course of his employment as a

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local safety member, and to instruct the System’s Attorney and the Secretary to prepare the necessary documentation of this Board’s determination and forward same to the CalPERS. (Motion unanimously carried, 5-0)

11. CalPERS scheduled hearing on the Service Pending Industrial Disability Retirement

application for Bobby Lomeli, Police Sergeant. The hearing was opened on the CalPERS Service Pending Industrial Disability Retirement application filed by Bobby Lomeli, Police Sergeant. The Board received the Disability Hearing Option form signed by the applicant that requested that the Board close the hearing to the general public, including the discussion of the medical reports submitted in consideration of the Board’s determination. Therefore, the hearing was closed to the public. The following were present at the hearing: Matthew Howard (City), David Thomas and Theresa McGinity (City’s counsel) and Bobby Lomeli (Applicant). By order of the Chair, the following exhibits are marked and entered into the record: a. CalPERS letter acknowledging receipt of the Service Pending Industrial Disability

Retirement application, filed by Bobby Lomeli, Police Sergeant, dated January 25, 2021.

b. Verification of employment with the City of Pasadena. c. Certification Form signed by the Applicant and City. d. Information report and recommendation from the Human Resources Department

dated December 21, 2021 and the accompanying medical file, including: 1) DWC-1 Claim Form 2) Notice of Application 3) Essential Functions Job Analysis - Police Sergeant 4) Medical Reports:

a) SME - Alexander Francini, MD., Medical Director 11/11/2021

a. e. Letter from City’s Attorney, David Thomas, dated January 10, 2022 and the following exhibits: 1. Cover Letter for Ortho IDR Exam on 11/11/2021 2. Notice of Ortho IDR Exam on 11/11/2021 3. Ortho IDR Exam Report from Dr. Alex Francini dated 12/12/2021 4. Police Officer Essential Functions Job Analysis as of March 2015 5. CalPERS Circular Letter 200-018-17 re IDR Procedures dated 3/30/2017

b. Applicant’s medical reports: 1. AME Steven Brourman, MD – 12/8/2020 2. AME Steven Brourman, MD – 1/26/2021

Mr. Lomeli briefly reviewed the most relevant medical reports on the disabling injuries. Mr. Thomas and Mr. Howard discussed the City’s opposition of Mr. Lomeli’s service pending industrial disability retirement application. After review of the medical records submitted, the Board concluded that additional medical evaluation was necessary because the records submitted were conflicting. As such, the Board ordered further medical examination of Mr. Lomeli in order to assist in its determination of whether Mr. Lomeli is incapacitated from the performance of his regular duties as defined under the PERL.

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There being no testimony or discussion, a MOTION to close the hearing was made by Mr. Boyle, seconded by Mr. Masuda. (Motion unanimously carried, 5-0) MOTION by Mr. Brinsley, seconded by Mr. Milligan, for continuance of the CalPERS Service Pending Industrial Disability Retirement hearing for Bobby Lomeli, Police Sergeant, pending further medical evaluation. (Motion unanimously carried, 5-0)

ACTION ITEMS - The Board may discuss and take action on the following items: 12. Receive, discuss and possibly take action on the proposals for actuarial services for

the System.

Ms. Kastner reviewed the RFP process, proposals received, evaluation and recommendation to the Board.

MOTION by Mr. Boyle, seconded by Mr. Brinsley, to award actuarial services contract to Bartel Associates, LLC. (Motion carried, 5-0)

13. Discuss and possibly take action on the following investment reports submitted by Verus Investments: a. Receive and file, December 2021 Performance Update

The performance update was reviewed reflecting performance without pooled cash. The total fund return for December was 1.5% net of fees (vs. the index of 1.7%), bringing the fiscal year-to-date return for six months to 2.2% net of fees (v. the index of 2.6%). Total market value at the end of December was $131.4 million, including pooled cash with the City. MOTION by Mr. Boyle, seconded by Mr. Masuda, to receive and file the December 2021 Performance Update, as recommended by Verus Investments. (Motion unanimously carried, 5-0)

b. Receive and file, December 2021 Withdrawal and Rebalance Transaction Summary

Ms. Schloss reviewed the withdrawal of $1,050,000 for benefits and administration for the month of December 2021. Funds were withdrawn from earnings in the Fund’s fixed income asset managers Met West and Vanguard. MOTION by Mr. Boyle, seconded by Mr. Brinsley, to receive and file the December 2021 transaction summary. (Motion unanimously carried, 5-0)

INFORMATION ITEMS 11. Staff Report – Ms. Kastner provided a brief update on the budget actuals and provided

an update on pending disability retirement hearings.

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a. December 2021 Budget/Expense Report - noted.

12. Counsel Report – Ms. Safie explained that a separate resolution by the Board to hold virtual meetings under AB 361 would be unnecessary since the resolution by City Council encompasses the Board and other public commissions.

13. Articles/Newsletters/Conferences – none noted. COMMENTS FROM BOARD MEMBERS ADJOURN

MOTION by Mr. Boyle, seconded by Mr. Brinsley, to adjourn the meeting at 12:15 p.m. Respectfully submitted, _______________________ ___ ________________________ Bernadette Kastner Keith Jones Secretary to the Board/Administrator Chair, Retirement Board Details of this meeting are contained on a digital recording of the meeting and will be kept in the archives for two years, per Board policy. DISTRIBUTION: Board Members Fire & Police Retirees Assn. A. Souto B. Lomeli City Attorney Police Chief M. Howard A. Snitzer I. Safie, System Atty Fire Chief L. Demirdjian M. Treger A. Taylor, Verus Director of Finance B.Yates J. Head City Controller D. Thomas, City counsel Principal Accountant

PASADENA FIRE AND POLICE RETIREMENT SYSTEM

MONTHLY ALLOWANCE ROLL - TOTALS

MONTH 2020-2021 2021-2022 Notes

JULY 1,072,047.30 1,033,350.33 a. b. c. d. e. f.AUGUST 1,058,920.95 1,034,115.56 g.SEPTEMBER 1,059,575.81 1,009,100.18 h. i. j. k. l. m. n.OCTOBER 1,056,032.23 1,012,396.89 o.NOVEMBER 1,051,655.24 1,018,794.93DECEMBER 1,027,968.73 1,003,326.07 p. q.JANUARY 1,038,729.41 997,962.20 r.FEBRUARY 1,034,926.94 0.00MARCH 1,033,869.21 0.00APRIL 1,018,020.30 0.00MAY 1,026,367.67 0.00JUNE 1,020,050.34 0.00Refund Checks -9,296.81 -1,441.85Prior Year Accruals Paid 2,114.35 1,147.04FY TOTALS 12,490,981.67 7,108,751.35

COLA BENEFITSINCLUDED ABOVE 6,850,262.81 3,930,736.47

COLA - % Of Total 55% 55%

a. 2% COLA applied to all members and beneficiaries.b. C. Freeman has an accrual (from FY2017) of $2,654.95. Final payment issued to estate on 10/31/2021.c. N. Woodward has an accrual (from FY2020) of $804.63. Final payment issued to estate on 1/31/2022.

e. R. Goldie has an accrual (from FY 2021) of $175.52. Final payment issued to estate on 9/30/2021.

o. L. Baroni passed 10/7/2021. Final payment issued to estate on 12/31/2021. No survivor.

q. W. Wilson passed 12/7/2021. Final payment will be paid to estate. No survivor.r. R. Gile passed 1/19/2022. Final payment will be paid to estate. N. Gile is the surviving spouse.

p. C. Bishop, DRO of J. Bishop passed 12/6/2021. Final payment issued to estate on 12/31/2021. The estatehas a debt to the System. The estate of C. Bishop is the beneficiary.

n. R. Zufall passed 9/26/2021. Final payment issued to estate on 11/30/2021. No survivor.

h. J. D. Lafkas, QDRO of J. Lafkas will begin receiving payments 9/1/2021.

m. W. Saltsman passed 9/22/2021. Final payment will be paid to estate. S. Saltsman is the surviving spouse.

f. C. Speight has an accrual (from FY 2021) of $971.51. Final payment issued to estate on 9/30/2021.

d. D. Brown has an accrual (from FY 2021) of $987.21.

g. J. Garcia passed 8/5/2021. Final payment issued to estate on 10/31/2021. No survivor.

i. M. Mackessy, suriving spouse of J. Mackessy passed 9/4/2021. Final payment issued to estate on

k. J. Magdaleno passed 9/19/2021. Final payment will be paid to estate. G. Magdaleno is the surviving spouse.l. B. Denning, suriving spouse of J. Denning passed 9/20/2021. Final payment issued to estate on 9/30/2021.

Refund check received 11/1/2021.

j y p p y System.

C. Bailey is the surviving spouse.

Item: 4Date: 02/16/22

1075 Peachtree Street NE | Suite 2100 | Atlanta | GA | 30309

City of Pasadena Fire and Police Retirement System

Michael Jaje, CFA Investment Specialist

(404) [email protected]

Cheryl Innerarity Investment Operations Supervisor

(404) [email protected]

High Quality Small CapFourth Quarter 2021 Portfolio Review

Prepared for City of Pasadena Fire and Police Retirement System use only. Not for further distribution.

Item: 6aDate: 02/16/22

• Founded in 1969 in Atlanta, Georgia

• Singular focus on High Quality stocks and bonds

• Employs 37 professionals

• Part of Morgan Stanley Investment Management, the asset management division of Morgan Stanley

Atlanta Capital Management Co., LLC As of December 31, 2021

Investment Franchises($29.9 Billion)

30%

65%

5%

Growth Equity

Fixed Income

Core Equity

15%

78%

7%

Small Cap$2.9 bn │ 1992

SMID Cap$15.2 bn │ 2004

Core Equity Management($19.5 Billion)

Select Equity$1.5 bn │ 2006

Assets under management │ inception date of strategy

Assets under management are approximate. Source: Atlanta Capital as of December 31, 2021.

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Consistent Growth & Stability in EarningsKey Tenet of Our Investment Philosophy

Earnings Stability Avg. 5-Year CAGR Earnings Variability # Positive Periods # Negative PeriodsHigh Quality Portfolio 7.2% 1.8% 120 or 100% 0 or 0%Low Quality Portfolio 4.0% 3.4% 106 or 88% 14 or 12%

-3%

0%

3%

6%

9%

12%

15%

92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21

Five-Year Rolling CAGR of As Reported EarningsRussell 2000® Index by Earnings Stability

Recession

Time period: January 1, 1992 – December 31, 2021. This information is provided for general illustrative purposes only. The High Quality and Low Quality Research portfolios are provided to compare the aggregate earnings stability of all companies in the index with High Quality SPGMI Quality Rankings (B+ or Better) to those with Low Quality SPGMI Quality Rankings (B or Below). The High Quality Research and Low Quality Research portfolios are model portfolios formed and rebalanced monthly by Atlanta Capital. The universe includes all Russell 2000® Index constituents with SPGMI Quality Rankings and prices greater than $1. Five-year historical earnings growth rates are calculated using a market capitalization-weighted methodology. The Russell 2000® Index is an unmanaged index of 2,000 US small-cap stocks. Historical performance of the index and Research portfolios illustrates market trends and does not represent past or future performance of the strategy. The material is based upon information that Atlanta Capital considers to be reliable, however no assurances are provided. The material should not be considered investment advice or a recommendation to invest in a particular strategy. Reproduction or redistribution of this page in any form without express permission from Atlanta Capital is prohibited. Past performance is not a reliable indicator of future results. Sources: FTSE Russell, S&P Global, Wilshire Atlas, Atlanta Capital as of December 31, 2021.

2

High Quality Small Cap Investment Objective April 1, 1992 – December 31, 2021

Our objective is to participate in rising markets, protect capital during declining markets, and outperform over the long-term without the volatility typically associated with small cap investing.

Rising Markets(81 Positive Quarters)Net of Fees

30.4%

36.5%

10%

20%

30%

40%

83%

Since Inception*(119 Total Quarters)Net of Fees

12.3%

9.9%

6%

8%

10%

12%

14%

+2.4%

Upside Reward + Downside Protection = Long-Term Results

BetaHQ Small Cap | R2000®

0.71 | 1.00

Standard DeviationHQ Small Cap | R2000®

15.9% | 20.9%

Declining Markets(38 Negative Quarters)Net of Fees

-18.2%

-30.8%

-35%

-30%

-25%

-20%

-15%

-10%59%

*The inception date of the High Quality Small Capitalization Composite is April 1, 1992. For illustrative purposes only. The charts above illustrate the average (annualized) return of the High Quality Small Capitalization Composite during both rising and declining markets since inception. Results for other time periods may differ from the long-term trend shown above. Rising markets are defined as quarters where the return of the Russell 2000® index was positive. Declining markets are defined as quarters where the return of the Russell 2000® index was negative. These positive and negative quarters are separated out from the intervening quarters, cumulated across the period, and annualized. Long-term investment returns include both rising and declining periods. Composite performance is calculated in US dollars and reflects reinvestment of all income and capital gains. Composite performance is shown net of investment advisory fees using a maximum annual investment management fee of 0.80% applied monthly; client results will be reduced by custody fees and other client expenses. Performance during certain periods reflects strong stock market performance that is not typical and may not be repeated. Individual client returns will vary due to fees, client-imposed investment constraints and client inception date. Beta measures the historical sensitivity of portfolio excess returns to movements in the excess return of the market index. Standard Deviation is a measure of absolute volatility of returns. The Russell 2000® index is unmanaged and does not incur management fees or other expenses associated with managed accounts. It is not possible to directly invest in an index. Please see the Composite’s GIPS® compliant presentation at the end of this presentation for important additional information and disclosure. Past performance does not predict future results. Source: eVestment and Atlanta Capital as of December 31, 2021.

3

Disciplined Investment ProcessHigh Quality Small Cap Equity

• Generally 60 – 70 holdings

• 5% max position sizes

• 30% absolute sector weights

• 17% 3-year average turnover*

• Russell 2000® Index

Financial Strength

Overlooked &Under-Followed

Innovative Business Model

Exclude companies with:

Focus List150 – 200

• Volatile earnings streams• Short operating histories• High levels of debt• Weak cash flow generation• Low returns on capital

Shareholder-Oriented Management

• Prudent profit taking

• Change in management or business strategy

• Deterioration of financial quality

• Excessive valuation

Step 1Create a ‘Focus List’ of High Quality Companies

Step 2Conduct ‘Onsite’ Fundamental Research

Step 3Construct a Focused Yet

Well-Diversified Portfolio

Step 4Monitor Holdings &Review Focus List

AttractiveValuation

Equity Universe of

Companies with Market

Capitalizations within the Range of Russell 2000®

Index

* Turnover based on representative client portfolio as of December 31, 2021 and subject to change; individual client results will vary.

4

Total Returns (%) QTD YTD 1 Yr 3 Yrs* 5 Yrs* 7 Yrs* 10 Yrs*Since

Inception*

High Quality Small Cap 11.21 21.12 21.12 19.71 15.03 14.30 15.79 16.92

Russell 2500™ ~ 2000® (03/01/15)

2.14 14.82 14.82 20.02 12.02 10.96 13.59 14.73

Annualized PerformanceCity of Pasadena Fire and Police Retirement System

*Performance returns over one year are annualized. The unmanaged benchmark index returns are shown for comparative purposes only and do not reflect the subtraction of any fees or transaction costs. It is not possible to directly invest in an index. Portfolio returns are gross of management fees unless otherwise noted. The deduction of an advisory fee would reduce an investor’s return. Past performance is not indicative of future results. All investments subject to loss. Please refer to the disclosures at the end of this presentation.

Source: ICE Data Services and Atlanta Capital as of December 31, 2021.

Account Summary

Performance Inception Date: June 30, 2009

Net Investment Contributions: -$8,180,449

Investment Dollars Earned: $13,513,671

Market Value (12/31/21): $5,333,222

5

Performance Drivers & DetractorsCity of Pasadena Fire and Police Retirement System

Source: Factset and Atlanta Capital as of December 31, 2021.The above attribution results are based on each day's ending holdings, and linked to generate attribution over longer periods. Cash in the portfolio is included in the analysis. Portfolio returns do not reflect applicable expenses and trading costs, or variations in transaction prices from end of day values. Past performance does not predict future results.

Total Portfolio

vs.

Russell 2000® Index

Top Contributorsto Relative Results

+ Positive selection in all eight sectors owned in the portfolio

+ Underweight Health Care, Communication Services, and Energy

+ Overweight Industrials and Staples

+ Positive selection in Health Care, Staples, Communication Services, Materials, and Financials

+ Overweight Industrials, Staples, Financials, Technology, and Discretionary

+ Underweight Health Care and Utilities

Top Detractorsfrom Relative Results

– Underweight Real Estate and Utilities – Negative stock selection in Consumer Discretionary, Energy, Industrials, and Real Estate

– Underweight Energy and Real Estate

Last 12-Mos. Attribution (%)Last 3-Mos. Attribution (%)

Stock Selection + Sector Allocation = Excess Return

9.1

6.4

2.7

Excess Return

Stock Selection

SectorAllocation

6.3

1.3

5.0

Excess Return

Stock Selection

SectorAllocation

6

Portfolio Transactions for the QuarterCity of Pasadena Fire and Police Retirement System

Any investment views, opinions/analyses, and forecasts expressed constitute judgments as of the date of this presentation and are subject to change at any time without notice. Future results may differ from forecasts. Source: Atlanta Capital as of December 31, 2021.

New Purchases Sector

None This Quarter

Complete Sales Sector

Emergent BioSolutions Inc. Health Care Develops and manufactures vaccines, treatments, and decontamination measures for public health and national security risks. We sold the position in order to fund other investment opportunities.

Raven Industries Industrials Manufactures agriculture technology and materials. Their acquisition by CNH Industrial was completed in November 2021.

YETI Hldgs. Consumer Discretionary Designs and manufactures premium products for outdoor and recreational use. We sold the position as the company’s market capitalization appreciated to the high end of our range.

7

8.7 8.44.8

26.6

18.416.0

12.0

1.0 0.0 0.0 0.04.13.5

18.1

3.8

15.2 14.5 16.011.3

3.1 4.47.5

2.70.0

05

1015202530354045

ConsumerStaples

Health Care Materials Industrials InformationTechnology

Financials ConsumerDiscretionary

CommunicationServices

Energy Real Estate Utilities Cash

Total PortfolioRussell 2000® Index

Portfolio CharacteristicsCity of Pasadena Fire and Police Retirement System

Sector Exposure

Source: FactSet and Atlanta Capital as of December 31, 2021.

Top Ten Holdings (%)

Kinsale Capital Group 3.3 Inter Parfums 3.2 Choice Hotels International 3.1 Forward Air Corp. 2.8 Qualys 2.7 ICU Medical 2.7 Beacon Roofing Supply 2.6 Selective Insurance Group 2.5 FTI Consulting 2.4 Dorman Products 2.3

Portfolio Metrics Russell 2000® Index Total Portfolio

# of Holdings 2,038 60

Wtd. Avg. Mkt. Cap (billions) $3.5 $4.1

Historical Earnings Growth 11% 8%

Forecasted Earnings Growth 17% 16%

Return on Equity 0% 11%

P/E (NTM, Excl. Neg. Earn.) 15.7x 20.7x

Dividend Yield 1.0% 0.8%

8

Current Portfolio HoldingsCity of Pasadena Fire and Police Retirement System

Source: FactSet and Atlanta Capital as of December 31, 2021. High Quality Small Cap Russell 2000® Index

Consumer Discretionary (%) 11.3 12.0

CHH Choice Hotels International 3.0 COLM Columbia Sportswear Company 1.6 DORM Dorman Products 2.2 FTDR Frontdoor 1.1 MNRO Monro Inc 1.2 SBH Sally Beauty Hldgs. 0.8 WWW Wolverine World Wide 1.7

Consumer Staples (%) 3.5 8.7

CENT Central Garden & Pet Company 1.3 IPAR Inter Parfums 3.1 JJSF J & J Snack Foods Corp. 2.1 LANC Lancaster Colony Corp. 1.0 SFM Sprouts Farmers Markets 1.0

Energy (%) 4.4 0.0

Financials (%) 16.0 16.0

APAM Artisan Partners Asset Mgmt. CL A 1.7 HLNE Hamilton Lane CL A 0.9 HLI Houlihan Lokey CL A 1.8 KNSL Kinsale Capital Group 3.3 PNFP Pinnacle Financial Partners 0.9 RLI RLI Corp. 1.4 SIGI Selective Insurance Group 2.4 SSB SouthState Corp. 1.4 UMPQ Umpqua Hldgs. Corp. 0.9 WABC Westamerica BanCorp. 1.0

Health Care (%) 18.1 8.4

ICUI ICU Medical 2.7 IART Integra LifeSciences Hldgs. Corp. 2.2 MLAB Mesa Laboratories 1.5 NRC National Research Corp. 1.1 PDCO Patterson Companies 0.7

Industrials (%) 15.2 26.6

AAON AAON 1.0 ALG Alamo Group Inc. 1.2 BECN Beacon Roofing Supply 2.5 CBZ CBIZ 1.9 EXPO Exponent 1.6 FWRD Forward Air Corp. 2.7 FCN FTI Consulting 2.4 HURN Huron Consulting Group Inc. 1.2 KAR KAR Auction Svcs. 0.9 KEX Kirby Corp. 1.4 LSTR Landstar System 1.7 MGRC McGrath RentCorp 0.9 MOGA Moog Inc. CL A 2.1 SSD Simpson Manufacturing Co. 1.7 UNF UniFirst Corp. 1.9 ECOL US Ecology 0.7

Communication Services (%) 3.1 1.0

TTGT TechTarget 0.9

Information Technology (%) 14.5 18.4

ACIW ACI Worldwide 1.4 BLKB Blackbaud 1.9 CASS Cass Information Systems 0.9 CVLT CommVault Systems 0.9 ENV Envestnet 1.9 PLUS ePlus inc. 1.4 NSIT Insight Enterprises 1.2 NATI National Instruments Corp. 1.4 PRFT Perficient 1.7 POWI Power Integrations 1.5 QLYS Qualys 2.7 ROG Rogers Corp. 1.0

Materials (%) 3.8 4.8

BCPC Balchem Corp. 0.9 FUL H.B. Fuller Company 1.2 SLGN Silgan Hldgs. Inc. 1.5 SCL Stepan Company 1.0

Real Estate (%) 7.5 0.0

Utilities (%) 2.7 0.0

Cash (%) 0.0 4.1

9

Investment Outlook & StrategyHigh Quality Small Cap

• In the 4th quarter, equity market participants began to question whether the current era of monetary and fiscal liquidity might be coming to an end.

• In November, stronger and more persistent inflationary data led the Federal Reserve to drop the word “transitory” from its inflation outlook and to announce a faster end to its bond buying program. At its December meeting, a majority of the FOMC members expected to see three interest rate hikes in 2022.

• It has been roughly two years since the world first saw the global spread of COVID-19. During that time, tremendous amounts of liquidity have been pushed into the global economy in the hopes of staving off an economic crisis. As excess liquidity is removed from the system, we believe that higher quality companies with positive earnings, strong balance sheets, and strong levels of profitability will become more attractive.

• During the quarter, we sold three names entirely.

• At quarter end, the representative portfolio held 60 stocks representing eight of the eleven economic sectors in the Russell 2000®.

• Relative to the benchmark, the portfolio was overweight Industrials, Staples, Technology, Materials, Discretionary, and Financials.

• The portfolio was underweight Health Care and Communication Services. There are no positions in Utilities, Real Estate, and Energy.

Investment Outlook

Portfolio Positioning

Any investment views, opinions/analyses, and forecasts expressed constitute judgments as of the date of this presentation and are subject to change at any time without notice. Future results may differ from forecasts. Source: Atlanta Capital as December 31, 2021.

10

Core Equity Team BiographiesAs of December 31, 2021

William O. Bell, IV, CFA

Mr. Bell serves as a portfolio manager for Atlanta Capital’s High Quality Small Cap, SMID Cap and Select Equity portfolios and is also a member of the Management Committee. Prior to joining the firm in 1999, Mr. Bell was a portfolio manager with the Florida State Board of Administration where he was responsible for managing their internal special situation equity fund. Mr. Bell holds the Chartered Financial Analyst designation and is a graduate of Florida State University where he earned a Bachelor of Science degree in Business.

Charles B. Reed, CFAMr. Reed serves as the Managing Director of the Core Equity Team and portfolio manager for Atlanta Capital's Small Cap, SMID Cap and Select Equity portfolios. He is also a member of the Management Committee. Prior to joining the firm in 1998, Mr. Reed was a portfolio manager with the Florida State Board of Administration where he was responsible for managing their internal special situation equity fund. Mr. Reed holds the Chartered Financial Analyst designation and is a graduate of Florida State University where he earned a Bachelor of Science degree in Finance.

W. Matt Hereford, CFAMr. Hereford serves as a portfolio manager for Atlanta Capital’s High Quality Small Cap, SMID Cap and Select Equity portfolios. He is also a member of the Management Committee. Prior to joining the firm in 2002, Mr. Hereford worked for five years at Invesco where he was responsible for managing their Concentrated Equity Portfolio. Mr. Hereford holds the Chartered Financial Analyst designation and is a graduate of the University of Mississippi, where he earned a Bachelor of Business Administration degree in International Business. Mr. Hereford is also a member of the CFA Society Atlanta.

J. Michael Jaje, Jr., CFAMr. Jaje serves as a Core Equity Investment Specialist for the firm. Prior to joining the firm in 2014, Mr. Jaje was a Partner and Marketing and Client Service representative with Buckhead Capital Management. Prior to Buckhead Capital, he was responsible for product management at Earnest Partners, served as an Institutional Equity Salesperson for Donaldson, Lufkin & Jenrette and Credit Suisse First Boston, and was a Regional Marketing Coordinator for the Managed Accounts Group of Invesco. Mr. Jaje holds the Chartered Financial Analyst designation and is a graduate of Vanderbilt University where he earned a Bachelor of Science degree in English.

11

GIPS® Performance Information and DisclosureHigh Quality Small Capitalization CompositeAs of December 31, 2021

1Period 01/01/2021 through 12/31/2021. Past performance does not predict or guarantee future results.2Internal Dispersion and Composite 3-yr Standard Deviation are calculated using Gross of Fee Returns.

PeriodComposite

Gross Return (%)Composite

Net Return (%)Russell 2000®

Return (%)Composite

3-yr Std. Dev. (%)2Russell 2000®

3-yr Std. Dev. (%)Number of Portfolios

InternalDispersion (%)2

CompositeAssets ($mil)

FirmAssets ($mil)

20211 20.70 19.75 14.82 18.40 23.35 43 0.32 2,337 29,908

2020 11.82 10.93 19.96 19.91 25.27 46 0.68 2,161 28,933

2019 27.08 26.09 25.53 12.67 15.71 44 0.18 1,712 25,479

2018 1.66 0.85 -11.01 11.99 15.79 46 0.29 1,490 19,188

2017 14.77 13.87 14.65 10.95 13.91 49 0.21 1,551 20,606

2016 19.00 18.07 21.31 12.69 15.76 53 0.19 1,544 17,646

2015 5.12 4.29 -4.41 12.68 13.96 54 0.16 1,259 16,054

2014 3.60 2.78 4.89 10.52 13.12 56 0.24 1,235 16,707

2013 42.34 41.24 38.82 12.80 16.45 57 0.51 1,294 18,082

2012 12.24 11.36 16.35 16.63 20.20 60 0.22 996 14,235

2011 10.31 9.44 -4.18 21.88 24.99 60 0.25 1,023 11,964

Atlanta Capital Management Company, LLC claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS Standards. Atlanta Capital Management has been independently verified for the periods January 1, 1999 through December 31, 2020.

A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. The High Quality Small Capitalization Composite has had a performance examination for the periods January 1,1999 through December 31, 2020. The verification and performance examination reports are available upon request.

GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.

Firm Definition: Atlanta Capital Management Company, LLC (Atlanta Capital or the Firm) is an SEC-registered investment adviser located in Atlanta, Georgia. The Firm became a majority-owned subsidiary of Eaton Vance Corp. in 2001. On March 1, 2021 Eaton Vance and its affiliates which included Atlanta Capital Management became a part of Morgan Stanley Investment Management, a division of Morgan Stanley. Atlanta Capital provides professional investment advisory services to a broad range of institutional and individual clients, and sub-advisory investment management to mutual funds and separately managed wrap fee programs. Atlanta Capital includes all discretionary accounts under management in its composites; total firm assets include discretionary and nondiscretionary accounts for which the firm has investment responsibility.

Composite Description: The investment objective of this style is to seek long-term capital growth. Accounts in this composite invest in common stocks of companies having market capitalizations within the range of companies comprising the Russell 2000®. Management seeks to invest in quality companies in strong financial condition whose equities are priced below their estimate of fair value. Characteristics of high quality companies include a history of sustained growth in earnings and operating cash flow, high returns on capital, attractive profit margins and leading industry positions. Investments are determined based primarily on fundamental analysis of a company’s financial trends, products and services, and other factors. Financial quality rankings provided by nationally-recognized rating services may be utilized as part of the investment analysis but are not solely relied upon. The portfolios are broadly diversified. All fully discretionary accounts that are managed in this style and do not pay a bundled or SMA wrap fee are eligible for inclusion in the composite.

Benchmark: The composite’s benchmark is the Russell 2000® Index, a widely accepted measure of the small-cap segment of the U.S. equity universe. The index includes the smallest 2000 companies in the Russell 3000®. Prior to July 1, 2005, the composite was also compared to the Russell 2000® Value Index as the portfolio construction process produced both core and value characteristics. Our high qualityinvestment philosophy tends to be defensive in nature and does consider valuation metrics, but it is more consistent with the philosophy and process of a core manager than a value manager. As of July 1, 2015, to clarify our process for potential clients, we determined that it was most appropriate to benchmark our performance results against the Russell 2000® Index only. The investment process for this strategy is not limited by the relative weights of a benchmark. Strategy deviations from the benchmark may include but are not limited to such factors as active management, exclusion/inclusion of securities held/not held in the index, over/underweighting specific sectors or securities, limitations in market cap, and/or client constraints. Indexes include the reinvestment of dividends and earnings, are unmanaged, and do not incur management fees, transaction costs or other expenses associated with separately managed accounts. It is not possible to directly invest in an index.

12

*Inception date is April 1, 1992.E7 01.14.22

Annualized Returns (%) for Periods Ending December 31, 2021 Cumulative (%)

Atlanta Capital High Quality Small Capitalization Composite 1 Year 3 Years 5 Years 7 Years 10 Years Since Inception* Since Inception*

Composite Gross of Fees 20.70 19.70 14.88 14.01 15.28 13.22 3918.20

Composite Net of Fees 19.75 18.76 13.98 13.11 14.37 12.32 3071.54

Russell 2000® Index 14.82 20.02 12.02 10.76 13.23 9.89 1555.46

Gross and Net Returns: Performance reflects reinvestment of all income and capital gains. Composite returns and market values are reported in U.S. dollars. Gross-of-fees performance returns are presented before management and custodial fees but after all trading expenses. Certain accounts in the composite do not pay commissions. Returns are presented net of withholding taxes. Net-of-fees performance returns are calculated by deducting the highest management fee of 0.80% from the monthly gross-of-fees returns. Other expenses will reduce a client’s returns. The annual fee schedule for this composite is as follows: 0.80% on the first $50 million in assets; 0.70% on the next $50 million in assets; 0.60% on the next $150 million. Actual management fees incurred by clients may vary.

Composite Dispersion: The annual internal composite dispersion is calculated using the asset-weighted standard deviation of annual gross of fee returns of those portfolios that were included in the composite for the entire year. Internal dispersion is shown only for composites that held at least six accounts for the entire year. The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period.

Notes to Composite: The creation date of this composite is July 1992. Effective July 1, 2010, the composite was redefined to include both taxable and tax-exempt institutional accounts. The composite up to that time included only tax-exempt institutional accounts. The change provides increased transparency to prospective clients by reducing the number of separate composites maintained for this strategy. There has been no change in investment objective or management style. Clients or prospective clients should not assume that they will have an investment experience similar to that indicated by past performance results, as shown on the Schedule. Returns may vary based upon differences in account size, timing of transactions and market conditions at the time of investment. Performance during certain time periods reflects the strong stock market performance and/or the strong performance of stocks held during those periods. This performance is not typical and may not be repeated. Investing entails risks and there is always the possibility of loss.

Other Matters: The Firm’s list of composite descriptions and policies for valuing investments, calculating performance and preparing GIPS Reports are available upon request. To request any additional information, please contact the Atlanta Capital Management Performance Department at 404-876-9411 or write to Atlanta Capital Management Company, LLC, 1075 Peachtree Street NE, Suite 2100, Atlanta, Georgia 30309, Attention Performance Department. Past performance does not predict future results.

13

Portfolio Administrative Review

Investment Summary, Holdings and Transactions

14

Portfolio Appraisal – Investment SummaryCity of Pasadena Fire and Police Retirement System

Total Cost ($) Total Market ($) Port Weight (%) Current Yield (%)

INVESTMENT SUMMARY as of 12/31/21

Equities

Communication Services 30,079 51,274 1.0 0.0Consumer Discretionary 449,003 639,842 12.0 0.7Consumer Staples 282,523 463,818 8.7 1.0Financials 532,021 853,852 16.0 2.3Health Care 362,738 449,029 8.4 0.3Industrials 940,748 1,419,836 26.6 0.5Information Technology 715,296 979,237 18.4 0.4Materials 163,328 253,715 4.8 1.0

Total Equities 3,475,736 5,110,602 95.9 0.8

Cash 221,161 221,161 4.2 0.0

Total Investments 3,696,897 5,331,763 100.0 0.8

Accrued Dividends 1,459

Total Portfolio 5,333,222

Source: Blackrock Aladdin and Atlanta Capital

15

Portfolio Appraisal – Asset StatementCity of Pasadena Fire and Police Retirement System

SharesCost/

Share ($)Market/Share ($)

Total Cost ($)

TotalMarket ($)

PortWhtg (%)

Current Yield (%)

ASSET STATEMENT as of 12/31/21

Equities

Communication Services

TechTarget, Inc. 536 56.12 95.66 30,079 51,274 1.0 0.0

Total 30,079 51,274 1.0 0.0

Consumer Discretionary

Choice Hotels International, Inc. 1,044 66.03 155.99 68,931 162,854 3.1 0.6

Columbia Sportswear Company 891 58.80 97.44 52,387 86,819 1.6 1.1

Dorman Products, Inc. 1,081 63.11 113.01 68,227 122,164 2.3 0.0

Frontdoor, Inc. 1,730 35.43 36.65 61,294 63,405 1.2 0.0

Monro Inc 1,165 59.05 58.27 68,791 67,885 1.3 1.8

Sally Beauty Holdings, Inc. 2,465 16.53 18.46 40,754 45,504 0.9 0.0

Wolverine World Wide, Inc. 3,166 27.99 28.81 88,619 91,212 1.7 1.4

Total 449,003 639,842 12.0 0.7


16


SharesCost/


Total Cost ($)

TotalMarket ($)

PortWhtg (%)

Current Yield (%)


Equities

Consumer Staples

Central Garden & Pet Company 1,361 33.53 52.63 45,631 71,629 1.3 0.0

Inter Parfums, Inc. 1,572 38.96 106.90 61,239 168,047 3.2 1.0

J & J Snack Foods Corp. 718 121.36 157.96 87,140 113,415 2.1 1.6

Lancaster Colony Corporation 329 116.27 165.60 38,251 54,482 1.0 1.9

Sprouts Farmers Markets, Inc. 1,895 26.52 29.68 50,261 56,244 1.1 0.0

Total 282,523 463,818 8.7 1.0

Financials

Artisan Partners Asset Management, Inc. Class A 2,000 38.37 47.64 76,743 95,280 1.8 9.0

Hamilton Lane Incorporated Class A 482 70.61 103.62 34,034 49,945 0.9 1.3

Houlihan Lokey, Inc. Class A 926 52.67 103.52 48,773 95,860 1.8 1.7

Kinsale Capital Group, Inc. 740 69.72 237.89 51,595 176,039 3.3 0.2

Pinnacle Financial Partners, Inc. 519 41.82 95.50 21,706 49,565 0.9 0.8


17


SharesCost/


Total Cost ($)

TotalMarket ($)

PortWhtg (%)

Current Yield (%)


Equities

Financials

RLI Corp. 688 61.44 112.10 42,273 77,125 1.5 0.9

Selective Insurance Group, Inc. 1,606 69.41 81.94 111,466 131,596 2.5 1.4

SouthState Corporation 960 75.41 80.11 72,392 76,906 1.4 2.4

Umpqua Holdings Corporation 2,514 11.77 19.24 29,599 48,369 0.9 4.4

Westamerica Bancorporation 921 47.17 57.73 43,440 53,169 1.0 2.9

Total 532,021 853,852 16.0 2.3

Health Care

ICU Medical, Inc. 607 181.26 237.34 110,027 144,065 2.7 0.0

Integra LifeSciences Holdings Corporation 1,782 46.47 66.99 82,804 119,376 2.2 0.0

Mesa Laboratories, Inc. 253 203.92 328.09 51,593 83,007 1.6 0.2

National Research Corporation 1,534 48.00 41.52 73,638 63,692 1.2 0.0

Patterson Companies Incorporated 1,325 33.72 29.35 44,676 38,889 0.7 3.5

Total 362,738 449,029 8.4 0.3


18


SharesCost/


Total Cost ($)

TotalMarket ($)

PortWhtg (%)

Current Yield (%)


Equities

Industrials

AAON, Inc. 678 33.62 79.43 22,795 53,854 1.0 0.5

Alamo Group Inc. 460 102.77 147.18 47,276 67,703 1.3 0.4

Beacon Roofing Supply, Inc. 2,367 32.79 57.35 77,622 135,747 2.6 0.0

CBIZ, Inc. 2,672 24.50 39.12 65,464 104,529 2.0 0.0

Exponent, Inc. 748 38.61 116.73 28,884 87,314 1.6 0.7

Forward Air Corporation 1,228 54.09 121.09 66,422 148,699 2.8 0.7

FTI Consulting, Inc. 839 103.42 153.42 86,770 128,719 2.4 0.0

Huron Consulting Group Inc. 1,291 52.25 49.90 67,450 64,421 1.2 0.0

KAR Auction Services, Inc. 3,180 18.71 15.62 59,488 49,672 0.9 0.0

Kirby Corporation 1,329 56.36 59.42 74,909 78,969 1.5 0.0

Landstar System, Inc. 531 67.55 179.02 35,867 95,060 1.8 0.6

McGrath RentCorp 658 64.93 80.26 42,724 52,811 1.0 2.2

Moog Inc. Class A 1,405 63.96 80.97 89,871 113,763 2.1 1.3

Simpson Manufacturing Co., Inc. 662 72.70 139.07 48,130 92,064 1.7 0.7


19


SharesCost/


Total Cost ($)

TotalMarket ($)

PortWhtg (%)

Current Yield (%)


Equities

Industrials

UniFirst Corporation 499 149.98 210.40 74,841 104,990 2.0 0.6

US Ecology, Inc. 1,300 40.18 31.94 52,236 41,522 0.8 0.0

Total 940,748 1,419,836 26.6 0.5

Information Technology

ACI Worldwide, Inc. 2,286 31.43 34.70 71,855 79,324 1.5 0.0

Blackbaud, Inc. 1,323 36.77 78.98 48,643 104,491 2.0 0.0

Cass Information Systems, Inc. 1,234 37.89 39.32 46,762 48,521 0.9 2.8

CommVault Systems, Inc. 737 76.03 68.92 56,037 50,794 1.0 0.0

Envestnet, Inc. 1,301 59.33 79.34 77,187 103,221 1.9 0.0

ePlus inc. 1,402 41.47 53.88 58,140 75,540 1.4 0.0

Insight Enterprises, Inc. 639 99.00 106.60 63,263 68,117 1.3 0.0

National Instruments Corporation 1,764 32.99 43.67 58,201 77,034 1.4 2.5

Perficient, Inc. 705 87.07 129.29 61,387 91,149 1.7 0.0

Power Integrations, Inc. 894 40.04 92.89 35,796 83,044 1.6 0.7


20


SharesCost/


Total Cost ($)

TotalMarket ($)

PortWhtg (%)

Current Yield (%)


Equities


Qualys, Inc. 1,055 93.41 137.22 98,544 144,767 2.7 0.0

Rogers Corporation 195 202.47 273.00 39,481 53,235 1.0 0.0

Total 715,296 979,237 18.4 0.4

Materials

Balchem Corporation 306 75.72 168.60 23,172 51,592 1.0 0.4

H.B. Fuller Company 818 68.00 81.00 55,626 66,258 1.2 0.8

Silgan Holdings Inc. 1,863 31.09 42.84 57,920 79,811 1.5 1.3

Stepan Company 451 59.00 124.29 26,611 56,055 1.1 1.1

Total 163,328 253,715 4.8 1.0

Total Equities 3,475,736 5,110,602 95.9 0.8

Cash 221,161 221,161 4.2 0.0

Total Investments 3,696,897 5,331,763 100.0 0.8

Accrued Dividends 1,459

Total Portfolio 5,333,222


21

Portfolio Appraisal – PurchasesCity of Pasadena Fire and Police Retirement System

PAR/Shares

Trade Date

Cost/Share ($)

Total Cost ($)

TRANSACTION SCHEDULE – PURCHASES from 10/01/2021 to 12/31/2021

Equities

INSIGHT ENTERPRISES INC 11 12/01/2021 -98.06 -1,078.87

NATIONAL RESEARCH CORP 26 12/01/2021 -42.03 -1,092.95


SPROUTS FARMERS MARKET INC 213 12/01/2021 -26.57 -5,662.69

WOLVERINE WORLD WIDE INC 62 12/01/2021 -31.33 -1,944.79


NATIONAL RESEARCH CORP 1 12/02/2021 -42.21 -42.23


SPROUTS FARMERS MARKET INC 177 12/02/2021 -26.74 -4,735.83



WOLVERINE WORLD WIDE INC 14 12/03/2021 -31.52 -441.49


PERFICIENT INC 215 12/06/2021 -127.66 -27,449.61


NATIONAL RESEARCH CORP 11 12/07/2021 -43.46 -478.51

ARTISAN PARTNERS ASSET MANAGEMENT 178 12/15/2021 -45.10 -8,034.40

ENVESTNET INC 73 12/15/2021 -81.87 -5,979.22

INTEGRA LIFESCIENCES HOLDINGS CORP 106 12/15/2021 -63.76 -6,763.31


22

Portfolio Appraisal – PurchasesCity of Pasadena Fire and Police Retirement System

PAR/Shares

Trade Date

Cost/Share ($)

Total Cost ($)

TRANSACTION SCHEDULE – PURCHASES from 10/01/2021 to 12/31/2021

Equities

LANCASTER COLONY CORP 10 12/15/2021 -158.20 -1,582.37

MONRO INC 18 12/15/2021 -55.57 -1,000.54

MONRO INC 23 12/15/2021 -56.42 -1,298.64

UNIFIRST CORP 36 12/15/2021 -207.91 -7,486.30


LANCASTER COLONY CORP 11 12/16/2021 -162.65 -1,789.58

MONRO INC 34 12/16/2021 -56.28 -1,914.96


Total Cost -104,308.23


23

Portfolio Appraisal – SalesCity of Pasadena Fire and Police Retirement System

PAR/Shares

Trade Date

Cost/Share ($)

Total Cost ($)

Price/Share ($)

Total Proceeds ($)

Gain Loss ($)

TRANSACTION SCHEDULE – SALES from 10/01/2021 to 12/31/2021

Equities

BALCHEM CORP 24 10/26/2021 75.72 1,817.28 154.34 3,703.08 1,885.70

ENVESTNET INC 220 10/26/2021 57.99 12,757.80 85.52 18,805.50 6,048.42

HAMILTON LANE INC CLASS A 119 10/26/2021 70.61 8,402.59 102.13 12,149.08 3,746.45

INTEGRA LIFESCIENCES HOLDINGS CORP 146 10/26/2021 45.37 6,624.02 70.67 10,311.47 3,687.37

INTER PARFUMS INC 216 10/26/2021 38.96 8,415.36 82.65 17,844.01 9,429.45

PINNACLE FINANCIAL PARTNERS INC 137 10/26/2021 41.82 5,729.34 98.99 13,556.57 7,826.76

UMPQUA HOLDINGS CORP 696 10/26/2021 11.77 8,191.92 20.89 14,512.49 6,318.14

WESTAMERICA BANCORPORATION 216 10/26/2021 47.17 10,188.72 56.69 12,236.03 2,048.11

AAON INC 59 11/23/2021 33.62 1,983.58 77.88 4,592.24 2,608.57

BALCHEM CORP 33 11/23/2021 75.72 2,498.76 172.73 5,698.74 3,199.84

BLACKBAUD INC 204 11/23/2021 36.77 7,501.08 80.16 16,345.21 8,844.73

CHOICE HOTELS INTERNATIONAL INC 191 11/23/2021 66.03 12,611.73 150.06 28,652.94 16,041.98

COLUMBIA SPORTSWEAR 31 11/23/2021 58.80 1,822.80 103.91 3,219.95 1,397.29

DORMAN PRODUCTS INC 269 11/23/2021 63.11 16,976.59 122.56 32,957.95 15,980.07

EXPONENT INC 67 11/23/2021 38.61 2,586.87 123.37 8,263.06 5,675.87

HAMILTON LANE INC CLASS A 35 11/23/2021 70.61 2,471.35 109.61 3,835.09 1,363.73

HOULIHAN LOKEY INC CLASS A 254 11/23/2021 52.67 13,378.18 115.68 29,371.52 15,993.05

HURON CONSULTING GROUP INC 209 11/23/2021 52.25 10,920.25 51.23 10,699.03 -220.49

LANDSTAR SYSTEM INC 80 11/23/2021 67.55 5,404.00 174.37 13,946.32 8,542.59


24


PAR/Shares

Trade Date

Cost/Share ($)

Total Cost ($)

Price/Share ($)

Total Proceeds ($)

Gain Loss ($)


Equities

MCGRATH RENT 58 11/23/2021 64.93 3,765.94 80.50 4,666.36 900.46

NATIONAL INSTRUMENTS CORP 218 11/23/2021 32.99 7,191.82 44.86 9,769.71 2,577.06

PERFICIENT INC 60 11/23/2021 69.26 4,155.60 134.90 8,091.55 3,935.96

POWER INTEGRATIONS INC 84 11/23/2021 40.04 3,363.36 103.98 8,730.91 5,367.55

QUALYS INC 95 11/23/2021 93.41 8,873.95 125.80 11,947.13 3,073.52

RLI CORP 96 11/23/2021 61.44 5,898.24 115.29 11,063.46 5,164.94

ROGERS CORP 77 11/23/2021 202.47 15,590.19 271.02 20,865.74 5,275.72

SALLY BEAUTY HOLDINGS INC 389 11/23/2021 16.53 6,430.17 21.56 8,372.36 1,941.04

SILGAN HOLDINGS INC 191 11/23/2021 31.09 5,938.19 42.55 8,119.36 2,181.21

SIMPSON MANUFACTURING INC 62 11/23/2021 72.70 4,507.40 120.11 7,444.61 2,936.99

SOUTHSTATE CORP 82 11/23/2021 75.41 6,183.62 82.40 6,753.48 570.01

TECHTARGET INC 66 11/23/2021 56.12 3,703.92 97.67 6,443.54 2,739.83

CHOICE HOTELS INTERNATIONAL INC 1 12/01/2021 66.03 66.03 142.74 142.69 76.66

EMERGENT BIOSOLUTIONS INC 129 12/01/2021 62.37 8,045.73 43.96 5,665.03 -2,380.10

HOULIHAN LOKEY INC CLASS A 15 12/01/2021 52.67 790.05 108.49 1,627.00 836.93



YETI HOLDINGS INC 23 12/01/2021 47.16 1,084.68 90.89 2,090.11 1,005.35



25


PAR/Shares

Trade Date

Cost/Share ($)

Total Cost ($)

Price/Share ($)

Total Proceeds ($)

Gain Loss ($)


Equities




PINNACLE FINANCIAL PARTNERS INC 4 12/02/2021 41.82 167.28 96.66 386.55 219.26







PINNACLE FINANCIAL PARTNERS INC 10 12/03/2021 41.82 418.20 96.36 963.24 545.01



EMERGENT BIOSOLUTIONS INC 45 12/06/2021 62.37 2,806.65 42.20 1,897.87 -908.57


HOULIHAN LOKEY INC CLASS A 5 12/06/2021 52.67 263.35 107.02 535.05 271.69





26


PAR/Shares

Trade Date

Cost/Share ($)

Total Cost ($)

Price/Share ($)

Total Proceeds ($)

Gain Loss ($)


Equities










Total 304,783.91 482,248.76 177,464.58


27

Proxy Report

28

City of Pasadena Fire and Police Retirement SystemReporting Period: 10/01/2021 to 12/31/2021

Inter Parfums, Inc.Meeting Date: 10/05/2021 Record Date: 08/09/2021 Shares Voted: 1,788

Issue VoteProposal Number

Elect Director Jean Madar1.1 For

Elect Director Philippe Benacin1.2 For

Elect Director Russell Greenberg1.3 For

Elect Director Philippe Santi1.4 For

Elect Director Francois Heilbronn1.5 For

Elect Director Robert Bensoussan1.6 For

Elect Director Patrick Choel1.7 For

Elect Director Michel Dyens1.8 For

Elect Director Veronique Gabai-Pinsky1.9 For

Elect Director Gilbert Harrison1.10 For

2 Advisory Vote to Ratify Named Executive Officers' Compensation

For

ePlus inc.Meeting Date: 11/09/2021 Record Date: 10/04/2021 Shares Voted: 701


1 Increase Authorized Common Stock For

1 Increase Authorized Common Stock For

Lancaster Colony CorporationMeeting Date: 11/10/2021 Record Date: 09/13/2021 Shares Voted: 308


1.1 Elect Director Neeli Bendapudi For

Elect Director William H. Carter1.2 For

Elect Director Michael H. Keown1.3 For

Advisory Vote to Ratify Named Executive Officers' Compensation

2 For

Ratify Deloitte & Touche LLP as Auditors3 For

29

For Financial Professionals/Institutional Clients only.

Founded in 1969, Atlanta Capital Management Company, LLC is an SEC-registered investment advisory firm that specializes in managing high quality stock and bond portfolios on behalf of institutional and individual investors. The Firm became a majority-owned subsidiary of Eaton Vance Corp. in 2001. On March 1, 2021, Eaton Vance and its affiliates which included Atlanta Capital Management became a part of Morgan Stanley Investment Management, a division of Morgan Stanley.

The firm continues to operate as Atlanta Capital Management Company, LLC and is located in Atlanta, Georgia. Atlanta Capital claims compliance with the Global Investment Performance Standards (GIPS®). Please contact the Performance Department at 404-876-9411 to request a complete list and descriptions of Atlanta Capital’s composites and/or a GIPS Report that adheres to the GIPS® standards.

This material is presented for informational and illustrative purposes only and should not be construed as investment advice, a recommendation to purchase or sell specific instruments, or to adopt any particular investment strategy. Opinions and estimates offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. This material has been prepared on the basis of publicly available information, internally developed data and other third party sources believed to be reliable, however, no assurances are provided and Atlanta Capital has not sought to independently verify information taken from public and third party sources. Information contained in this material is current as of the date indicated and is subject to change at any time without notice. Please contact Atlanta Capital if you require further clarification on the source or calculation methodology of any data or information presented within this material. Future results may differ significantly from those stated, depending on factors such as changes in instruments or financial markets or general economic conditions. Investing entails risks and there can be no assurance that Atlanta Capital will achieve profits or avoid incurring losses. Atlanta Capital does not provide legal, tax and/or accounting advice or services. Clients should consult with their own tax or legal advisor prior to entering into any transaction or strategy described herein.

Specific securities, sectors and portfolio characteristics mentioned are included only to provide a snap-shot illustrative sample based upon the portfolio management team’s current investment strategy as of the date indicated. There is no assurance that any securities or portfolio characteristics mentioned in this document are currently held or will remain in the portfolio at the time you receive this report or that securities have not been sold or repurchased. The specific securities mentioned are not representative of all the securities purchased, sold or recommended for advisory clients. It should not be assumed that any of the securities/sectors were or will be profitable, or that any recommendations in the future will be profitable or will equal the performance of the listed securities. Actual portfolio holdings and performance will vary for each client. This is no guarantee that a particular client’s account will hold any, or all, of the securities/sectors mentioned.

Additional Important Information and Disclosures

NOT FDIC INSURED | OFFER NO BANK GUARANTEE | MAY LOSE VALUE | NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY | NOT A DEPOSIT

30

• International stocks advanced even as inflation fears, China’s slowdown and worries about the spread of the Omicron variant weighed onthe global economy. European stocks rose, lifted by defensive-oriented sectors. Japanese stocks fell as supply chain woes and a weakenedcurrency weighed on growth. Chinese equities slid further amid a government crackdown in the private sector. Overall, the MSCI ACWI ex-USA Index rose 2%.

• Seven of 11 sectors gained in the MSCI ACWI ex-USA Index. The utilities sector rose 7%, led by double-digit gains from Spanish electricutility Iberdrola and U.K. operator National Grid. Information technology stocks rose 5%, boosted by semiconductor companies TaiwanSemiconductor Manufacturing, ASML and Tokyo Electron. The consumer staples sector advanced 4%. In contrast, the communicationservices sector lost 3% with double-digit declines from Japan-based Softbank and Singapore-based internet platform company SEA.

• Japanese equities fell in the fourth quarter, hampered by supply chain problems and concerns about Omicron’s impact on the globaleconomy. The MSCI Japan Index slipped 4.0%. Investors welcomed the October 31 election of Prime Minister Fumio Kishida, whoseLiberal Democratic Party retained power with a better-than-expected majority. Meanwhile, the Bank of Japan announced plans to taper itscorporate debt purchases but left its ultra-loose monetary policy unchanged.

• European stocks rallied as widespread vaccine rollouts and massive government stimulus measures helped lift the eurozone economy outof a pandemic-induced downturn. All sectors registered positive gains for the year, supported by pent-up consumer demand and a strongrebound in manufacturing activity. Overall, the MSCI Europe Index rose 16%.

• In foreign exchange markets, a strong U.S. dollar continued to get stronger, particularly as the Fed indicated it would raise interest ratesthree times in 2022. For the year, the dollar posted significant gains against the euro, the yen and most other currencies.

4Q 2021 EuroPacific Growth Fund® quarterly attribution report

As of December 31, 2021

Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.For institutional investors and financial professionals only. Not for use with the public.© 2022 Capital Group. All rights reserved.

Market index returns (net of dividends) Cumulative Average annualFor periods ended December 31, 2021 (%) 3 month YTD 1 year 3 years 5 years 10 years

MSCI All Country World Index (ACWI) 6.68 18.54 18.54 20.38 14.40 11.85

MSCI All Country World Index (ACWI) ex USA 1.82 7.82 7.82 13.18 9.61 7.28

MSCI World Index 7.77 21.82 21.82 21.70 15.03 12.70

MSCI EAFE (Europe, Australasia, Far East) Index 2.69 11.26 11.26 13.54 9.55 8.03

MSCI Emerging Markets Index –1.31 –2.54 –2.54 10.94 9.87 5.49

Standard & Poor's 500 Composite Index 11.03 28.71 28.71 26.07 18.47 16.55

Market overview

Item: 6bDate: 02/16/22

2

EuroPacific Growth Fund

*Returns reflect results of the fund‘s current and former benchmark indexes: MSCI All Country World ex USA Index, April 2007–present; MSCI EAFE Index, fund inception–March 2007. Results reflect net dividends.

**Results reflect gross dividends through December 31, 2000 and net dividends thereafter.

We offer a range of share classes designed to meet the needs of retirement plan sponsors and participants. The different share classes incorporate varying levels of advisor compensation and service provider payments. Because Class R-6 shares do not include any recordkeeping payments, expenses are lower and results are higher. Other share classes that include recordkeeping costs have higher expenses and lower results than Class R-6.

Investment results assume all distributions are reinvested and reflect applicable fees and expenses. When applicable, results reflect fee waivers and/or expense reimbursements, without which they would have been lower. Visit capitalgroup.com for more information. Certain share classes were offered after the inception dates of some funds. Results for these share classes prior to the dates of first sale are hypothetical based on the results of the original share class of the fund without a sales charge, adjusted for estimated annual expenses. (Inception date: Class F-2, August 1, 2008; Class F-3, January 27, 2017; Class R-6, May 1, 2009.) Results for certain funds with an inception date after the share class inception also include hypothetical returns because those funds' shares sold after the funds' date of first offering. Visit capitalgroup.com for more information on specific expense adjustments and the actual dates of first sale. Expense ratios are as of each fund’s prospectus available at the time of publication.

Market indexes are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index. There have been periods when the fund has lagged the index.

Although our portfolios are compared to their benchmarks, portfolio managers manage them to be consistent with their investment objectives.

Investing outside the United States involves risks, such as currency fluctuations, periods of illiquidity and price volatility, as more fully described in the prospectus. These risks may be heightened in connection with investments in developing countries.

Results

Returns (%) Cumulative Average annual

Expense ratio For periods ended December 31, 2021 3 months YTD 1 year 3 years 5 years 10 years Lifetime

EuroPacific Growth Fund R-6 –1.12 2.84 2.84 17.95 12.87 10.01 11.07 0.46

EuroPacific Growth Fund F-3 –1.13 2.85 2.85 17.96 12.87 10.00 11.11 0.46

EuroPacific Growth Fund F-2 –1.15 2.74 2.74 17.83 12.75 9.90 10.96 0.57

Historical Benchmarks Index* 1.82 7.82 7.82 13.18 9.61 7.28 8.34 n/a

MSCI All Country World Index (ACWI) ex USA** 1.82 7.82 7.82 13.18 9.61 7.28 n/a n/a

Morningstar Foreign Large Growth Category Average 2.01 7.69 7.69 20.03 14.11 10.16 8.19 n/a

Lipper International Funds Average 2.26 n/a 9.60 14.91 10.19 8.10 8.72 n/a

Fund Inception: April 16, 1984

Figures shown are past results for Classes F-2, F-3 and R-6 shares and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Prices and returns will vary, so investors may lose money. Investing for short periods makes losses more likely. For current information and month-end results, visit capitalgroup.com.


4Q 2021

Investment objective and approach

• The fund's investment objective is to provide long-term growth of capital.

• Invests in attractively valued companies in developed and emerging markets that are positioned to benefit from innovation, global economic growth, increasing consumer demand or a turnaround in business conditions.

Review and attribution — Quarter to date

• In an environment where international equities are still searching for direction looking to signs of inflation or reopening strength, the fund finished in negative territory and behind its primary benchmark, the MSCI All Country World Index (ACWI) ex USA. Stock selection was the primary driver.

• EUPAC’s more flexible approach toward investing to an objective of long-term growth of capital means that it tends to own a broader set of companies and industries, which can help soften the blow during transitions in market leadership. It’s also true that the fund often holds more companies domiciled in emerging markets than peers, which can influence peer group rankings.

• Health care was the largest sector detractor in the quarter due primarily to concerns that China’s contract manufacturing companies would be included on the U.S. Commerce Department’s list of restricted investments. While the new additions did not ultimately include these companies, it does highlight market nervousness about the broader impact of U.S.-China relations.

• Information technology stocks also detracted. Holdings in Brazil, including payments companies PagSeguro Digital and StoneCo, declined as higher growth stocks were hit by inflation and interest rate concerns.

• Keeping with the theme of weakened growth stocks, the communication services sector detracted from results as Sea Ltd.

fell on worries about slowing growth in gaming and higher investment in its e-commerce business.

• Within financials, AIA Group and many Indian banks pulled back on continued concerns around these businesses operating in a COVID-constrained environment.

• From a regional perspective, stock selection in Singapore and emerging markets detracted.

• Contributing to results during the quarter, stock selection in materials and energy led the way. Sika, a specialty chemicals company for the construction industry, was the top stock for the quarter and Canadian Natural Resources benefited from the strength in the energy sector.

• As the market tries to find its path favoring either growth or value stocks, the fund continues to be managed to an objective of long-term growth of capital, investing wherever the best capital appreciation opportunities lie.

3


Review and attribution — Year to date

• As the market continues to grapple with uncertainties around inflation, interest rates and the path of a COVID recovery, on a year-to-date basis the international markets have marched higher. EUPAC, while positive for the year, finished below the benchmark. Stock selection across a variety of sectors drove the results.

• The largest detractor was stock selection in financials. The fund held fewer positions than the universe while also seeing weakness in Indian banks, Asia-based insurance companies and stock exchanges, which pulled back after a big run amid lower volatility in markets.

• Health care stocks, in particular Japanese pharmaceutical holdings, detracted from results as they were held back by weak markets in Japan and selling pressure. Japan was among the top detractors year to date from a regional perspective.

• Within utilities, offshore wind developer Orsted detracted on tough earnings and increased competition from other players in the energy sector looking to participate in renewable energy projects.

• Among the top contributors for the year-to-date period are a mix of traditional growth companies, like ASML, along with companies from the energy, materials and financials sectors, illustrating the broad and flexible approach the fund can take to achieve its objective of long-term growth of capital.

• In emerging markets, China was the top contributor mainly due to the fund’s lighter exposure to areas feeling the pressure of recent regulatory changes. Offsetting that, though, was weakness in Brazil where digital payment stocks and stock exchanges came under pressure in the current environment, in addition to India’s private sector banks.

4

EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA — Quarter to date

5

Data as of December 31, 2021, and is preliminary. Data are gross of fees, unless otherwise noted.*Average position for time period; portfolio holdings change.EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA with net dividends reinvested.Source: MSCI. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. Cash includes short-term securities, accrued income and other assets less liabilities as well as currencies. It may also include investments in money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.See attribution methodology disclosure for additional information.

Attribution summary (relative)

Largest contributors (%) Portfolioweight*

Active weight

Stockreturn

Relative contribution

SIKA AG 1.35 1.16 31.15 0.29

ALIBABA GROUP HOLDING LTD 0.10 –0.93 –16.51 0.16

LVMH MOET HENNESSY LOUIS VUITTON SE 2.13 1.32 15.54 0.16

ASML HOLDING NV 3.96 2.73 7.63 0.15

CANADIAN NATURAL RESOURCES LTD 1.17 0.98 17.04 0.13

FIRST QUANTUM MINERALS LTD 0.55 0.50 29.46 0.12

UNICREDIT SPA 0.82 0.72 15.56 0.11

KINGSPAN GROUP PLC 0.69 0.63 19.80 0.10

ENN ENERGY HOLDINGS LTD 0.73 0.68 14.67 0.09

Kweichow Moutai Co Ltd 0.88 0.80 13.58 0.09

Country (%) Portfolioweight*

Active weight

Countryselection

Security selection


Japan 10.44 –4.24 0.17 0.24 0.51

Netherlands 7.38 4.25 0.11 0.07 0.14

South Korea 0.66 –2.98 0.10 0.04 0.12

Italy 1.71 0.13 0.01 0.06 0.07

Saudi Arabia 0.00 –0.99 0.03 0.00 0.02

Singapore 2.45 1.70 –0.10 –0.62 –0.71

Brazil 3.98 2.78 –0.25 –0.45 –0.70

United Kingdom 5.51 –3.65 –0.09 –0.42 –0.56

India 7.50 3.92 –0.11 –0.41 –0.49

United States 3.59 3.59 0.00 –0.43 –0.40

Sector (%) Portfolioweight*

Active weight

Sectorselection

Security selection


Materials 6.96 –1.01 –0.01 0.53 0.51

Energy 5.79 0.88 –0.01 0.08 0.07

Real estate 0.52 –1.94 0.08 –0.04 0.04

Consumer staples 4.66 –3.84 –0.07 0.10 0.04

Utilities 1.54 –1.49 –0.07 –0.08 –0.15

Industrials 10.59 –1.66 –0.01 –0.14 –0.15

Consumer discretionary 12.98 0.31 0.00 –0.32 –0.32

Financials 14.96 –4.35 0.01 –0.71 –0.70

Communication services 5.57 –0.68 0.05 –0.80 –0.75

Information technology 20.19 6.91 0.25 –1.15 –0.90

Health care 11.54 2.18 –0.04 –0.91 –0.95

Cash 4.70 4.70 –0.05 0.00 –0.05

Largest detractors (%) Portfolioweight*

Active weight

Stockreturn


Sea Ltd 2.20 2.11 –29.81 –0.67

MERCADOLIBRE INC 1.83 1.83 –19.71 –0.51

PagSeguro Digital Ltd 0.51 0.51 –49.30 –0.41

WuXi Biologics (Cayman) Inc 1.32 1.14 –26.95 –0.38

ISR: RELIANCE INDUSTRIES LTD 2.70 2.34 –6.05 –0.19

AIA GROUP LTD 1.65 1.16 –12.75 –0.18

ISR: FLUTTER ENTERTAINMENT PLC 0.80 0.70 –19.90 –0.18

StoneCo Ltd 0.24 0.24 –51.44 –0.17

ISR: HDFC BANK LTD 1.63 1.63 –10.97 –0.17

M3 INC 0.51 0.42 –29.77 –0.16

6

EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA — Year to date

Data as of December 31, 2021, and is preliminary. Data are gross of fees, unless otherwise noted.

*Average position for time period; portfolio holdings change.

EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA with net dividends reinvested.

Source: MSCI. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.

Cash includes short-term securities, accrued income and other assets less liabilities as well as currencies. It may also include investments in money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.

See attribution methodology disclosure for additional information.

Attribution summary (relative)

Largest contributors (%) Portfolioweight*

Active weight

Stockreturn


ASML HOLDING NV 3.49 2.40 66.12 1.02

ISR: ALIBABA GROUP HOLDING LTD 0.51 –0.90 –49.04 0.68

CANADIAN NATURAL RESOURCES LTD 1.03 0.88 84.37 0.47

SIKA AG 1.15 0.98 53.94 0.40

Kuaishou Technology 0.01 0.01 183.82 0.32

UNICREDIT SPA 0.69 0.60 66.88 0.30

LVMH MOET HENNESSY LOUIS VUITTON SE 2.02 1.25 33.71 0.30

SARTORIUS AG 0.65 0.59 61.27 0.22

Pinduoduo Inc 0.00 –0.18 –67.19 0.21

ISR: RELIANCE INDUSTRIES LTD 2.51 2.20 17.66 0.21

Country (%) Portfolioweight*

Active weight

Countryselection

Security selection


China 9.54 –1.46 0.58 0.41 0.95

Netherlands 6.70 3.89 0.74 0.23 0.89

South Korea 0.70 –3.26 0.40 –0.03 0.53

Switzerland 3.60 –2.45 –0.17 0.49 0.31

Sweden 2.12 –0.20 –0.05 0.19 0.16

Brazil 5.56 4.15 –1.13 –0.78 –1.78

Japan 10.75 –4.21 –0.07 –1.28 –1.08

United Kingdom 5.86 –3.16 –0.19 –0.77 –1.08

Hong Kong 3.60 1.56 –0.21 –0.59 –0.73

United States 3.23 3.23 0.00 –0.62 –0.47

Sector (%) Portfolioweight*

Active weight

Sectorselection

Security selection


Materials 7.20 –1.05 –0.02 0.46 0.43

Consumer staples 4.50 –3.98 0.15 0.05 0.20

Energy 5.60 1.03 0.22 –0.12 0.10

Real estate 0.54 –1.99 0.20 –0.21 –0.01

Industrials 9.79 –2.15 –0.09 –0.07 –0.16

Information technology 18.23 5.19 0.45 –0.62 –0.17

Consumer discretionary 14.57 1.25 –0.15 –0.07 –0.21

Communication services 6.21 –0.48 0.11 –0.59 –0.47

Utilities 2.37 –0.72 –0.01 –0.49 –0.50

Health care 11.88 2.63 –0.15 –1.35 –1.50

Financials 15.04 –3.80 –0.29 –1.57 –1.86

Cash 4.07 4.07 –0.29 0.00 –0.29

Largest detractors (%) Portfolioweight*

Active weight

Stockreturn


MERCADOLIBRE INC 2.11 2.11 –19.51 –0.67

DAIICHI SANKYO CO LTD 1.43 1.26 –25.17 –0.60

StoneCo Ltd 0.40 0.40 –79.91 –0.60

PagSeguro Digital Ltd 0.71 0.71 –53.90 –0.55

CHUGAI PHARMACEUTICAL CO LTD 0.67 0.57 –38.24 –0.41

ISR: Kuaishou Technology 0.16 0.14 –76.64 –0.38

AIA GROUP LTD 2.10 1.56 –16.56 –0.38

M3 INC 0.56 0.45 –46.61 –0.35

Orsted AS 0.52 0.41 –36.78 –0.32

ISR: FLUTTER ENTERTAINMENT PLC 0.91 0.80 –22.74 –0.30


Portfolio positioning and outlook

7

• The information technology and health care sectors are the fund’s largest exposures relative to the index. Semiconductors and IT services are prominent in the technology sector, while life sciences tools and health care equipment are emphasized in health care. Entertainment stocks are well represented in communication services while aerospace and defense remain large positions in the industrials sector. The fund’s limited exposure to autos, banks and large pharmaceutical companies also stands out relative to the index.

• The fund’s exposure to the consumer discretionary sector, off its 10-year high reached in October 2020, was the largest sector trim for the year. Many of those companies had reached elevated valuations or received increased attention from China’s recent regulatory focus.

• The fund’s exposure to Chinese companies is down meaningfully year over year from a reduction in internet platform companies primarily. At the end of 2020, China positions represented 11.6% of fund assets; it’s now 7.4%. Indian companies were also reduced over the period. Managers trimmed exposure to private sector bank stocks on worries about a slowing economy and concerns about how a lingering pandemic might impact loan losses.

• Portfolio managers have added to technology companies like Taiwan Semiconductor and those with unique software or platform support.

• Investors also added to companies in the industrials sector that are poised to benefit from strong trends in semiconductor equipment and battery technology for electronic vehicles.

• Exposure to emerging markets companies ended the period at 23.9%, down from 26.4% last quarter. It remained lower than the index weighting of 28.9%. The fund’s emerging markets holdings are concentrated in just a handful of countries, with the top 5 capturing nearly all of the fund’s exposure: namely China, India, Brazil, Taiwan and Russia. The composition of the fund’s convictions has changed in these countries over the years. For example, health care stocks in China recently emerged as a focus while consumer discretionary and communication services have decreased. These exposures change and evolve according to the fund managers’ bottom-up convictions in companies. Over the longer term, security selection in emerging markets has been a regional contributor for the three-year, five-year and 10-year periods.

• Cash in the fund rose over the course of the year, up from an all-time low of 2.6% to 4.9%, still below its 10-year average.

8


Data shown reflect the top holdings in each sector. The information shown may include affiliates of the same issuer when applicable.

Cash and equivalents includes short-term securities, accrued income and other assets less liabilities. It may also include investments in money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.

Index reflects MSCI All Country World Index (ACWI) ex USA. Source: MSCI. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.

Totals may not reconcile due to rounding.

Sector diversification

Portfolio (%) Index (%) 12/31/20 12/31/21 12/31/21

Energy 6.0 5.7 4.8Reliance Industries 2.6Canadian Natural Resources 1.2Petrobras 0.5

Materials 6.6 7.4 8.1Vale 1.6Sika 1.5DSM 0.7

Industrials 8.6 11.1 12.6Airbus 1.6Kingspan Group 0.8Recruit Holdings 0.7

Consumer discretionary 17.1 12.9 12.1LVMH Moet Hennessy Louis Vuitton 2.2MercadoLibre 1.5Sony Group 0.8

Consumer staples 4.6 5.0 8.6Kweichow Moutai 0.9Nestlé 0.9Danone 0.3

Health care 13.4 11.5 9.4Daiichi Sankyo 1.5WuXi Biologics (Cayman) 1.2Sartorius 0.8

Portfolio (%) Index (%) 12/31/20 12/31/21 12/31/21

Financials 14.4 14.5 19.2HDFC Bank 1.4AIA Group 1.3UniCredit 1.0

Information technology 16.1 20.5 13.6ASML 4.0TSMC 3.0Shopify 1.7

Communication services 6.6 4.7 6.1SEA 1.5Bharti Airtel 0.6Tencent 0.5

Utilities 3.0 1.5 3.1ENN Energy Holdings 0.8China Gas 0.2

Real estate 0.8 0.6 2.4ESR 0.2Country Garden 0.1

Total equity 97.3 95.1 100.0

Total fixed income 0.1 — —

Total cash & equivalents 2.6 4.9 —

Total assets 100.0 100.0 100.0

9

Portfolio (%) Index (%) 12/31/20 12/31/21 12/31/21

Latin America 6.6 3.8 2.0Brazil 6.4 3.7 1.2Mexico 0.2 0.1 0.6Chile — — 0.1Peru — — 0.1Colombia — — 0.0Uruguay — — 0.0Argentina — — 0.0

Southeast Asia 8.5 7.4 5.1India 7.9 7.1 3.6Thailand 0.2 0.1 0.5Indonesia 0.3 0.1 0.4Malaysia — — 0.4Philippines 0.2 0.1 0.2Pakistan — — 0.0

Far East Asia 14.7 11.6 17.7China 11.6 7.4 9.3Taiwan 2.3 3.4 4.7South Korea 0.8 0.8 3.7

Emerging Europe/Middle East/Africa 1.2 1.2 4.1Russia 0.7 0.9 1.0 Saudi Arabia — — 1.0 South Africa 0.3 0.1 0.9 United Arab Emirates — — 0.3 Qatar — — 0.2 Poland 0.1 — 0.2 Kuwait — — 0.2 Hungary 0.1 0.1 0.1 Turkey 0.0 — 0.1 Greece — — 0.1 Czech Republic — — 0.0 Egypt — — 0.0 Iceland — — 0.0 Kazakhstan — — 0.0

Total emerging markets 31.0 23.9 28.9Total equity 97.3 95.1 100.0 Total fixed income 0.1 — —Total cash & equivalents 2.6 4.9 —Total assets 100.0 100.0 100.0

Geographic diversificationEuroPacific Growth Fund

Cash and equivalents includes short-term securities, accrued income and other assets less liabilities. It may also include investments in money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.

Index reflects MSCI All Country World Index (ACWI) ex USA. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.

Totals may not reconcile due to rounding.

Portfolio (%) Index (%) 12/31/20 12/31/21 12/31/21

Eurozone 25.2 28.9 21.2France 8.9 10.1 7.5Germany 5.3 5.0 5.6Netherlands 5.3 7.2 3.1Italy 1.6 2.0 1.6Spain 1.5 1.5 1.4Finland 0.5 0.3 0.7Belgium 0.3 0.6 0.6Ireland 1.8 2.2 0.4Austria 0.0 0.0 0.2Portugal — — 0.1

Other Europe/Middle East 13.9 16.2 21.1United Kingdom 6.3 5.3 9.3Switzerland 3.0 5.0 6.7Sweden 1.5 2.8 2.5Denmark 2.2 2.0 1.7Israel 0.8 0.9 0.5Norway 0.0 0.2 0.4

Pacific Basin 20.1 16.8 21.4 Japan 13.7 10.7 14.3 Australia 1.1 1.8 4.4 Hong Kong 3.7 2.4 1.8 Singapore 1.6 1.9 0.8 New Zealand — — 0.1

North America 7.1 9.3 7.5 Canada 4.0 5.7 7.5 United States 3.1 3.6 0.0

Total developed markets 66.3 71.2 71.1


RankingCurrent

12/31/21Previous12/31/20 Holding Sector Country

Total portfolio (%)

Total index (%)

1 2 ASML Information technology Netherlands 4.0 1.2

2 5 TSMC Information technology Taiwan 3.0 2.0

3 1 Reliance Industries Energy India 2.6 0.3

4 9 LVMH Moet Hennessy Louis Vuitton Consumer discretionary France 2.2 0.8

5 13 Shopify Information technology Canada 1.7 0.6

6 6 Vale Materials Brazil 1.6 0.2

7 11 Keyence Information technology Japan 1.6 0.4

8 14 Airbus Industrials France 1.6 0.3

9 22 Sika Materials Switzerland 1.5 0.2

10 3 MercadoLibre Consumer discretionary United States 1.5 —

Total companies 1 through 10 21.3 6.0

11 12 SEA Communication services Singapore 1.5 0.1

12 7 Daiichi Sankyo Health care Japan 1.5 0.2

13 8 HDFC Bank Financials India 1.4 —

14 4 AIA Group Financials Hong Kong 1.3 0.4

15 29 Canadian Natural Resources Energy Canada 1.2 0.2

16 15 WuXi Biologics (Cayman) Health care China 1.2 0.2

17 50 UniCredit Financials Italy 1.0 0.1

18 20 Kweichow Moutai Consumer staples China 0.9 0.1

19 — Nestlé Consumer staples Switzerland 0.9 1.4

20 233 Kingspan Group Industrials Ireland 0.8 0.1

Total companies 1 through 20 33.0 8.8

Index reflects MSCI ACWI ex USA Index with net dividends reinvested. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. The information shown may include affiliates of the same issuer when applicable.Totals may not reconcile due to rounding.

Twenty largest equity holdings

10

11

Portfolio changes (Buy and sell activity)EuroPacific Growth Fund

Top five largest equity purchases

Security nameChange (%) from buying

Current weight %

Kingspan Group 0.53 0.82 TSMC 0.37 3.04 Siemens Healthineers 0.36 0.42 Banco Santander 0.35 0.35 Sonova Holding 0.34 0.62

Top five largest equity reductions

Security nameChange (%) from selling

Current weight %

Alibaba Group –1.60 0.04 Chugai –0.69 0.13 Petrobras –0.66 0.48 adidas –0.64 0.19 AIA Group –0.62 1.34

Top five largest equity purchases

Security nameChange (%)

buyingCurrent

weight % Fortescue Metals Group 0.25 0.33 Evolution 0.24 0.64 Coupang 0.24 0.30 Grab 0.22 0.18 Shopify 0.21 1.67

Top five largest equity reductions

Security nameChange (%) From selling

CurrentWeight %

AIA Group –0.47 1.34 MercadoLibre –0.35 1.54 SEA –0.31 1.53 Petrobras –0.30 0.48 HDFC Bank –0.27 1.43

YTD 2021 4Q 2021

Data as of December 31, 2021.Data reflects purchases and sales of common stock, which also includes depository receipts. Data excludes fixed income and other non-equity securities.Change (%) from buying/selling is calculated by first calculating the cumulative net transactions by the fund in the specified security during the reported timeframe. The cumulative net transactions are then divided by the fund’s weighted average total net assets during that same timeframe.

EuroPacific Growth FundAs of December 31, 2021

Attribution methodology notes

Equity attribution data was produced using FactSet, a third-party software system, based on prior calendar quarter-end publicly disclosed portfolio(s). Securities in their initial period of acquisition may not be included in this analysis. The analysis includes equity investments only and excludes forward contracts and fixed income investments, if applicable. It does not account for buy and sell transactions that might have occurred during the quarter. As a result, average portfolio weight percentages are approximate and the actual average portfolio weight percentages might be higher or lower. Data elements such as pricing, income, market cap, etc. were provided by FactSet. The index provided for attribution is based on FactSet’s methodology. The index is a broad-based market benchmark and may not be used by Capital Group as the sole comparative index for this portfolio. Capital Group believes the software and information from FactSet to be reliable. However, Capital Group cannot be responsible for inaccuracies, incomplete information or updating of information by FactSet.

Relative contribution measures the impact a security has on the portfolio's excess return (the portfolio return minus the benchmark return). Past results are not indicative of results in future periods.

All of the attribution data contained in the report that display the portfolio weights, benchmark weights and weight differences are average weights over the period. The mnemonic ‘ISR:’ indicates that two or more issues of the same issuer have been rolled up and thus what is presented in the report is the Issuer Level data.

Important information

Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectuses and summary prospectuses, which can be obtained from a financial professional and should be read carefully before investing. Statements attributed to an individual represent the opinions of that individual as of the date published and do not necessarily reflect the opinions of Capital Group or its affiliates. This information is intended to highlight issues and should not be considered advice, an endorsement or a recommendation.

Portfolios are managed, so holdings will change. Certain fixed income and/or cash and equivalents holdings may be held through mutual funds managed by the investment adviser or its affiliates that are not offered to the public.

Results for the Lipper indexes do not reflect sales charges. Lipper indexes track the largest mutual funds (no more than 30), represented by one share class per fund, in the corresponding Lipper category. Lipper categories are dynamic and averages may have few funds, especially over longer periods. To see the number of funds included in the Lipper category for each fund's lifetime, please see the Quarterly Statistical Update, available on our website.

© 2022 Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from this information. Past performance is no guarantee of future results.

MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.

The Standard & Poor’s 500 Composite Index ("Index") is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Capital Group. Copyright © 2022 S&P Dow Jones Indices LLC, a division of S&P Global, and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part is prohibited without written permission of S&P Dow Jones Indices LLC.

All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.

American Funds Distributors, Inc., member FINRA.

ITGEQSX-016-0122O CGD/10219-S84427 12

Institutional client notice and addendum for retirement plans

Capital Group, its affiliates and representatives (collectively “Capital Group”) engage in sales, marketing and servicing activities as part of our efforts to distribute our services and products (“distribution activities”). Our distribution activities reflect our understanding of the following:

1. The Plan is represented by a “fiduciary” within the meaning of section 3(21)(A) of ERISA with full authority and responsibility for the decision to enter into transactions or service relationships (the “Plan fiduciary”);

2. The Plan fiduciary is responsible for exercising independent judgment in evaluating any transactions or services and is capable of evaluating investment risks independently, both in general and with regard to particular transactions and investment strategies that Capital Group may market to the Plan; and

3. Capital Group is not undertaking to provide impartial investment advice, act as an impartial adviser or provide advice in a fiduciary capacity in connection with its distribution activities, and the parties agree that such activities will not be used as a primary basis for the Plan’s investment decisions.

This Notice does not apply beyond distribution activities. Thus, for example, Capital Group will act as a fiduciary and as an investment manager under ERISA to the extent provided in the terms of a participation or investment management agreement.

13

International Stock FundObjectives

The Fund seeks long-term growth of principal and income.

Strategy The Fund invests primarily in a diversified portfolio of equity securities issued by non-U.S. companies from at least three different countries, including emerging market countries. The Fund is not required to allocate its investments in set percentages in particular countries. The Fund typically invests in medium-to-large well established companies based on standards of the applicable market.

Risks The Fund is subject to market risk, meaning holdings in the Fund may decline in value for extended periods due to the financial prospects of individual companies or due to general market and economic conditions. Investing in non-U.S. securities may entail risk due to foreign economic and political developments; this risk may be higher when investing in emerging markets. Please read the prospectus for specific details regarding the Fund’s risk profile.

General InformationNet Asset Value Per Share $47.29Total Net Assets (billions) $44.12021 Expense Ratio 0.62%Expense Ratio per 5/1/21 Prospectus 0.63%2021 Portfolio Turnover Rate 18%30-Day SEC Yield(a) 1.76%Active Share(b) 90%Number of Companies 71Fund Inception 2001No sales charges or distribution fees

Investment Manager: Dodge & Cox, San Francisco. Managed by the International Equity Investment Committee, whose seven members’ average tenure at Dodge & Cox is 22 years.

Ten Largest Equity Holdings (% Market Value)(d)(e) Fund

GlaxoSmithKline PLC (United Kingdom) 4.0Sanofi (France) 3.8UBS Group AG (Switzerland) 3.4Novartis AG (Switzerland) 3.4Roche Holding AG (Switzerland) 3.3BNP Paribas SA (France) 3.0Samsung Electronics Co., Ltd. (South Korea) 2.9ICICI Bank, Ltd. (India) 2.9Banco Santander SA (Spain) 2.6Barclays PLC (United Kingdom) 2.4

Region Diversification (% Market Value)(d)(g) Fund MSCI EAFE

Europe (excluding United Kingdom) 39.8 51.1United Kingdom 16.4 14.6Asia Pacific (excluding Japan) 13.4 11.1Japan 11.6 22.5Canada 6.1 0.0United States 5.9 0.0Latin America 3.9 0.0Africa 0.6 0.0Middle East 0.0 0.7

Sector Diversification (% Market Value)(d) Fund MSCI EAFE

Financials 26.6 16.9Health Care 17.7 12.8Materials 10.2 7.6Consumer Discretionary 9.2 12.5Energy 7.7 3.4Information Technology 7.1 9.7Industrials 6.9 16.2Communication Services 4.8 4.5Consumer Staples 4.7 10.3Real Estate 2.3 2.8Utilities 0.5 3.4

Portfolio Characteristics Fund MSCI EAFE

Median Market Capitalization (billions) $40 $15Weighted Average Market Capitalization (billions) $84 $84Price-to-Earnings Ratio(c) 10.5x 15.3xCountries Represented 21 21Emerging Markets (Brazil, China, India,

Mexico, Peru, Russia, South Africa, South Korea)(d)(g) 16.8% 0.0%

Asset Allocation

(a) SEC Yield is an annualization of the Fund’s net investment income for the trailing 30-day period. Dividends paid by the Fund may be higher or lower than implied by the SEC Yield.(b) Active share is a measure of how much an investment portfolio differs from its benchmark index, based on a scale of 0% (complete overlap with the index) to 100% (no overlap). Overlap for each security in the Fund is the lower

of either its percentage weight in the Fund or its percentage weight in the relevant index. Active share is calculated as 100% minus the sum of the overlapping security weights.(c) Price-to-earnings (P/E) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as

market conditions change.(d) Excludes derivatives.(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of Dodge & Cox’s current or future

trading activity.(f) Net Cash & Other includes cash, short-term investments, unrealized gain (loss) on derivatives, receivables, and payables.(g) The Fund may classify a company in a different category than the MSCI EAFE. The Fund generally classifies a company based on its country of incorporation, but may designate a different country in certain circumstances.

Equity Securities: 97.6%

Net Cash& Other:(f) 2.4%

December 31, 2021

TICKER SYMBOL

D ODFX

*Total sector exposure, including the notional exposure of equity total return swaps, is Consumer Discretionary at 10.5% and Communication Services at 3.8% . Portfolio totals may not sum to 100%.

*Total issuer exposure, including notional exposure of total return swaps, is 3.0% for Prosus NV (Netherlands). Portfolio totals may not sum to 100%.

Item: 6cDate: 02/16/22

dodgeandcox.com

The Dodge & Cox International Stock Fund’s total return was 2.4% for the fourth quarter of 2021, compared to 2.7% for the MSCI EAFE (Europe, Australasia, Far East) Index. For the twelve months ended December 31, 2021, the Fund generated a total return of 11.0%, compared to 11.3% for the MSCI EAFE.

Investment CommentaryInternational equity markets rose over the first half of 2021 and then seesawed in the second half amid concerns about inflation and COVID-19 variants. Overall, international developed markets posted strong results for the year. Economic growth in most developed market countries has rebounded to above pre-pandemic levels. However, the MSCI Emerging Markets Index declined 3%. China’s stock market, in particular, dropped 22% due to the Chinese government’s increased regulations across multiple industries. Internet-related companies were notably impacted, and the CSI China Internet Index tumbled 49%. Valuations are above historical averages for the overall market, embedding expectations of continued earnings recovery. Wide valuation disparities remain between value and growth stocks,2 as well as between the beneficiaries and victims of low interest rates. The MSCI EAFE Value Index currently trades at only 10.8 times forward earnings compared to a lofty 25.5 times for the MSCI EAFE Growth Index.3 This market divergence is a remarkable 3.8 standard deviations above the historical average. Meanwhile, the valuation spread between stocks benefiting or suffering from low interest rates is at the all-time highest level since the International Stock Fund’s inception in 2001. This valuation spread is extraordinary given the incredibly low level of nominal and real interest rates, and it reflects more certainty about the likelihood of interest rates staying lower for longer than we believe is merited. We believe these two wide valuation disparities continue to provide attractive opportunities for active, value-oriented, bottom-up investment managers like Dodge & Cox. In particular, the Financials and Energy sectors constitute large portions of both the value and “low-rate victims” cohorts, and they currently account for 34% of the Fund. In 2021, we actively trimmed many of the Fund’s holdings as they outperformed the overall market. Nevertheless, the Fund remains meaningfully overweight Financials and Energy. The Fund’s Financials holdings are inexpensive, well capitalized, and on track to return meaningful amounts of capital to shareholders in 2022. Although rising interest rates are not a core part of our investment thesis, increases could further propel earnings growth. In Energy, capital return potential is also poised to increase, as oil prices have risen and management teams have restrained capital spending. Another third of the portfolio has exposure to innovation-led earnings growth through reasonably valued technology, internet, and health care holdings. The Fund is about 1.4 times overweight the MSCI EAFE on a combined basis in these areas of the market. During 2021, Health Care was our largest add in the portfolio. As a result, the Fund’s Health Care position increased from 12.3% at the beginning of 2021 to 17.7% at year-end. We added significantly to Sanofi, Novartis, GlaxoSmithKline, and Roche Holding—these pharmaceutical companies now represent four of the Fund’s five largest positions.4 We also started positions in two new health care services holdings: Olympus (the leading endoscope manufacturer, based in Japan) and Fresenius Medical Care (one of the largest global manufacturers of dialysis products and providers of dialysis services, domiciled in Germany). The final third of the portfolio is diversified among the remaining sectors, notably Consumer Staples, Consumer Discretionary (excluding internet retail companies), and Industrials. As valuations became more attractive, we added meaningfully to Consumer Staples this past year. Nevertheless, the Fund's exposure to these sectors is roughly half the weight of the benchmark. We are enthusiastic about the opportunities we see as a value-oriented, active manager. As always, we remain focused on the long term, and encourage our shareholders to do so as well. Thank you for your continued confidence in Dodge & Cox.

Before investing in any Dodge & Cox Fund, you should carefully consider the Fund’s investment objectives, risks, and charges and expenses. To obtain a Fund’s prospectus and summary prospectus, which contain this and other important information, visit dodgeandcox.com or call 800-621-3979. Please read the prospectus and summary prospectus carefully before investing.

Fourth Quarter Performance ReviewThe Fund underperformed the MSCI EAFE by 0.3 percentage points during the quarter.

Key Detractors from Relative Results The Fund’s emerging market holdings—especially Alibaba, Itau Unibanco, Axis

Bank, and Grupo Televisa—detracted from results. The Fund’s holdings within the Consumer Discretionary sector (down 5%

compared to up 3% for the MSCI EAFE sector), such as Honda Motor, led to relative underperformance.

The Fund’s average overweight in Financials (28% versus 17%) and its holdings within the sector (down 1% compared to up 1% for the MSCI EAFE sector), including Banco Santander and Prudential UK, led to relative underperformance.

Mitsubishi Electric was an additional key detractor.

Key Contributors to Relative Results The Fund’s holdings in the Health Care sector (up 8% compared to up 3% for the

MSCI EAFE sector) helped performance. GlaxoSmithKline and Roche Holding were particularly strong.

In Energy, the Fund’s relative outperformance (up 8% compared to down 1% for the MSCI EAFE sector) contributed positive results. Suncor Energy did particularly well.

In Industrials, the Fund’s holdings (up 7% compared to up 3% for the MSCI EAFE sector), especially Johnson Controls International, contributed to performance.

Additional key contributors included UBS Group, Nutrien, and TE Connectivity.

2021 Performance ReviewThe Fund underperformed the MSCI EAFE by 0.2 percentage points in 2021.

Key Detractors from Relative Results The Fund’s China internet holdings in the Consumer Discretionary and

Communication Services sectors—namely Alibaba, Naspers, Baidu, and Prosus—detracted from results.

The Fund’s holdings within the Information Technology sector (flat compared to up 20% for the MSCI EAFE sector), especially Samsung Electronics, led to relative underperformance.

Additional detractors included Credit Suisse, Itau Unibanco, and Mitsubishi Electric.

Key Contributors to Relative Results The Fund’s average overweight position (8% versus 3%) and holdings in the

Energy sector (up 50% compared to up 23% for the MSCI EAFE sector), especially Ovintiv and Suncor Energy, led to relative outperformance.

In Materials, the Fund’s outperformance (up 30% compared to up 10% for the MSCI EAFE sector) contributed to results, notably Glencore and Nutrien.

Additional key contributors included Johnson Controls International, ICICI Bank, BNP Paribas, UBS Group, and GlaxoSmithKline.

12/21 ISF FS

1 The Fund’s total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividends but, unlike Fund returns, do not reflect fees or expenses. The MSCI EAFE (Europe, Australasia, Far East) Index is a broad based, unmanaged equity market index aggregated from 21 Developed Market country indices, excluding the United States and Canada. Results reflect dividends net of withholding taxes. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. All returns are stated in U.S. dollars, unless otherwise noted.

2 Generally, stocks that have lower valuations are considered “value” stocks, while those with higher valuations are considered “growth” stocks.

3 Unless otherwise specified, all weightings and characteristics are as of December 31, 2021.4 The use of specific examples does not imply that they are more or less attractive investments than the

portfolio’s other holdings.MSCI EAFE is a service mark of MSCI Barra. S&P 500® is a trademark of S&P Global Inc. For more information about these indices, visit dodgeandcox.com

Average Annual Total Return1

For periods ended December 31, 2021 1 Year 3 Years 5 Years 10 Years

Dodge & Cox International Stock Fund 11.02% 11.65% 7.19% 7.58%

MSCI EAFE Index 11.26 13.54 9.55 8.03

Returns represent past performance and do not guarantee future results. Investment return and share price will fluctuate with market conditions, and investors may have a gain or loss when shares are sold. Fund performance changes over time and currently may be significantly lower than stated above. Performance is updated and published monthly. Visit the Fund’s website at dodgeandcox.com or call 800-621-3979 for current month-end performance figures.

Stock FundObjectives

The Fund seeks long-term growth of principal and income. A secondary objective is to achieve a reasonable current income.

StrategyThe Fund invests primarily in a diversified portfolio of U.S. equity securities. In selecting investments, the Fund typically invests in companies that, in Dodge & Cox’s opinion, appear to be temporarily undervalued by the stock market but have a favorable outlook for long-term growth. The Fund focuses on the underlying financial condition and prospects of individual companies, including future earnings, cash flow, and dividends. Various other factors, including financial strength, economic condition, competitive advantage, quality of the business franchise, and the reputation, experience, and competence of a company’s management are weighed against valuation in selecting individual securities.

RisksThe Fund is subject to market risk, meaning holdings in the Fund may decline in value for extended periods due to the financial prospects of individual companies or due to general market and economic conditions. Please read the prospectus for specific details regarding the Fund’s risk profile.

General InformationNet Asset Value Per Share $245.26Total Net Assets (billions) $96.7Expense Ratio 0.52%2021 Portfolio Turnover Rate 10%30-Day SEC Yield(a) 1.12%Active Share(b) 84%Number of Companies 69Fund Inception 1965No sales charges or distribution fees

Investment Manager: Dodge & Cox, San Francisco. Managed by the U.S. Equity Investment Committee, whose nine members’ average tenure at Dodge & Cox is 23 years.

Ten Largest Equity Holdings (%)(e) Fund

Wells Fargo & Co. 4.3Charles Schwab Corp. 4.2Alphabet, Inc. 4.0Sanofi (France) 3.4Capital One Financial Corp. 3.2FedEx Corp. 2.8Johnson Controls International PLC 2.7HP, Inc. 2.7GlaxoSmithKline PLC (United Kingdom) 2.7Cigna Corp. 2.6

Asset Allocation

(a) SEC Yield is an annualization of the Fund’s net investment income for the trailing 30-day period. Dividends paid by the Fund may be higher or lower than implied by the SEC Yield.(b) Active share is a measure of how much an investment portfolio differs from its benchmark index, based on a scale of 0% (complete overlap with the index) to 100% (no overlap). Overlap for each security in the Fund is the

lower of either its percentage weight in the Fund or its percentage weight in the S&P 500 Index. Active share is calculated as 100% minus the sum of the overlapping security weights. The active share versus the Russell 1000 Value is 84%.

(c) Price-to-earnings (P/E) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as market conditions change.

(d) Non-U.S. securities are U.S. dollar denominated.(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of Dodge & Cox’s current or future

trading activity.(f) Net Cash & Other includes cash, short-term investments, unrealized gain (loss) on derivatives, receivables, and payables.

Equity Securities: 98.9%

Net Cash& Other:(f) 1.1%

December 31, 2021

TICKER SYMBOL

D OD GX

Portfolio Characteristics Fund S&P 500 Russell 1000 Value

Median Market Capitalization (billions) $51 $34 $14Weighted Average Market Capitalization (billions) $243 $676 $167Price-to-Earnings Ratio(c) 13.3x 22.1x 16.9xNon-U.S. Securities not in the S&P 500(d) 11.3% 0.0% 0.0%

Sector Diversification (%) Fund S&P 500 Russell 1000 Value

Financials 24.6 10.7 20.7Health Care 20.1 13.3 18.0Information Technology 19.7 29.2 10.2Communication Services 13.9 10.2 7.3Industrials 8.8 7.8 11.5Energy 6.9 2.7 5.1Consumer Discretionary 2.5 12.5 5.7Consumer Staples 1.5 5.9 7.4Materials 0.9 2.6 3.8Real Estate 0.0 2.8 5.1Utilities 0.0 2.5 5.1

Item: 6dDate: 02/16/22

dodgeandcox.com

The Dodge & Cox Stock Fund’s total return was 5.8% for the fourth quarter of 2021, compared to 11.0% for the S&P 500 Index and 7.8% for the Russell 1000 Value Index (R1000V). For the twelve months ended December 31, 2021, the Fund generated a total return of 31.7%, compared to 28.7% for the S&P 500 and 25.2% for the R1000V.

Investment CommentaryIn 2021, the broad-based U.S. equity market posted an exceptionally strong return: the S&P 500 was up 29%. For value versus growth stocks, however, it was a tale of two halves.2 During the first half of the year, U.S. value stocks appreciated significantly and outperformed growth stocks. In the second half, however, value stocks underperformed as COVID-19 variants disrupted the economic reopening in the United States. While absolute returns were positive, investors have expressed concerns about rising prices and wages, fading fiscal stimulus, and looming monetary tightening by the Federal Reserve. Inflation is now at levels last seen in the 1980s, and the Fed has accelerated plans to raise interest rates in 2022. Strong consumer balance sheets and easy access to credit have supported consumer demand, but supply chain bottlenecks and labor market frictions have constrained supply and propelled prices higher. The U.S. equity market appears to be fully valued. The Fund’s portfolio continues to look very different from its benchmarks, trading at a meaningful discount to both the broad-based and value indices (13.3 times forward earnings compared to 22.1 times for the S&P 500 and 16.9 times for the R1000V).3 With the Russell 1000 Growth Index trading at 31.6 times forward earnings, the valuation gap between U.S. value and growth stocks is exceptional and widened further during the fourth quarter. The Fund is overweight low-valuation stocks, which we believe are positioned to benefit from accelerating economic growth, and underweight growth stocks, which we believe are more at risk due to their high valuations and lofty expectations for future performance. During 2021, as the Fund’s holdings in the Financials and Energy sectors performed strongly, we sold JPMorgan Chase and trimmed other positions based on their valuations.4 We also added significantly to the Fund’s holdings in the Health Care and Communication Services sectors based on their attractive valuations and durable business models, as well as several company-specific factors. In Health Care, we started two new positions—Regeneron Pharmaceuticals and Elanco Animal Health—and added to Cigna, Gilead Sciences, GlaxoSmithKline, Incyte, Novartis, Roche Holding, and Sanofi. In Communication Services, we added meaningfully to Charter Communications, Comcast, and T-Mobile U.S., among others. We are encouraged by the Fund’s absolute and relative returns in 2021. Going forward, we continue to be optimistic about the long-term outlook for the Fund. Value has been out of favor for over a decade and could take more than a year to recover, supported by still-wide valuation spreads. In the coming years, we believe interest rates may be higher, and the Fund’s portfolio is positioned to potentially benefit from its overweight position in Financials. Even if interest rates do not rise, the Fund could still benefit if currently wide valuation spreads return to more historically normal levels. While Financials holdings are an important component of the portfolio, the Fund is diversified and well balanced across a range of sectors and investment themes. We believe patience, persistence, and a long-term investment horizon are essential to investment success. We encourage our shareholders to take a similar view. Thank you for your continued confidence in Dodge & Cox.

Fourth Quarter Performance ReviewThe Fund underperformed the S&P 500 by 5.2 percentage points during the quarter.

Key Detractors from Relative Results versus the S&P 500 Returns from holdings in the Communication Services sector (down 5% versus flat for

the S&P 500 sector), combined with a higher weighting in the Fund, detracted. Charter Communications, Comcast, DISH Network, and Fox Corp. were weak.

The Fund’s overweight position in Financials hurt results. Capital One Financial and Wells Fargo performed poorly during the quarter.

In Information Technology, the Fund’s holdings (up 14% compared to up 17% for the S&P 500 sector) and lower weighting hindered performance. VMware and Microsoft detracted.

Key Contributors to Relative Results versus the S&P 500 The Fund’s holdings in the Industrials sector (up 12% versus up 9% for the S&P 500

sector) added to results. Johnson Controls International and FedEx performed well. Other key contributors included HP, Inc., Charles Schwab, and Juniper Networks.

Before investing in any Dodge & Cox Fund, you should carefully consider the Fund’s investment objectives, risks, and charges and expenses. To obtain a Fund’s prospectus and summary prospectus, which contain this and other important information, visit dodgeandcox.com or call 800-621-3979. Please read the prospectus and summary prospectus carefully before investing.

The Fund underperformed the R1000V by 1.9 percentage points during the quarter.

Key Detractors from Relative Results versus the R1000V The Fund’s overweight position in Communication Services hurt results. Charter

Communications, DISH Network, and Comcast lagged. Stock selection in the Consumer Discretionary sector was negative (holdings down 7%

versus up 9% for the R1000V sector). In Energy, the Fund’s holdings (up 1% versus up 8% for the R1000V sector) and

overweight position detracted. Occidental Petroleum was weak.

Key Contributors to Relative Results versus the R1000V The Fund’s holdings in Information Technology (up 14% versus up 7% for the R1000V

sector), combined with an overweight position in the sector, added to results. HP, Inc. and Microsoft were main contributors.

The Fund’s holdings in the Industrials sector (up 12% versus up 7% for the R1000V sector) added to results. Johnson Controls International and FedEx performed well.

2021 Performance ReviewThe Fund outperformed the S&P 500 by 3.0 percentage points in 2021.

Key Contributors to Relative Results versus the S&P 500 In Financials, the Fund’s overweight position and holdings (up 48% versus up 35% for

the S&P 500 sector) contributed significantly to results. Top performers included Wells Fargo, Capital One Financial, Charles Schwab, and Bank of America.

The Fund’s higher weighting in Energy added to results. Occidental Petroleum performed well.

Stock selection in the Industrials sector was positive (holdings up 33% versus up 21% for the S&P 500 sector). Johnson Controls International was particularly strong.

Key Detractors from Relative Results versus the S&P 500 In Health Care, the Fund's holdings (up 15% versus up 26% for the S&P 500 sector)

and higher weighting detracted. Sanofi, Novartis, and Cigna lagged. In Communication Services, the Fund’s overweight position and holdings (up 19%

versus up 22% for the S&P 500 sector) hurt performance. Comcast and Charter Communications lagged.

The Fund outperformed the R1000V by 6.5 percentage points in 2021.

Key Contributors to Relative Results versus the R1000V In Financials, the Fund’s overweight position and holdings (up 48% versus up 36% for

the R1000V sector) contributed significantly to results. Top performers included Capital One Financial, Wells Fargo, and Charles Schwab.

The Fund’s holdings in Information Technology (up 36% versus up 17% for the R1000V sector), combined with a higher weighting, had a positive impact. HP Inc., Dell Technologies, and Microsoft performed well.

Returns from holdings in Communication Services (up 19% versus up 1% for R1000V sector), combined with a higher weighting in the sector, benefited results. Alphabet was strong.

Key Detractors from Relative Results versus the R1000V In Health Care, the Fund's overweight position and holdings (up 15% versus up 24% for

the R1000V sector) detracted. Novartis and Sanofi lagged. Returns from holdings in the Consumer Discretionary sector (up 2% versus up 27% for

the R1000V sector) hurt results.

12/21 SF FS

Average Annual Total Return1

For periods ended December 31, 2021 1 Yeart 3 Years 5 Years 10 Years 20 Years

Dodge & Cox Stock Fund 31.68% 20.78% 14.14% 15.56% 9.64%

S&P 500 Index 28.71 26.07 18.47 16.55 9.52

Russell 1000 Value Index 25.16 17.64 11.16 12.97 8.34

Returns represent past performance and do not guarantee future results. Investment return and share price will fluctuate with market conditions, and investors may have a gain or loss when shares are sold. Fund performance changes over time and currently may be significantly lower than stated above. Performance is updated and published monthly. Visit the Fund’s website at dodgeandcox.com or call 800-621-3979 for current month-end performance figures. tInvestors should note that the Fund’s short-term performance is highly unusual and unlikely to be sustained.

1 The Fund’s total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividends but, unlike Fund returns, do not reflect fees or expenses. The S&P 500 Index is a market capitalization-weighted index of 500 large capitalization stocks commonly used to represent the U.S. equity market. The Russell 1000® Value Index is composed of those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values.

2 Generally, stocks that have lower valuations are considered “value” stocks, while those with higher valuations are considered “growth” stocks.

3 Unless otherwise specified, all weightings and characteristics are as of December 31, 2021.4 The use of specific examples does not imply that they are more or less attractive investments than the

portfolio’s other holdings.S&P 500® is a trademark of S&P Global Inc. Russell 1000® is a trademark of the London Stock Exchange Group plc. For more information about these indices, visit dodgeandcox.com.

The Fund provides the foundation to an investor’s long-term real estate portfolio, investing in aportfolio driven by secular trends that provides durable and growing income through resilientassets.

Performance During fourth quarter 2021, the Fund generated a total gross return of 5.83%, comprised of

0.90% income and 4.94% appreciation. This compares to a preliminary NFI – ODCE total grossreturn of 7.97%.

The Fund experienced total gross unlevered property appreciation of 439 bps during thequarter. Strong appreciation in the Core Industrial, Core Residential and Manage-to-Coreportfolios was incremented by more moderate appreciation in the Office and Retail portfolios.

Operations Core Portfolio occupancy remains strong at 94.6%, a YTD increase of approximately 214 bps. NOI growth of 9% in 2021 exceeded the budget of 6% with particular strength in the Industrial,

Self- Storage and Life Science sectors.Transactions During the fourth quarter the Fund acquired six industrial development investments, totaling

$59 million, including one in Los Angeles ($12 million), two in Salt Lake City ($17 million), twoin Las Vegas ($19 million) and one in the Phoenix, AZ area ($11 million). Three self-storageassets in Phoenix, Seattle and New York were also acquired for $65 million. Music Lane PhaseII was also acquired for a total of $127 million.

The Fund’s Single-Family Rental program continued adding homes to the portfolio, which nowtotals nearly 700 homes across 19 markets.

The Fund closed on the sale of an office investment in Cambridge, MA for $73 million and aretail investment in Minneapolis for $36 million.

At quarter end the Fund had $219.8 million in signed and verbal capital commitments, with$575.4 million in redemption requests. Capital called subsequent to quarter end was $184.8million, and $306.1 million was made available for redemption requests, which resulted in$269.3 million in redemption requests remaining. We currently anticipate redeeming theremaining queue on April 1.

28%

25%

26%

13%

7%

Investment Performance

Gross Returns Quarter 1 Year 3 Year 5 Year 7 Year 10 Year SI 4Q’04

Income 0.90 3.72 3.63 3.66 3.77 4.08 4.84

Appreciation 4.94 16.91 4.55 4.73 5.56 5.90 3.40

Total 5.83 21.08 8.30 8.53 9.49 10.16 8.37

Key Statistics 1

Gross Asset Value $17.03B

Net Asset Value $12.58B

Investments 127

LTV (incl./excl. short-term borrowings) 2 24.4%/23.8%

Manage-to-Core Portfolio 3 9.1%

Total/Core Leased 93.4%/94.6%

Investors 4 139

Contributions 5 $135.2M

Withdrawals $306.1M

Dividend Declared $97.0M

Trailing 4Q Gross Dist Yield/CQ Annualized Gross Dist Yield

3.2%/3.2%

Cash % of NAV 1.8%

1 See Notes to Performance2 Short-term line of credit balance was $100M as of

12/31/213 Represents the Manage-to-Core Portfolio on a fully

funded basis plus appreciation to date – At current carry values, the Manage-to-Core portfolio is 6.6%

4 Invested as of 12/31/215 Includes reinvested dividends

1 Based on Proforma Gross Market Values, which includes the Manage-to-Core Portfolio on a fully funded basis plus appreciation to date2 Certain MSAs within close proximity to each other are grouped into Areas

Invesco Core Real Estate – U.S.A. Flash Report

Fourth Quarter 2021

Diversification by Property Type 1

18% 18%

10%

7% 7% 6% 5%4% 4% 3%

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5Top Ten MSAs ($ billions) 1, 2

Legend: Residential Industrial Office Retail Other

Fund Highlights

PRIVILEGED AND CONFIDENTIAL. FOR EXISTING FUND INVESTOR USE ONLY.

Music Lane Phase II Austin, TX

confidential

confidential

Item: 6e-1 Date: 02/16/22

Investment Policy & Performance Product Management

William C. Grubbs Jr.Managing Director,Co-Lead Portfolio ManagerInvesco Real Estate2001 Ross Ave, 3400Dallas, TX [email protected]

Michelle L. FossManaging Director,Co-Lead Portfolio ManagerInvesco Real Estate101 California St, 1800San Francisco, CA [email protected]

Chad ProvostSenior Director,Portfolio ManagerInvesco Real Estate225 Liberty St, 1200New York, NY [email protected]

Preston Covington Associate Director,Portfolio ManagementInvesco Real Estate2001 Ross Ave, 3400Dallas, TX [email protected]

Isabel HanSenior Associate,Product ManagementInvesco Real Estate225 Liberty St, 1200New York, NY [email protected]

Fund Operations Investor Relations

Thomas ThreadgillDirector,Fund Operations Invesco Real Estate2001 Ross Ave, 3400Dallas, TX 75201972-715-7440 [email protected]

Trent HeinerSenior Associate,Fund OperationsInvesco Real Estate2001 Ross Ave, 3400Dallas, TX [email protected]

Meredith WeatherbyAssociate,Fund OperationsInvesco Real Estate2001 Ross Ave, 3400Dallas, TX [email protected]

Melissa NeckarAssociate Director,Investor Relations SpecialistInvesco Real Estate2001 Ross Ave, 3400Dallas, TX [email protected]

Notes to Performance

Invesco Core Real Estate – U.S.A.Fourth Quarter 2021

1. Invesco Core Real Estate - U.S.A., L.P. is a core style, open-end real estate fund with a September 30, 2004 inception date. The Fund can alsoinvest up to 15% of gross assets in value added strategies.

2. Information is presented on a preliminary basis and is subject to change.3. Performance is calculated in U.S. dollars. Performance returns are leveraged and calculated on an investment level following the Modified Dietz

methodology.4. Returns include Fund Level operating expenses. The impact of cash balances and any interest earnings are also reflected in the Fund’s returns.5. Returns are shown gross of fees. An investor’s return would be reduced by the amount of the fees which could differ based on the size of their

investment. The highest fee would be 1.0% of NAV assuming a minimum investment of $10 million.6. Operating results of the Fund are presented on a fair value basis of accounting in conformity with U.S. GAAP and are audited annually.7. Real estate investments and debt obligations are valued on a quarterly basis by independent third party valuers.8. In an effort to most accurately reflect the Fund’s geographic and property type exposure and provide information on leverage and other investment

parameters, all Joint Venture investments are reported at the Fund’s ownership percentage.9. Investors in the Fund have the option of reinvesting all or a portion of the quarterly cash distributions made by the Fund.10. UBIT/Transactions: To date, no investments have been made outside of ICRE REIT Holdings. If ICRE REIT Holdings is determined to be a "pension-

held REIT", the Manager does not anticipate that tax-exempt Members will be subject to unrelated business income tax except to the extent theyown more than 10% of the Fund's Units or they have borrowed to make their investment in the Fund. As of the date of this report ICRE REITHoldings is not a “pension-held REIT”.

11. As with all investments there are associated inherent risks. Please obtain and review all financial materials carefully before investing.12. Certain information contained in this report constitutes forward-looking statements, which can be identified by the use of forward-looking

terminology such as “may,” “seek,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” or “believe” or the negativesthereof or other variations thereon or comparable terminology. While we believe that such statements and information are based upon reasonableestimates and assumptions, due to various risks and uncertainties, actual events or results or the actual performance may differ materially fromthose reflected or contemplated in such forward-looking statements.

This report may contain confidential and proprietary information for the Fund and Invesco Ltd. Circulation, disclosure or dissemination of all or any part ofthis material to any unauthorized persons is prohibited.

PRIVILEGED AND CONFIDENTIAL. FOR EXISTING FUND INVESTOR USE ONLY.

Central Self Storage Chandler, AZ

confidential

confidential

Invesco Core Real Estate - U.S.A., L.P.Pasadena Fire & Police Retirement System

Statement of Net Asset Value

Rollforward of quarterly investment activity:

FQE 12/31/21 FQE 03/31/21FQE 06/30/21FQE 09/30/21

Beginning Net Asset Value 12,804,843 11,931,126 11,413,309 11,270,711$ $ $ $

Dividend Reinvestments 62,639 62,75363,88064,785Net Income/(Loss) 115,502 114,097 108,883 98,634Realized Gain/(Loss) on Investments 9,461 (46,496) (39,954)16,621Unrealized Gain/(Loss) on Investments 614,483 794,398 491,277 102,609Unrealized Gain/(Loss) on Debt 4,455 (11,079) (4,543) 9,957Dividend Payable (97,040) (93,943) (91,401)(104,247)

Ending Net Asset Value 13,516,442 12,804,843 11,931,126 11,413,309$ $ $ $

Ending Number of Units 62.95 62.63 62.30 61.96

Ownership Percentage 0.11% 0.11% 0.11% 0.11%

Management Fees Due 34,051.72 32,254.71 30,062.67 28,761.77$ $ $ $

Net Asset Value per Unit 214,723.83 204,448.47 191,518.22 184,211.71$ $ $ $

Total Fund Units Outstanding 57,618.6857,693.3359,378.2258,572.25

Notes*:

Units outstanding at beginning of quarter 62.63 62.30 61.96 61.61Change in units due to contributions/(redemptions) - - - - Change in units due to dividend reinvestments 0.32 0.33 0.34 0.34

Units outstanding at end of quarter 62.95 62.63 62.30 61.96

Dividend paid from previous quarter 97,040.05$ $ $ $93,943.11 91,400.80 91,157.48

Payment of management fees due from previous quarter (32,254.71) (30,062.67) (28,761.77) (28,404.67)

64,785.34 62,639.03 62,752.8163,880.44$ $ $ $Dividend reinvestments in current quarter

Pasadena Fire & Police Ret

*Due to the calculations/rounding of the disclosure information above, amounts may/may not total to the exact unit.

Invesco Core Real Estate - U.S.A., L.P.

127

confidential

confidential

Item: 6e-2Date: 02/16/22

Risk Parity Multi-Asset

Pasadena Fire & PoliceRetirement System

Month Ending:

December 31, 2021

Copyright © 2022 PanAgora AssetManagement. All Rights Reserved

1

Item: 6f-1Date: 02/16/22

Cover1

Contact Info3

Market Review4

Portfolio Returns (Abs Ret Accts)6

Statement of Net Assets7

Statement of Change in Net Assets8

Holdings9

Transactions10

Disclaimers11

Table of Contents

Table of Contents

2

Vanessa DeMeoPanAgora Asset ManagementOne International Place, 24th FloorBoston, MA 02210

Should you have any questions regarding the information in this report, please contact your ClientService Manager.

email:phone:fax:

617-204-1227

[email protected]

617-235-6200

Pasadena Fire & Police Retirement System Contact Information

3

Major Market Indices

Market Review

Q4 2021

We have all heard the maxim that "the stock market is not the economy" and vice versa. The fourth quarterof 2021 helped validate this adage. While the combination of negative headlines, inflationary pressures andweaker than anticipated macro data would typically be unfriendly to investors, that was not the case duringthis period. We would point to the hawkish pivot by many central banks in late September as the primaryhurdle facing investors entering the fourth quarter. The US Federal Reserve (Fed), Bank of England, Bank ofCanada, and a host of developing country central banks, began to communicate their plans to normalizemonetary conditions and, in some cases, accelerate their normalization cycle. The Fed's mid-Decembermeeting bookended the late-September pivot by finally acknowledging inflation's stubborn persistence. InDecember, the Fed also announced their plans to accelerate the pace of tapering asset purchases and tonormalize interest rates. Judging by the market's reaction over the quarter, the Fed appeared to haveeffectively threaded the needle, avoiding the early messaging errors of the last interest rate normalizationcycle, e.g., the Taper Tantrum in 2013.

While a reorientation of global central bank policy was a key theme during the quarter, it is worthhighlighting additional events that contributed to the investing environment. Stubbornly persistent inflationacross the globe had been a critical focus of investors. The issue came to a head in Q4 as goods pricesremained upwardly sticky. Global supply chain issues continued to exacerbate the problem, staying in astate of disequilibrium nearly twenty months into the COVID-19 pandemic. As we highlighted inNovember's commentary, the vivid imagery of container ships moored off major US ports will be longremembered as a symbol of the 2021 supply chain woes well beyond the last three months of the year.

The expectation that life would continue to normalize as we moved further from the onset of the pandemicwas questioned in late November as investors learned of a new, highly transmissible COVID-19 variant(Omicron) that evaded the efficacy of vaccines in many cases. Given its rapid transmission rate, the nascentOmicron variant posed acute risks to the recovery of the global economy. Markets responded to theuncertainty borne from Omicron by turning sharply and dropping at the end of November. Only as more

Three Months Year to Date One YearIndexThreeYearsOne Month

FiveYears

S&P 500 Index 11.03 28.71 28.71 26.07 18.474.48

Russell 2000 Index 2.14 14.82 14.82 20.02 12.022.23

Russell 3000 Index 9.28 25.66 25.66 25.79 17.973.94

MSCI World Index 7.77 21.82 21.82 21.70 15.034.27

MSCI EAFE Index 2.69 11.26 11.26 13.54 9.555.12

MSCI Emerging Markets Index -1.31 -2.54 -2.54 10.94 9.871.88

Bloomberg Barclays U.S. Aggregate Bond Index 0.01 -1.54 -1.54 4.79 3.57-0.26

ICE BofAML US 3-Month Treasury Bill Index 0.01 0.05 0.05 0.99 1.140.01

FTSE World Government Bond Index -1.10 -6.97 -6.97 2.75 2.94-0.62

60% MSCI World / 40% FTSE WGBI 4.20 9.56 9.56 14.16 10.352.32

Pasadena Fire & Police Retirement System MARKET REVIEW

4

Pasadena Fire & Police Retirement System MARKET REVIEW

uncertainty borne from Omicron by turning sharply and dropping at the end of November. Only as moredata became available, and the relative mildness of the variant compared to prior variants had beenconfirmed, did markets regain their footing.

Throughout most of 2021, investors anticipated another round of fiscal support via US President Biden'sBuild Back Better spending bill. While the size of the package continued to shrink from its original $3 billion,its ultimate passage had been viewed as a foregone conclusion given the balance of power in Washington.Its ultimate demise, brings the US to the brink of a fiscal cliff early in 2022 when the latest COVID-19stimulus is set to expire.

Despite the challenges detailed above, global equity indices finished the fourth quarter mostly higher, withlarge capitalization US stocks realizing the best gains. The S&P 500 Index and Nasdaq both gained morethan 11.0% over the period. Emerging markets were the outlier, struggling over the quarter, with the MSCIEmerging Markets Index finishing down over 1.3%. The relative strength of the US Dollar vs. G10, and manydeveloping currencies continued to be a significant headwind to developing economies on the net. Whileequity market gains over the quarter were impressive, the US 2-year / 10-year Treasury curve continued toflatten. Several factors are at play in shaping the slope of the US Treasury curve. The unnuanced view fromthe cheap seats traditionally would show a steepening curve presages a positive economic outlook and aflattening one signals the opposite. We believe it's important to highlight this flattening as it speaks loudlyon the state of investor sentiment beyond equities. If one uses the current Treasury yield curve to predictthe future, it appears that investors now believe the Fed will begin normalizing rates faster than expectedbefore September's pivot, as evidenced by the sharp repricing of the 2-year note over the fourth quarter.Further out the curve there was little movement, with the 10-year note closing the quarter flat to where itstarted. The lack of selling in the 10-year signals that while investors seem to be taking the Fed at theirword regarding their updated normalization path, they are less confident in their longer-term growthforecasts.

5

The base currency for this account is the U.S. Dollar.

The Risk Parity Multi-Asset Fund seeks generally to deliver total return via capital appreciation and income with avolatility target of up to 12% per annum.

Portfolio Objective:

Portfolio Performance

CALENDAR YEAR RETURNS (%)

2021

Portfolio 9.29

Benchmark 0.00

Portfolio returns are shown gross of fees.Past performance is not a guarantee of future results. Periods longer than one year are annualized.

Performance inception:November 16, 2020

Pasadena Fire & Police Retirement System PORTFOLIO RETURNS

6

ASSETS

INVESTMENTS

5,982,139.69Cost

917,625.57Unrealized Appreciation-Invest

6,899,765.26INVESTMENTS SUBTOTAL

6,899,765.26TOTAL ASSETS

Net Assets 6,899,765.26

Pasadena Fire & Police Retirement System


STATEMENT OF NET ASSETSDecember 31, 2021

7

Information shown in .USD

6,796,808.88Net Assets -- Beginning of Period

RECEIPTS:

INVESTMENT INCOME:

102,956.38UNREALIZED GAIN/LOSS-INVESTMENT

102,956.38TOTAL RECEIPTS:

6,899,765.26Net Assets -- End of Period

Pasadena Fire & Police Retirement System STATEMENT OF CHANGE IN NET ASSETS

8

Description Sedol Base PriceUnrealized

Gain/Loss BaseShares/ Par

Value % of TotalBase

Market Value Base Cost

U.S. Dollar 1.000000

6,899,765.2624.40282,733 917,625.58Risk Parity Multi Asset GT 100.00%5,982,139.68

Total U.S. Dollar : 100.00% 6,899,765.26 917,625.58 100.00%5,982,139.68

TOTAL:917,625.586,899,765.26 5,982,139.68

Detailed holdings information available on request.

Pasadena Fire & Police Retirement System HOLDINGS

9

There were no transactions during this period.

Pasadena Fire & Police Retirement System TRANSACTIONS

10

The opinions expressed in this article represent the current, good faith views of the author(s) at the time ofpublication, are provided for limited purposes, are not definitive investment advice, and should not be relied on assuch. The information presented in this article has been developed internally and/or obtained from sourcesbelieved to be reliable; however, PanAgora does not guarantee the accuracy, adequacy or completeness of suchinformation. Predictions, opinions, and other information contained in this article are subject to changecontinually and without notice of any kind and may no longer be true after the date indicated. Past performanceis not a guarantee of future results. As with any investment there is a potential for profit as well as the possibilityof loss.

Any forward-looking statements speak only as of the date they are made, and PanAgora assumes no duty to anddoes not undertake to update forward-looking statements. Forward-looking statements are subject to numerousassumptions, risks and uncertainties, which change over time. Actual results could differ materially from thoseanticipated in forward-looking statements.

This material is directed exclusively at investment professionals. Any investments to which this material relatesare available only to or will be engaged in only with investment professionals.

Pasadena Fire & Police Retirement System DISCLAIMERS

11


Risk Parity Multi-Asset GT

Month Ending:

December 31, 2021

Copyright © 2022 PanAgora AssetManagement. All Rights Reserved

Item: 6f-2Date: 02/16/22

RPMA Master Fund Return Summary 1

RPMA Contribution to Return 2

RPMA Notional Exposure 3

RPMA Risk Allocation 4

RPMA Porfolio Composition 5

RPMA Lag Holdings 6

RPMA Trade Secret Disclosure 83

Table of Contents Page Number

MASTER FUNDPERFORMANCERISK PARITY MULTI-ASSET GT

AUM: 1,855,688,303

Account Return

USDCurrency:

CUMULATIVE PERIODS

One Month 1.51 %Quarter to Date 3.06 %Three Months 3.06 %Four Months -0.41 %Six Months 3.65 %Year To Date 9.31 %

ANNUALIZED PERIODS

One Year 9.31 %

Two Years 10.77 %

Three Years 14.21 %

Four Years 8.50 %

Five Years 9.40 %

Six Years 10.11 %

Seven Years 8.03 %

Eight Years 8.75 %

Nine Years 8.17 %

Ten Years 8.75 %

Inception to Date 8.24 %

CALENDAR YEARS

2008 -14.38 %

2009 7.23 %

2010 19.15 %

2011 11.72 %

2012 14.11 %

2013 3.62 %

2014 13.93 %

2015 -3.65 %

2016 13.77 %

2017 13.07 %

2018 -6.99 %

2019 21.43 %

2020 12.24 %

2021 9.31 %

Portfolio Performance is Gross of FeesPast Performance is not a guarantee of future results

January 31, 2007

December 31, 2021

Inception Date:

1

1/31/2021 -0.10 0.43 0.04 0.15 -0.62 -0.09 -0.38 -0.10 0.39 -0.28

2/28/2021 0.35 0.70 0.08 0.06 -1.62 -0.17 -1.97 -0.83 1.34 -2.06

3/31/2021 0.67 0.21 0.44 0.05 -0.64 -0.11 0.28 0.38 -0.60 0.68

4/30/2021 0.61 0.21 0.08 0.18 0.42 0.12 -0.01 0.20 1.52 3.33

5/31/2021 0.19 0.09 0.16 0.19 0.30 0.05 0.16 0.50 0.86 2.50

6/30/2021 0.11 0.12 0.10 0.02 0.17 0.10 0.58 0.06 0.12 1.38

7/31/2021 0.25 -0.27 0.01 -0.47 0.79 0.19 1.16 1.18 0.37 3.21

8/31/2021 0.39 0.21 0.22 0.24 -0.10 -0.01 -0.15 0.00 0.08 0.88

9/30/2021 -0.60 -0.29 -0.17 -0.14 -0.68 -0.18 -1.24 -0.43 0.38 -3.35

10/31/2021 0.69 0.44 0.26 -0.02 -0.31 0.01 -0.83 0.53 0.62 1.39

11/30/2021 -0.16 -0.34 -0.46 -0.14 0.36 0.05 1.12 0.80 -1.09 0.14

12/31/2021 0.86 0.34 0.48 0.15 -0.31 -0.02 -0.36 -0.46 0.86 1.54

Date

U.S.Large Cap

Equity

U.S.Small Cap

EquityInternational

EquityEmerging

Markets Equity

U.S.Government

Debt

U.S.Investment

Grade Credit

InternationalGovernment

DebtInflation

Linked Bonds Commodities Total

CONTRIBUTION TO RETURNRISK PARITY MULTI-ASSET GT

December 31, 2021Portfolio Performance is Gross of FeesPast Performance is not a guarantee of future resultsContribution to Return is based on security performance excluding cash

2

2021-01-31 13.55 11.66 10.08 9.37 61.36 6.92 61.95 20.89 27.73 223.52

2021-02-28 11.67 12.33 9.02 9.66 57.48 6.84 59.51 19.66 28.67 214.84

2021-03-31 12.97 12.30 8.99 8.65 44.02 8.08 55.70 16.74 23.15 190.61

2021-04-30 13.68 11.64 9.51 8.17 37.43 7.05 58.01 21.33 24.50 191.31

2021-05-31 13.76 10.61 10.51 7.93 49.36 7.74 69.98 17.99 27.13 215.01

2021-06-30 12.84 9.88 10.13 8.98 35.42 9.29 61.37 18.70 21.80 188.40

2021-07-31 14.02 10.07 9.92 8.29 41.38 9.03 61.25 18.14 18.18 190.27

2021-08-31 14.07 10.14 12.49 7.09 38.89 8.78 63.83 18.09 19.96 193.34

2021-09-30 12.81 10.33 13.16 7.62 40.80 8.66 67.48 18.28 19.82 198.95

2021-10-31 12.84 10.73 13.62 6.70 39.74 9.52 59.21 18.74 22.04 193.15

2021-11-30 14.38 9.10 13.80 5.28 37.98 8.46 56.15 21.84 22.71 189.70

2021-12-31 15.84 10.10 13.97 5.00 40.32 9.63 65.03 19.68 21.05 200.62

PanAgora accounts may have exposure to some or all of the markets and asset classes discussed herein. Source: PanAgoraFixed Income positions are expressed in 10-year zero coupon duration equivalents

December 31, 2021

Date

U.S.Large Cap

Equity

U.S.Small Cap

EquityInternational

EquityEmerging

Markets Equity

U.S.Government

Debt

U.S.Investment

Grade Credit


Debt

InflationLinkedBonds Commodities Total

NOTIONAL EXPOSURERISK PARITY MULTI-ASSET GT

3

U.S.Large Cap

Equity

U.S.Investment

Grade CreditDate

U.S.Government

Debt Commodities

EmergingMarkets

Equity

U.S.Small Cap

EquityInternational

Equity


Debt

InflationLinkedBonds

STRATEGIC RISK ALLOCATION

11.10 8.9015.60 11.104.4011.10 11.10 15.6011.102021

TOTAL PORTFOLIO RISK ALLOCATION

01/01/2021 11.90 13.67 8.02 11.81 9.75 6.22 7.99 12.78 17.88

02/01/2021 10.14 14.61 7.35 12.85 9.50 6.35 8.04 12.59 18.58

03/01/2021 11.48 15.69 7.70 11.51 9.89 7.17 9.30 8.63 18.62

04/01/2021 12.49 14.94 8.38 10.61 7.87 6.15 9.44 11.86 18.26

05/01/2021 13.16 13.86 8.86 10.39 7.92 7.18 9.59 10.74 18.30

06/01/2021 11.87 12.29 8.96 11.79 7.79 8.17 10.29 11.27 17.57

07/01/2021 13.04 13.02 8.67 11.37 10.23 8.35 11.03 10.53 13.75

08/01/2021 12.72 12.14 10.51 8.40 9.66 8.12 12.09 11.24 15.13

09/01/2021 11.67 12.15 10.84 8.92 10.13 8.18 12.84 11.59 13.68

10/01/2021 11.35 12.54 11.22 8.10 9.76 8.21 11.18 11.48 16.18

11/01/2021 13.87 11.57 12.48 6.41 8.03 6.91 9.33 12.85 18.55

12/01/2021 14.17 11.43 11.06 5.48 10.12 8.23 12.52 12.56 14.43

TACTICAL RISK ALLOCATION

01/01/2021 0.80 2.57 -3.08 0.71 -5.85 1.82 -7.61 3.88 6.78

02/01/2021 -0.96 3.51 -3.75 1.75 -6.10 1.95 -7.56 3.69 7.48

03/01/2021 0.38 4.59 -3.40 0.41 -5.71 2.77 -6.30 -0.27 7.52

04/01/2021 1.39 3.84 -2.72 -0.49 -7.73 1.75 -6.16 2.96 7.16

05/01/2021 2.06 2.76 -2.24 -0.71 -7.68 2.78 -6.01 1.84 7.20

06/01/2021 0.77 1.19 -2.14 0.69 -7.81 3.77 -5.31 2.37 6.47

07/01/2021 1.94 1.92 -2.43 0.27 -5.37 3.95 -4.57 1.63 2.65

08/01/2021 1.62 1.04 -0.59 -2.70 -5.94 3.72 -3.51 2.34 4.03

09/01/2021 0.57 1.05 -0.26 -2.18 -5.47 3.78 -2.76 2.69 2.58

10/01/2021 0.25 1.44 0.12 -3.00 -5.84 3.81 -4.42 2.58 5.08

11/01/2021 2.77 0.47 1.38 -4.69 -7.57 2.51 -6.27 3.95 7.45

12/01/2021 3.07 0.33 -0.04 -5.62 -5.48 3.83 -3.08 3.66 3.33

RISK ALLOCATIONRISK PARITY MULTI-ASSET GT

December 31, 2021

4

Top 10 Holdings % of Portfolio

JPN 10Y BOND(OSE) Mar 2022 22.06 %

TREASURY NOTES FUTURES, 10-YEAR - CBT Mar 2022 12.22 %

US LONG BOND(CBT) Mar 2022 11.83 %

AUSTRALIAN BOND FUTURE, 10-YEAR Mar 2022 9.51 %


CANADA BOND FUTURE, 10-YEAR Mar 2022 8.79 %

E-MINI S&P 500 INDEX FUTURE Mar 2022 8.69 %

UK LONG GILT FUTURES Mar 2022 8.26 %


E-MINI RUSSELL 2000 Mar 2022 6.84 %

Total 104.47 %

Fixed Income positions are expressed in 10-year zero coupon duration equivalents December 31, 2021

PORTFOLIO COMPOSITIONRISK PARITY MULTI-ASSET GT

5

360 SECURITY TECHNOLOGY IN-A 0.00BDF57C1 COMMON STOCK 10,435 19,5881.88INFORMATION TECHNOLOGY CN

3SBIO INC 0.00BY9D3L9 COMMON STOCK 14,270 12,2090.86HEALTH CARE CN

A2 MILK CO LTD 0.006287250 COMMON STOCK 15,944 66,1164.15CONSUMER STAPLES NZ

AAC TECHNOLOGIES HOLDINGS IN 0.00B85LKS1 COMMON STOCK 2,230 9,7244.36INFORMATION TECHNOLOGY CN

AAON INC 0.01000360206 COMMON STOCK 2,893 225,62878.00INDUSTRIALS US

ABBOTT LABORATORIES 0.02002824100 COMMON STOCK 2,559 321,850125.77HEALTH CARE US

ABBVIE INC 0.0100287Y109 COMMON STOCK 1,925 221,964115.28HEALTH CARE US

ABC-MART INC 0.016292102 COMMON STOCK 2,738 128,76447.03CONSUMER DISCRETIONARY JP

ABDULLAH AL OTHAIM MARKETS 0.02B3BQB93 COMMON STOCK 11,959 341,08128.52CONSUMER STAPLES SA

ABIOMED INC 0.01003654100 COMMON STOCK 493 155,252314.78HEALTH CARE US

ABM INDUSTRIES INC 0.00000957100 COMMON STOCK 1,933 87,00645.00INDUSTRIALS US

ABOITIZ EQUITY VENTURES INC 0.016068411 COMMON STOCK 137,818 134,3030.97INDUSTRIALS PH

ABSA GROUP LTD 0.00BFX05H3 COMMON STOCK 765 6,3998.36FINANCIALS ZA

ABU DHABI COMMERCIAL BANK 0.006545464 COMMON STOCK 24,458 56,5992.31FINANCIALS AE

ABU DHABI ISLAMIC BANK 0.016001728 COMMON STOCK 126,193 222,6271.76FINANCIALS AE

ABU DHABI ISLAMIC BANK 0.006001728 COMMON STOCK 2,572 4,5381.76FINANCIALS AE

ABU DHABI NATIONAL OIL CO FO 0.03BYVGM64 COMMON STOCK 476,080 536,5961.13CONSUMER DISCRETIONARY AE

ACCTON TECHNOLOGY CORP 0.006005214 COMMON STOCK 1,261 13,08510.38INFORMATION TECHNOLOGY TW

ACER INC 0.006005850 COMMON STOCK 15,162 15,1051.00INFORMATION TECHNOLOGY TW

ACI WORLDWIDE INC 0.01004498101 COMMON STOCK 4,970 144,83929.14INFORMATION TECHNOLOGY US

ACOM CO LTD 0.006049784 COMMON STOCK 22,367 66,3852.97FINANCIALS JP

ACTIVISION BLIZZARD INC 0.0100507V109 COMMON STOCK 4,887 286,34958.60COMMUNICATION SERVICES US

ACUSHNET HOLDINGS CORP 0.00005098108 COMMON STOCK 1,780 96,80254.38CONSUMER DISCRETIONARY US

ADANI ENTERPRISES LTD 0.00B01VRK0 COMMON STOCK 2,398 53,06322.13INDUSTRIALS IN

ADANI PORTS AND SPECIAL ECON 0.00B28XXH2 COMMON STOCK 3,847 35,0029.10INDUSTRIALS IN

ADANI TOTAL GAS LTD 0.00BGJW2K2 COMMON STOCK 232 4,93621.29UTILITIES IN

ADECCO GROUP AG-REG 0.017110720 COMMON STOCK 2,679 123,88546.25INDUSTRIALS CH

ADIDAS AG 0.004031976 COMMON STOCK 333 95,852287.65CONSUMER DISCRETIONARY DE

ADMIRAL GROUP PLC 0.01B02J639 COMMON STOCK 3,502 137,00639.12FINANCIALS GB

ADOBE INC 0.0200724F101 COMMON STOCK 547 366,406669.85INFORMATION TECHNOLOGY US

ADVANCE AUTO PARTS INC 0.0100751Y106 COMMON STOCK 625 138,038220.72CONSUMER DISCRETIONARY US

ADVANCED INFO SERVICE-FOR RG 0.006412591 COMMON STOCK 14,091 86,1436.11COMMUNICATION SERVICES TH

ADVANCED INFO SERVICE-FOR RG 0.006412591 COMMON STOCK 1,695 10,3596.11COMMUNICATION SERVICES TH

ADVANCED MICRO DEVICES 0.01007903107 COMMON STOCK 1,491 236,061158.37INFORMATION TECHNOLOGY US

Security NameSecurityWeight

HOLDINGS 30 DAY LAG

SecurityIdentifier Security Type Units Held

Base MarketValueBase PriceSector Country


USDBase Currency:

Market Value: 1,977,161,383

November 30, 2021

6

ADVANCED PETROCHEMICALS CO 0.01B1P6WF8 COMMON STOCK 8,910 162,68018.26MATERIALS SA

ADVANCED PETROCHEMICALS CO 0.00B1P6WF8 COMMON STOCK 45 81418.26MATERIALS SA

ADVANTECH CO LTD 0.006202673 COMMON STOCK 4,904 67,37913.74INFORMATION TECHNOLOGY TW

ADVANTECH CO LTD 0.006202673 COMMON STOCK 1,200 16,49313.74INFORMATION TECHNOLOGY TW

ADVANTEST CORP 0.006870490 COMMON STOCK 730 64,25987.98INFORMATION TECHNOLOGY JP

ADYEN NV 0.01BZ1HM42 COMMON STOCK 97 266,6002,754.92INFORMATION TECHNOLOGY NL

AEGON NV 0.015927375 COMMON STOCK 25,918 114,0964.40FINANCIALS NL

AENA SME SA 0.00BVRZ8L1 COMMON STOCK 605 88,230145.77INDUSTRIALS ES

AEON CO LTD 0.026480048 COMMON STOCK 17,646 410,98823.29CONSUMER STAPLES JP

AES CORP 0.0200130H105 COMMON STOCK 13,806 322,78923.38UTILITIES US

AFC GAMMA INC 0.0000109K105 REAL ESTATE INVESTMENT TRUST 2,279 49,30021.63FINANCIALS US

AFLAC INC 0.01001055102 COMMON STOCK 2,348 127,09554.14FINANCIALS US

AFRICAN RAINBOW MINERALS LTD 0.006041122 COMMON STOCK 5,554 71,40012.86MATERIALS ZA

AFRICAN RAINBOW MINERALS LTD 0.006041122 COMMON STOCK 165 2,12112.86MATERIALS ZA

AFTERPAY LTD 0.01BF5L8B9 COMMON STOCK 1,862 143,74277.18INFORMATION TECHNOLOGY AU

AGC INC 0.006055208 COMMON STOCK 1,004 49,08748.88INDUSTRIALS JP

AGEAS 0.01B86S2N0 COMMON STOCK 2,426 124,58751.36FINANCIALS BE

AGILE GROUP HOLDINGS LTD 0.00B0PR2F4 COMMON STOCK 891 5870.66REAL ESTATE CN

AGILENT TECHNOLOGIES INC 0.0100846U101 COMMON STOCK 1,358 204,979150.90HEALTH CARE US

AGILITY 0.016890302 COMMON STOCK 67,770 206,5593.05INDUSTRIALS KW

AGL ENERGY LTD 0.00BSS7GP5 COMMON STOCK 22,007 84,2643.83UTILITIES AU

AGNICO EAGLE MINES LTD 0.01008474108 COMMON STOCK 3,167 157,21549.64MATERIALS CA

AGORA INC-ADR 0.0000851L103 AMERICAN DEPOSITORY RECEIPT 1,754 36,66420.90INFORMATION TECHNOLOGY CN

AGREE REALTY CORP 0.00008492100 REAL ESTATE INVESTMENT TRUST 632 42,72967.56REAL ESTATE US

AGRICULTURAL BANK OF CHINA-A 0.00BP3R228 COMMON STOCK 2,676 1,2220.46FINANCIALS CN

AGRICULTURAL BANK OF CHINA-H 0.00B60LZR6 COMMON STOCK 4,459 1,4700.33FINANCIALS CN

AIR CANADA 0.00008911877 COMMON STOCK 3,214 52,12116.21INDUSTRIALS CA

AIR LIQUIDE SA 0.01B1YXBJ7 COMMON STOCK 1,196 196,300164.14MATERIALS FR

AIR PRODUCTS & CHEMICALS INC 0.02009158106 COMMON STOCK 1,041 299,259287.44MATERIALS US

AIRBUS SE 0.004012250 COMMON STOCK 699 77,708111.12INDUSTRIALS FR

AJINOMOTO CO INC 0.036010906 COMMON STOCK 21,524 645,83130.01CONSUMER STAPLES JP

AKAMAI TECHNOLOGIES INC 0.0100971T101 COMMON STOCK 1,190 134,081112.70INFORMATION TECHNOLOGY US

AKBANK T.A.S. 0.00B03MN70 COMMON STOCK 124,666 61,2170.49FINANCIALS TR

AKESO INC 0.00BLFJ7Y1 COMMON STOCK 7,135 45,3946.36HEALTH CARE CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

7

AKZO NOBEL N.V. 0.01BJ2KSG2 COMMON STOCK 1,442 150,868104.59MATERIALS NL

AL RAJHI BANK 0.01B12LZH9 COMMON STOCK 3,847 135,57835.24FINANCIALS SA

ALBEMARLE CORP 0.02012653101 COMMON STOCK 1,350 359,807266.49MATERIALS US

ALCON INC 0.01BJT1GR5 COMMON STOCK 3,573 280,79578.58HEALTH CARE CH

ALDAR PROPERTIES PJSC 0.01B0LX3Y2 COMMON STOCK 128,890 141,0631.09REAL ESTATE AE

ALERUS FINANCIAL CORP 0.0101446U103 COMMON STOCK 4,748 142,91330.10FINANCIALS US

ALEXANDER'S INC 0.00014752109 REAL ESTATE INVESTMENT TRUST 134 34,328255.59REAL ESTATE US

ALEXANDRIA REAL ESTATE EQUIT 0.01015271109 REAL ESTATE INVESTMENT TRUST 1,360 272,135200.07REAL ESTATE US

ALFA LAVAL AB 0.017332687 COMMON STOCK 6,268 241,82938.58INDUSTRIALS SE

ALGONQUIN POWER & UTILITIES 0.00015857105 COMMON STOCK 3,593 48,43213.48UTILITIES CA

ALIBABA GROUP HOLDING-SP ADR 0.0001609W102

AMERICAN DEPOSITORY RECEIPT 139 17,743127.53CONSUMER DISCRETIONARY CN

ALIBABA HEALTH INFORMATION T 0.00BRXVS60 COMMON STOCK 19,621 18,0960.92HEALTH CARE HK

ALIGN TECHNOLOGY INC 0.03016255101 COMMON STOCK 811 496,183611.53HEALTH CARE US

ALIMENTATION COUCHE-TARD -B 0.0101626P403 COMMON STOCK 4,708 171,76336.48CONSUMER STAPLES CA

ALINMA BANK 0.00B39NWT3 COMMON STOCK 5,057 30,7056.07FINANCIALS SA

ALINMA BANK 0.00B39NWT3 COMMON STOCK 367 2,2316.07FINANCIALS SA

ALLEGIANCE BANCSHARES INC 0.0001748H107 COMMON STOCK 1,735 70,14640.43FINANCIALS US

ALLEGION PLC 0.01G0176J109 COMMON STOCK 1,382 170,880123.64INDUSTRIALS IE

ALLETE INC 0.03018522300 COMMON STOCK 9,072 531,88658.63UTILITIES US

ALLIANT ENERGY CORP 0.03018802108 COMMON STOCK 10,996 602,49654.79UTILITIES US

ALLIANZ SE-REG 0.005231485 COMMON STOCK 361 78,113216.61FINANCIALS DE

ALLSTATE CORP 0.01020002101 COMMON STOCK 1,295 140,745108.72FINANCIALS US

ALMARAI CO 0.00B137VV2 COMMON STOCK 3,036 38,72112.75CONSUMER STAPLES SA

ALPARGATAS SA - PREF 0.00B07C796 PREFERENCE 3,924 27,1566.92CONSUMER DISCRETIONARY BR

ALPHA SERVICES AND HOLDINGS 0.00BZ1MXR7 COMMON STOCK 26,756 31,2621.17FINANCIALS GR

ALPHABET INC 0.0502079KAC1

CORPORATE BOND 1,000,000 1,035,895103.00US

ALPHABET INC-CL A 0.0402079K305 COMMON STOCK 253 719,2562,837.95COMMUNICATION SERVICES US

ALROSA PJSC 0.00B6QPBP2 COMMON STOCK 28,850 49,8791.73MATERIALS RU

ALSTOM 0.00B0DJ8Q5 COMMON STOCK 1,755 62,17635.43INDUSTRIALS FR

ALTAGAS LTD 0.00021361100 COMMON STOCK 3,495 66,20118.94UTILITIES CA

ALTAIR ENGINEERING INC - A 0.01021369103 COMMON STOCK 1,689 125,73874.45INFORMATION TECHNOLOGY US

ALTEOGEN INC 0.00BSTJWN0 COMMON STOCK 805 46,57657.83HEALTH CARE KR

ALTRIA GROUP INC 0.0702209S103 COMMON STOCK 33,316 1,420,58442.64CONSUMER STAPLES US

ALUMINUM CORP OF CHINA LTD-A 0.00BP3R4D3 COMMON STOCK 2,140 1,7470.82MATERIALS CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

8

ALUMINUM CORP OF CHINA LTD-H 0.006425395 COMMON STOCK 5,351 2,6290.49MATERIALS CN

AMAZON.COM INC 0.01023135106 COMMON STOCK 45 156,6663,507.07CONSUMER DISCRETIONARY US

AMBEV SA-ADR 0.0002319V103 AMERICAN DEPOSITORY RECEIPT 4,268 12,0372.82CONSUMER STAPLES BR

AMBU A/S-B 0.01BD9G333 COMMON STOCK 7,345 206,53928.12HEALTH CARE DK

AMBUJA CEMENTS LTD 0.00B09QQ11 COMMON STOCK 16,341 81,4504.98MATERIALS IN

AMCOR PLC 0.05G0250X107 COMMON STOCK 81,755 925,46811.32MATERIALS GB

AMEREN CORPORATION 0.03023608102 COMMON STOCK 7,533 614,62281.59UTILITIES US

AMERICA MOVIL-SPN ADR CL L 0.0002364W105

AMERICAN DEPOSITORY RECEIPT 4,588 79,91817.42COMMUNICATION SERVICES MX

AMERICAN AIRLINES GROUP INC 0.0002376R102 COMMON STOCK 5,334 94,36117.69INDUSTRIALS US

AMERICAN ELECTRIC POWER 0.03025537101 COMMON STOCK 7,601 616,02281.05UTILITIES US

AMERICAN EXPRESS CO 0.00025816109 COMMON STOCK 374 56,927152.30FINANCIALS US

AMERICAN SOFTWARE INC-CL A 0.00029683109 COMMON STOCK 2,730 62,25122.80INFORMATION TECHNOLOGY US

AMERICAN STATES WATER CO 0.05029899101 COMMON STOCK 9,737 917,07394.18UTILITIES US

AMERICAN TOWER CORP 0.0003027X100 REAL ESTATE INVESTMENT TRUST 376 98,589262.48REAL ESTATE US

AMERICAN VANGUARD CORP 0.01030371108 COMMON STOCK 14,114 201,96514.31MATERIALS US

AMERICAN WATER WORKS CO INC 0.02030420103 COMMON STOCK 1,984 334,405168.57UTILITIES US

AMERICANAS SA 0.00BN925F7 COMMON STOCK 3,599 19,3165.37CONSUMER DISCRETIONARY BR

AMERIPRISE FINANCIAL INC 0.0103076C106 COMMON STOCK 868 251,344289.60FINANCIALS US

AMERISAFE INC 0.0003071H100 COMMON STOCK 941 49,96753.09FINANCIALS US

AMETEK INC 0.00031100100 COMMON STOCK 562 76,656136.50INDUSTRIALS US

AMGEN INC 0.01031162100 COMMON STOCK 1,256 249,847198.88HEALTH CARE US

AMMB HOLDINGS BHD 0.016047023 COMMON STOCK 154,737 116,1030.75FINANCIALS MY

AMMB HOLDINGS BHD 0.006047023 COMMON STOCK 4,905 3,6810.75FINANCIALS MY

AMOREPACIFIC CORP 0.00B15SK50 COMMON STOCK 161 21,217132.17CONSUMER STAPLES KR

AMOREPACIFIC CORP 0.00B15SK50 COMMON STOCK 22 2,947132.17CONSUMER STAPLES KR

AMOREPACIFIC GROUP 0.006665931 COMMON STOCK 426 14,80434.73CONSUMER STAPLES KR

AMPHASTAR PHARMACEUTICALS IN 0.0203209R103 COMMON STOCK 21,711 424,66819.56HEALTH CARE US

AMPHENOL CORP-CL A 0.01032095101 COMMON STOCK 3,501 282,09380.58INFORMATION TECHNOLOGY US

AMPLIFON SPA 0.01B14NJ71 COMMON STOCK 3,264 158,41148.54HEALTH CARE IT

AMSTERDAM INDEX FUTURE DEC 2021 0.71AEXDEC2021

AMSTERDAM INDEX FUTURE 80 13,996,060874.75NL

ANA HOLDINGS INC 0.006014908 COMMON STOCK 3,743 73,82619.72INDUSTRIALS JP

ANALOG DEVICES INC 0.01032654105 COMMON STOCK 1,540 277,548180.25INFORMATION TECHNOLOGY US

ANGLO AMERICAN PLATINUM LTD 0.016761000 COMMON STOCK 1,083 114,933106.15MATERIALS ZA

ANGLO AMERICAN PLATINUM LTD 0.006761000 COMMON STOCK 51 5,396106.15MATERIALS ZA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

9

ANGLO AMERICAN PLC 0.01B1XZS82 COMMON STOCK 3,321 121,80536.67MATERIALS GB

ANHEUSER-BUSCH INBEV SA/NV 0.01BYYHL23 COMMON STOCK 1,867 103,50855.44CONSUMER STAPLES BE

ANHUI CONCH CEMENT CO LTD-A 0.00BP3R2Z1 COMMON STOCK 11,582 65,8415.69MATERIALS CN

ANHUI CONCH CEMENT CO LTD-A 0.00BP3R2Z1 COMMON STOCK 352 2,0035.69MATERIALS CN

ANHUI CONCH CEMENT CO LTD-H 0.006080396 COMMON STOCK 14,968 68,0644.55MATERIALS CN

ANHUI GUJING DISTILLERY CO-B 0.006026691 COMMON STOCK 5,886 81,46213.84CONSUMER STAPLES CN

ANHUI KOUZI DISTILLERY CO -A 0.00BYQDNL2 COMMON STOCK 1,516 15,74710.39CONSUMER STAPLES CN

ANTA SPORTS PRODUCTS LTD 0.00B1YVKN8 COMMON STOCK 2,749 43,79115.93CONSUMER DISCRETIONARY CN

ANTA SPORTS PRODUCTS LTD 0.00B1YVKN8 COMMON STOCK 1,085 17,29215.93CONSUMER DISCRETIONARY CN

ANTHEM INC 0.01036752103 COMMON STOCK 585 237,761406.23HEALTH CARE US

ANTOFAGASTA PLC 0.010045614 COMMON STOCK 5,951 108,66018.26MATERIALS CL

AON PLC-CLASS A 0.01G0403H108

COMMON STOCK 555 164,212295.77FINANCIALS US

APA CORP 0.0103743Q108 COMMON STOCK 8,490 218,79525.77ENERGY US

APA GROUP 0.016247306 STAPLED SECURITY 35,892 242,5296.76UTILITIES AU

APELOA PHARMACEUTICAL CO-A 0.00BD5LY17 COMMON STOCK 12,237 79,3646.49HEALTH CARE CN

APOLLO COMMERCIAL REAL ESTAT 0.0003762U105 REAL ESTATE INVESTMENT TRUST 1,783 24,12513.53FINANCIALS US

APOLLO HOSPITALS ENTERPRISE 0.006273583 COMMON STOCK 905 68,51075.68HEALTH CARE IN

APPLE 2.400 20230503 0.04037833AK6 CORPORATE BOND 750,000 769,735102.44US

APPLE INC 0.02037833100 COMMON STOCK 1,885 311,643165.30INFORMATION TECHNOLOGY US

APPLE INC 0.03037833BZ2 CORPORATE BOND 500,000 521,098104.22US

APPLE INC 0.04037833CG3

CORPORATE BOND 750,000 781,988104.27US

APPLE INC 0.02037833CU2 CORPORATE BOND 375,000 391,407104.38US

APPLE INC 0.04037833CM0


APPLIED INDUSTRIAL TECH INC 0.0003820C105 COMMON STOCK 591 56,20395.04INDUSTRIALS US

APPLIED MATERIALS INC 0.03038222105 COMMON STOCK 3,854 567,211147.19INFORMATION TECHNOLOGY US

ARCA CONTINENTAL SAB DE CV 0.002823885 COMMON STOCK 10,346 62,9556.09CONSUMER STAPLES MX

ARCA CONTINENTAL SAB DE CV 0.002823885 COMMON STOCK 1,873 11,3976.09CONSUMER STAPLES MX

ARCELORMITTAL 0.01BYPBS67 COMMON STOCK 4,043 108,88826.94MATERIALS LU

ARCH RESOURCES INC 0.0003940R107 COMMON STOCK 477 36,97077.49ENERGY US

ARCHER-DANIELS-MIDLAND CO 0.02039483102 COMMON STOCK 5,811 361,49862.21CONSUMER STAPLES US

ARCHROCK INC 0.0303957W106

COMMON STOCK 88,044 650,6457.39ENERGY US

ARGAN INC 0.0004010E109 COMMON STOCK 2,423 95,20839.30INDUSTRIALS US

ARGENX SE 0.01BNHKYX4 COMMON STOCK 996 276,919278.02HEALTH CARE NL

ARISTA NETWORKS INC 0.01040413106 COMMON STOCK 1,440 178,699124.06INFORMATION TECHNOLOGY US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

10

ARISTOCRAT LEISURE LTD 0.016253983 COMMON STOCK 5,372 168,00931.28CONSUMER DISCRETIONARY AU

ARROW FINANCIAL CORP 0.00042744102 COMMON STOCK 2,224 76,73234.50FINANCIALS US

ARTESIAN RESOURCES CORP-CL A 0.04043113208 COMMON STOCK 17,297 739,61542.76UTILITIES US

ARTHUR J GALLAGHER & CO 0.02363576109 COMMON STOCK 1,897 309,049162.90FINANCIALS US

ASAHI GROUP HOLDINGS LTD 0.016054409 COMMON STOCK 3,404 125,74736.94CONSUMER STAPLES JP

ASAHI INTECC CO LTD 0.00B019MQ5 COMMON STOCK 4,017 88,02021.91HEALTH CARE JP

ASAHI KASEI CORP 0.016054603 COMMON STOCK 12,964 122,3379.44MATERIALS JP

ASE TECHNOLOGY HOLDING CO LT 0.00BFXZDY1 COMMON STOCK 7,700 28,2483.67INFORMATION TECHNOLOGY TW

ASE TECHNOLOGY HOLDING CO LT 0.00BFXZDY1 COMMON STOCK 2,901 10,6433.67INFORMATION TECHNOLOGY TW

ASELSAN ELEKTRONIK SANAYI 0.00B03MP41 COMMON STOCK 46,457 76,0651.64INDUSTRIALS TR

ASHTEAD GROUP PLC 0.010053673 COMMON STOCK 1,252 100,08579.96INDUSTRIALS GB

ASIA CEMENT CORP 0.026056331 COMMON STOCK 236,341 357,0051.51MATERIALS TW

ASIA CEMENT CORP 0.006056331 COMMON STOCK 425 6411.51MATERIALS TW

ASIAN DEVELOPMENT BANK 0.04045167DN0 CORPORATE BOND 750,000 778,789103.63US

ASIAN DEVELOPMENT BANK 0.04045167DU4 CORPORATE BOND 750,000 806,651106.54US

ASIAN PAINTS LTD 0.00BCRWL65 COMMON STOCK 1,773 74,16541.83MATERIALS IN

ASM INTERNATIONAL NV 0.015165294 COMMON STOCK 608 271,567446.64INFORMATION TECHNOLOGY NL

ASMEDIA TECHNOLOGY INC 0.00B6ZZQ69 COMMON STOCK 604 42,23669.95INFORMATION TECHNOLOGY TW

ASML HOLDING NV 0.01B929F46 COMMON STOCK 309 243,714787.47INFORMATION TECHNOLOGY NL

ASPEN PHARMACARE HOLDINGS LT 0.00B09C0Z1 COMMON STOCK 1,613 23,98914.87HEALTH CARE ZA

ASSET WORLD CORP PCL-FOREIGN 0.00BJCVZG4 COMMON STOCK 141,715 18,0000.13CONSUMER DISCRETIONARY TH

ASSICURAZIONI GENERALI 0.004056719 COMMON STOCK 4,849 96,76519.96FINANCIALS IT

ASSOCIATED BRITISH FOODS PLC 0.010673123 COMMON STOCK 4,023 102,36025.44CONSUMER STAPLES GB

ASSURANT INC 0.0104621X108 COMMON STOCK 1,641 249,595152.10FINANCIALS US

ASTELLAS PHARMA INC 0.016985383 COMMON STOCK 13,420 210,32615.67HEALTH CARE JP

ASTRA INTERNATIONAL TBK PT 0.00B800MQ5 COMMON STOCK 189,250 76,3080.40CONSUMER DISCRETIONARY ID

ASTRAZENECA 6.45 20370915 0.02046353AD0 CORPORATE BOND 250,000 368,581147.43US

ASTRAZENECA PLC 0.010989529 COMMON STOCK 2,413 264,196109.49HEALTH CARE GB

ASUSTEK COMPUTER INC 0.006051046 COMMON STOCK 3,567 45,22712.68INFORMATION TECHNOLOGY TW

ASUSTEK COMPUTER INC 0.006051046 COMMON STOCK 618 7,83612.68INFORMATION TECHNOLOGY TW

ASX LTD 0.016129222 COMMON STOCK 3,026 193,99464.12FINANCIALS AU

AT&T INC 0.0200206R102 COMMON STOCK 13,879 316,86122.83COMMUNICATION SERVICES US

ATACADAO SA 0.00BF7LBH4 COMMON STOCK 7,135 19,3632.71CONSUMER STAPLES BR

ATCO LTD -CLASS I 0.00046789400 COMMON STOCK 918 29,77532.45UTILITIES CA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

11

ATMOS ENERGY CORP 0.01049560105 COMMON STOCK 3,244 292,97090.32UTILITIES US

ATRION CORPORATION 0.04049904105 COMMON STOCK 1,020 724,440709.99HEALTH CARE US

AUCKLAND INTL AIRPORT LTD 0.01BKX3XG2 COMMON STOCK 22,452 120,3825.36INDUSTRIALS NZ

AURIZON HOLDINGS LTD 0.01B87CVM3 COMMON STOCK 49,242 117,6652.39INDUSTRIALS AU

AUROBINDO PHARMA LTD 0.006702634 COMMON STOCK 3,862 33,9278.79HEALTH CARE IN

AUSNET SERVICES 0.01BPXR7J0 COMMON STOCK 150,836 271,6551.80UTILITIES AU

AUSTRALIA & NEW ZEALAND BANKING GROUP 0.0605253JAL5 CORPORATE BOND 1,000,000 1,093,505109.20US

AUSTRALIAN BOND FUTURE, 10-YEAR DEC 2021 9.69YTCDEC2021

AUSTRALIAN BOND FUTURE, 10-YEAR 1,935 191,246,1269,883.52AU

AUTO TRADER GROUP PLC 0.01BVYVFW2 COMMON STOCK 24,334 235,8519.69COMMUNICATION SERVICES GB

AUTODESK INC 0.01052769106 COMMON STOCK 409 104,049254.19INFORMATION TECHNOLOGY US

AUTOHOME INC-ADR 0.0005278C107 AMERICAN DEPOSITORY RECEIPT 1,256 42,90834.17COMMUNICATION SERVICES CN

AUTOMATIC DATA PROCESSING 0.02053015103 COMMON STOCK 1,411 325,844230.89INFORMATION TECHNOLOGY US

AUTOZONE INC 0.02053332102 COMMON STOCK 250 453,8961,817.07CONSUMER DISCRETIONARY US

AVENUE SUPERMARTS LTD 0.00BYW1G33 COMMON STOCK 1,534 96,15762.68CONSUMER STAPLES IN

AVERY DENNISON CORP 0.02053611109 COMMON STOCK 2,008 411,861205.07MATERIALS US

AVEVA GROUP PLC 0.01BBG9VN7 COMMON STOCK 2,627 111,48042.43INFORMATION TECHNOLOGY GB

AVISTA CORP 0.0305379B107 COMMON STOCK 13,549 521,78138.51UTILITIES US

AXIATA GROUP BERHAD 0.00B2QZGV5 COMMON STOCK 36,031 33,3660.93COMMUNICATION SERVICES MY

AYALA CORPORATION 0.00B09JBT3 COMMON STOCK 2,640 43,80216.59INDUSTRIALS PH

AYALA LAND INC 0.006055112 COMMON STOCK 20,334 13,9230.68REAL ESTATE PH

AZBIL CORP 0.006985543 COMMON STOCK 2,100 92,83444.21INFORMATION TECHNOLOGY JP

AZZ INC 0.00002474104 COMMON STOCK 1,481 76,87151.89INDUSTRIALS US

B GRIMM POWER PCL-FOREIGN 0.00BYQN3W3 COMMON STOCK 31,261 36,6441.17UTILITIES TH

B2GOLD CORP 0.0111777Q209 COMMON STOCK 46,543 183,5883.94MATERIALS CA

BADGER METER INC 0.01056525108 COMMON STOCK 2,154 220,480102.36INFORMATION TECHNOLOGY US

BAIDU INC - SPON ADR 0.00056752108 AMERICAN DEPOSITORY RECEIPT 396 59,334149.84COMMUNICATION SERVICES CN

BAJAJ AUTO LTD 0.00B2QKXW0 COMMON STOCK 1,039 44,79843.12CONSUMER DISCRETIONARY IN

BAJAJ AUTO LTD 0.00B2QKXW0 COMMON STOCK 131 5,65343.12CONSUMER DISCRETIONARY IN

BAJAJ FINANCE LTD 0.00BD2N0P2 COMMON STOCK 326 30,39293.11FINANCIALS IN

BAJAJ FINANCE LTD 0.00BD2N0P2 COMMON STOCK 221 20,59393.11FINANCIALS IN

BAJAJ FINSERV LTD 0.00B2QKWK1 COMMON STOCK 40 9,205229.36FINANCIALS IN

BAKER HUGHES CO 0.0105722G100 COMMON STOCK 10,437 243,59323.34ENERGY US

BALCHEM CORP 0.02057665200 COMMON STOCK 3,094 488,873158.00MATERIALS US

BALL CORP 0.01058498106 COMMON STOCK 2,819 263,42293.45MATERIALS US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

12

BALLARD POWER SYSTEMS INC 0.00058586108 COMMON STOCK 3,944 59,79815.16INDUSTRIALS CA

BALOISE HOLDING AG - REG 0.017124594 COMMON STOCK 755 112,264148.69FINANCIALS CH

BANCO BRADESCO S.A. 0.00B00FM86 COMMON STOCK 6,086 18,3383.01FINANCIALS BR

BANCO BRADESCO S.A. 0.00B00FM86 COMMON STOCK 6,689 20,1543.01FINANCIALS BR

BANCO DE CHILE-ADR 0.00059520106 AMERICAN DEPOSITORY RECEIPT 3,214 61,07119.00FINANCIALS CL

BANCO DE CREDITO E INVERSION 0.002069355 COMMON STOCK 604 20,29333.61FINANCIALS CL

BANCO INTER SA-UNITS 0.00BK8XXW3 UNIT 2,497 16,0176.41FINANCIALS BR

BANCO SANTANDER SA 0.005705946 COMMON STOCK 23,111 71,5393.10FINANCIALS ES

BANCO SANTANDER-CHILE-ADR 0.0005965X109 AMERICAN DEPOSITORY RECEIPT 2,875 50,92217.71FINANCIALS CL

BANCOLOMBIA SA 0.00BJ62K57 COMMON STOCK 2,165 17,4908.08FINANCIALS CO

BANDAI NAMCO HOLDINGS INC 0.01B0JDQD4 COMMON STOCK 2,438 189,71177.83CONSUMER DISCRETIONARY JP

BANGKOK COMMERCIAL-FOREIGN 0.00BJYD4B6 COMMON STOCK 43,790 25,4700.58FINANCIALS TH

BANGKOK DUSIT MED SERVICE-F 0.00BLZGSM7 COMMON STOCK 122,630 81,1530.66HEALTH CARE TH

BANGKOK EXPRESSWAY AND M-FOR 0.00BYV76H6 COMMON STOCK 58,862 14,7600.25INDUSTRIALS TH

BANK AL-JAZIRA 0.00B12LZQ8 COMMON STOCK 14,007 67,8044.84FINANCIALS SA

BANK ALBILAD 0.00B085SR9 COMMON STOCK 4,527 51,76711.44FINANCIALS SA

BANK ALBILAD 0.00B085SR9 COMMON STOCK 199 2,27411.44FINANCIALS SA

BANK CENTRAL ASIA TBK PT 0.00B01C1P6 COMMON STOCK 140,913 71,5760.51FINANCIALS ID

BANK LEUMI LE-ISRAEL 0.026076425 COMMON STOCK 35,976 348,2719.68FINANCIALS IL

BANK MANDIRI PERSERO TBK PT 0.006651048 COMMON STOCK 143,410 70,0900.49FINANCIALS ID

BANK MONTREAL MEDIUM TERM SR NTS BOOK EN 0.0306366RJJ5 CORPORATE BOND 500,000 508,767101.75US

BANK NEGARA INDONESIA PERSER 0.006727121 COMMON STOCK 36,171 17,1730.47FINANCIALS ID

BANK OF BEIJING CO LTD -A 0.00BP3R2W8 COMMON STOCK 2,319 1,5940.69FINANCIALS CN

BANK OF CHINA LTD-A 0.00BP3R239 COMMON STOCK 3,746 1,7930.48FINANCIALS CN

BANK OF COMMUNICATIONS CO-H 0.00B0B8Z29 COMMON STOCK 115,941 67,5200.58FINANCIALS CN

BANK OF JIANGSU CO LTD-A 0.00BYW5MY8 COMMON STOCK 33,855 31,2980.92FINANCIALS CN

BANK OF JIANGSU CO LTD-A 0.00BYW5MY8 COMMON STOCK 2,408 2,2260.92FINANCIALS CN

BANK OF MONTREAL 0.00063671101 COMMON STOCK 949 98,469103.71FINANCIALS CA

BANK OF NEW YORK MELLON CORP 0.00064058100 COMMON STOCK 1,721 94,30554.79FINANCIALS US

BANK OF NOVA SCOTIA 0.01064149107 COMMON STOCK 2,360 146,77162.19FINANCIALS CA

BANK OF NOVA SCOTIA/THE 0.04064159JG2 CORPORATE BOND 750,000 754,663100.62US

BANK OF THE PHILIPPINE ISLAN 0.006074968 COMMON STOCK 26,310 47,5181.81FINANCIALS PH

BANK PEKAO SA 0.005473113 COMMON STOCK 182 5,22328.71FINANCIALS PL

BANK RAKYAT INDONESIA PERSER 0.006709099 COMMON STOCK 109,252 31,1990.29FINANCIALS ID


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

13

BANK RAKYAT INDONESIA PERSER 0.006709099 COMMON STOCK 14,537 4,1510.29FINANCIALS ID

BAOZUN INC-SPN ADR 0.0006684L103 AMERICAN DEPOSITORY RECEIPT 457 6,29713.79CONSUMER DISCRETIONARY CN

BARITO PACIFIC TBK PT 0.006070706 COMMON STOCK 357,329 22,9530.06MATERIALS ID

BARNES GROUP INC 0.00067806109 COMMON STOCK 827 35,92943.45INDUSTRIALS US

BARRICK GOLD CORP 0.01067901108 COMMON STOCK 12,395 234,60618.93MATERIALS CA

BARRY CALLEBAUT AG-REG 0.025476929 COMMON STOCK 159 374,2152,355.74CONSUMER STAPLES CH

BARWA REAL ESTATE CO 0.00B0YTG26 COMMON STOCK 84,298 71,5640.85REAL ESTATE QA

BARWA REAL ESTATE CO 0.00B0YTG26 COMMON STOCK 2,071 1,7580.85REAL ESTATE QA

BATH & BODY WORKS INC 0.01070830104 COMMON STOCK 3,263 245,13775.13CONSUMER DISCRETIONARY US

BAUSCH HEALTH COS INC 0.00071734107 COMMON STOCK 3,998 94,49123.64HEALTH CARE US

BAXTER INTERNATIONAL INC 0.01071813109 COMMON STOCK 3,380 252,08074.57HEALTH CARE US

BAYERISCHE MOTOREN WERKE AG 0.015756029 COMMON STOCK 1,649 157,71295.65CONSUMER DISCRETIONARY DE

BB SEGURIDADE PARTICIPACOES 0.00B9N3SQ0 COMMON STOCK 3,924 14,5053.70FINANCIALS BR

BCE INC 0.0105534B760 COMMON STOCK 5,218 261,53050.12COMMUNICATION SERVICES CA

BDO UNIBANK INC 0.00B5VJH76 COMMON STOCK 28,316 69,6882.46FINANCIALS PH

BECLE SAB DE CV 0.00BYM4063 COMMON STOCK 5,173 11,8212.29CONSUMER STAPLES MX

BECTON DICKINSON AND CO 0.01075887109 COMMON STOCK 642 152,199237.14HEALTH CARE US

BEIERSDORF AG 0.015107401 COMMON STOCK 2,627 260,81899.30CONSUMER STAPLES DE

BEIGENE LTD-ADR 0.0007725L102 AMERICAN DEPOSITORY RECEIPT 168 58,270347.53HEALTH CARE CN

BEIJING DABEINONG TECHNOLO-A 0.00BD5CMP0 COMMON STOCK 42,720 60,8161.42CONSUMER STAPLES CN

BEIJING E-HUALU INFO TECH-A 0.01BD5CD79 COMMON STOCK 20,067 104,6625.22INFORMATION TECHNOLOGY CN

BEIJING ENLIGHT MEDIA CO L-A 0.00BD5CN79 COMMON STOCK 10,524 16,7661.59COMMUNICATION SERVICES CN

BEIJING ENTERPRISES HLDGS 0.016081690 COMMON STOCK 57,968 195,9313.38UTILITIES HK

BEIJING ENTERPRISES WATER GR 0.01B01YCG0 COMMON STOCK 486,953 181,7680.37UTILITIES HK

BEIJING SHIJI INFORMATION -A 0.00BD5CMX8 COMMON STOCK 9,115 40,5734.45INFORMATION TECHNOLOGY CN

BEIJING TIANTAN BIOLOGICAL-A 0.00BP3R9J4 COMMON STOCK 19,264 90,7394.71HEALTH CARE CN

BEIJING UNITED INFORMATION-A 0.00BK71CY3 COMMON STOCK 1,571 29,31418.65INDUSTRIALS CN

BELLRING BRANDS INC-CLASS A 0.00079823100 COMMON STOCK 689 14,81821.52CONSUMER STAPLES US

BENCHMARK ELECTRONICS INC 0.0008160H101 COMMON STOCK 3,955 93,26223.58INFORMATION TECHNOLOGY US

BERGER PAINTS INDIA LTD 0.00BV8TBJ1 COMMON STOCK 4,024 40,25210.00MATERIALS IN

BERKELEY GROUP HOLDINGS/THE 0.00BLJNXL8 COMMON STOCK 1,365 77,35756.68CONSUMER DISCRETIONARY GB

BERKSHIRE HATHAWAY INC 0.03084670BF4 CORPORATE BOND 500,000 508,228100.50US

BERLI JUCKER PUB CO-FORGN 0.006094030 COMMON STOCK 55,295 54,1500.98CONSUMER STAPLES TH

BEST BUY CO INC 0.02086516101 COMMON STOCK 3,087 329,865106.86CONSUMER DISCRETIONARY US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

14

BETTA PHARMACEUTICALS CO L-A 0.00BD6QWL7 COMMON STOCK 3,657 47,76813.06HEALTH CARE CN

BGF RETAIL CO LTD 0.00BD95QN1 COMMON STOCK 108 13,263122.91CONSUMER STAPLES KR

BGI GENOMICS CO LTD-A 0.00BFY8H58 COMMON STOCK 2,230 33,24614.91HEALTH CARE CN

BHARAT FORGE LTD 0.00B0C1DM3 COMMON STOCK 5,732 52,9059.23CONSUMER DISCRETIONARY IN

BHARAT PETROLEUM CORP LTD 0.006099723 COMMON STOCK 8,860 43,6194.92ENERGY IN

BHARTI AIRTEL LTD 0.006442327 COMMON STOCK 5,172 50,1179.69COMMUNICATION SERVICES IN

BHP GROUP PLC 0.01BH0P3Z9 COMMON STOCK 4,930 134,78427.34MATERIALS AU

BID CORP LTD 0.00BZBFKT7 COMMON STOCK 2,334 44,42319.03CONSUMER STAPLES ZA

BID CORP LTD 0.00BZBFKT7 COMMON STOCK 230 4,37919.03CONSUMER STAPLES ZA

BIDVEST GROUP LTD 0.006100089 COMMON STOCK 3,062 34,54611.28INDUSTRIALS ZA

BIDVEST GROUP LTD 0.006100089 COMMON STOCK 258 2,90811.28INDUSTRIALS ZA

BILIBILI INC-SPONSORED ADR 0.00090040106 AMERICAN DEPOSITORY RECEIPT 344 22,72466.01COMMUNICATION SERVICES CN

BIM BIRLESIK MAGAZALAR AS 0.00B0D0006 COMMON STOCK 15,185 79,3675.23CONSUMER STAPLES TR

BIOCON LTD 0.006741251 COMMON STOCK 3,713 17,8054.80HEALTH CARE IN

BIOGEN INC 0.0109062X103 COMMON STOCK 884 208,468235.74HEALTH CARE US

BIOMERIEUX 0.02BF0LBX7 COMMON STOCK 3,363 473,975140.93HEALTH CARE FR

BLACK HILLS CORP 0.03092113109 COMMON STOCK 8,841 566,91064.12UTILITIES US

BLACKBAUD INC 0.0109227Q100 COMMON STOCK 1,785 134,70575.46INFORMATION TECHNOLOGY US

BLACKBERRY LTD 0.0109228F103 COMMON STOCK 14,157 134,3099.49INFORMATION TECHNOLOGY CA

BLACKROCK INC 0.0109247X101 COMMON STOCK 198 178,960904.61FINANCIALS US

BLACKROCK INC 0.0409247XAJ0 CORPORATE BOND 750,000 774,319101.55US

BOC AVIATION LTD 0.00BYZJV17 COMMON STOCK 3,211 22,6727.06INDUSTRIALS SG

BOE TECHNOLOGY GROUP CO LT-A 0.00BD5CPL7 COMMON STOCK 13,735 10,3910.76INFORMATION TECHNOLOGY CN

BOLIDEN AB 0.01BMWPW33 COMMON STOCK 4,854 166,67734.34MATERIALS SE

BOLLORE 0.014572709 COMMON STOCK 25,573 136,3295.33COMMUNICATION SERVICES FR

BOOKING HOLDINGS INC 0.0109857L108 COMMON STOCK 102 214,6122,101.85CONSUMER DISCRETIONARY US

BORGWARNER INC 0.01099724106 COMMON STOCK 3,580 154,94743.28CONSUMER DISCRETIONARY US

BOSIDENG INTL HLDGS LTD 0.00B24FZ32 COMMON STOCK 23,188 16,3000.70CONSUMER DISCRETIONARY HK

BOSTON SCIENTIFIC CORP 0.01101137107 COMMON STOCK 5,255 200,05138.07HEALTH CARE US

BOTTOMLINE TECHNOLOGIES (DE) 0.00101388106 COMMON STOCK 1,568 70,29244.84INFORMATION TECHNOLOGY US

BOUBYAN BANK K.S.C 0.00B15DYL9 COMMON STOCK 35,843 89,8142.51FINANCIALS KW

BOUYGUES SA 0.004002121 COMMON STOCK 1,789 60,32333.71INDUSTRIALS FR

BP PLC 0.050798059 COMMON STOCK 219,423 944,7794.31ENERGY GB

BRADY CORPORATION - CL A 0.01104674106 COMMON STOCK 2,475 124,35450.25INDUSTRIALS US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

15

BRAMBLES LTD 0.00B1FJ0C0 COMMON STOCK 12,149 86,2267.10INDUSTRIALS AU

BRENT CRUDE FUTURE MAR 2022 0.56COMAR2022

BRENT CRUDE FUTURE 161 11,089,68068.88US

BRF SA-ADR 0.0010552T107 AMERICAN DEPOSITORY RECEIPT 4,312 15,1363.51CONSUMER STAPLES BR

BRIDGESTONE CORP 0.016132101 COMMON STOCK 3,482 141,21740.56CONSUMER DISCRETIONARY JP

BRIDGEWATER BANCSHARES INC 0.00108621103 COMMON STOCK 3,773 64,47517.09FINANCIALS US

BRIGHAM MINERALS INC-CL A 0.0310918L103 COMMON STOCK 29,755 617,70520.76ENERGY US

BRISTOL-MYERS SQUIBB CO 0.00110122108 COMMON STOCK 1,773 95,09653.63HEALTH CARE US

BRISTOW GROUP INC 0.0011040G103 COMMON STOCK 1,078 32,03129.70ENERGY US

BRITANNIA INDUSTRIES LTD 0.00BGSQG47 COMMON STOCK 1,002 47,25147.18CONSUMER STAPLES IN

BRITISH AMERICAN TOBACCO PLC 0.010287580 COMMON STOCK 3,822 127,91733.47CONSUMER STAPLES GB

BRITISH COLUMBIA 6.500 20260115 0.06110709DL3 CORPORATE BOND 1,000,000 1,225,500120.09US

BROADCOM INC 0.0011135F101 COMMON STOCK 178 98,430553.68INFORMATION TECHNOLOGY US

BROADMARK REALTY CAPITAL INC 0.0011135B100 REAL ESTATE INVESTMENT TRUST 5,034 45,3029.00FINANCIALS US

BROOKFIELD RENEWABLE COR-A 0.00BMXWR83 COMMON STOCK 2,196 81,30137.03UTILITIES US

BROOKLINE BANCORP INC 0.0011373M107 COMMON STOCK 3,431 52,93915.43FINANCIALS US

BROWN-FORMAN CORP-CLASS B 0.01115637209 COMMON STOCK 3,017 212,25470.36CONSUMER STAPLES US

BRYN MAWR BANK CORP 0.00117665109 COMMON STOCK 1,599 71,30144.60FINANCIALS US

BT GROUP PLC 0.013091357 COMMON STOCK 83,733 175,6962.10COMMUNICATION SERVICES GB

BTPEI 2.350 09/15/2024 0.25BKRVT31 TREASURY INFLATIONARY PROTECTED 3,901,283 4,952,267126.38IT

BTPEI 2.550 09/15/2041 0.36B58RK85 TREASURY INFLATIONARY PROTECTED 3,983,475 7,006,802175.29IT

BTPEI 3.100 09/15/2026 0.23B4NSG22 TREASURY INFLATIONARY PROTECTED 3,316,411 4,615,709138.44IT

BTS GROUP HOLDINGS PCL-FORGN 0.00BDGHT08 COMMON STOCK 75,362 20,5750.27INDUSTRIALS TH

BUDWEISER BREWING CO APAC LT 0.00BKDXJH5 COMMON STOCK 30,492 77,4452.54CONSUMER STAPLES HK

BUMRUNGRAD HOSPITAL-FOREIGN 0.00B0166H5 COMMON STOCK 16,173 69,1124.27HEALTH CARE TH

BUNZL PLC 0.01B0744B3 COMMON STOCK 4,483 170,12137.94INDUSTRIALS GB

BURNING ROCK BIOTECH LTD-ADR 0.0012233L107 AMERICAN DEPOSITORY RECEIPT 2,722 42,08115.46HEALTH CARE CN

BYD CO LTD -A 0.00BD5CQ69 COMMON STOCK 599 28,66347.82CONSUMER DISCRETIONARY CN

BYD CO LTD-H 0.006536651 COMMON STOCK 1,338 52,57939.30CONSUMER DISCRETIONARY CN

BYD ELECTRONIC INTL CO LTD 0.00B29SHS5 COMMON STOCK 2,313 8,5883.71INFORMATION TECHNOLOGY CN

C.H. ROBINSON WORLDWIDE INC 0.0312541W209

COMMON STOCK 5,963 567,03995.09INDUSTRIALS US

CABOT CORP 0.01127055101 COMMON STOCK 2,603 136,60652.48MATERIALS US

CACTUS INC - A 0.02127203107 COMMON STOCK 11,947 436,04936.50ENERGY US

CADENCE DESIGN SYS INC 0.02127387108 COMMON STOCK 2,094 371,617177.46INFORMATION TECHNOLOGY US

CAE INC 0.00124765108 COMMON STOCK 3,248 77,73723.93INDUSTRIALS CA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

16

CAIXABANK SA 0.00B283W97 COMMON STOCK 29,626 75,8322.56FINANCIALS ES

CAL-MAINE FOODS INC 0.03128030202 COMMON STOCK 16,122 581,36536.06CONSUMER STAPLES US

CALAVO GROWERS INC 0.01128246105 COMMON STOCK 3,753 152,13340.54CONSUMER STAPLES US

CAMDEN NATIONAL CORP 0.00133034108 COMMON STOCK 1,401 64,20445.82FINANCIALS US

CAMECO CORP 0.0013321L108 COMMON STOCK 2,932 68,09823.22ENERGY CA

CAMPBELL SOUP CO 0.02134429109 COMMON STOCK 8,999 362,93040.33CONSUMER STAPLES US

CAN APARTMENT PROP REAL ESTA 0.00134921105 REAL ESTATE INVESTMENT TRUST 1,952 86,51744.32REAL ESTATE CA

CAN IMPERIAL BK OF COMMERCE 0.01136069101 COMMON STOCK 1,015 112,734111.05FINANCIALS CA

CANADA BOND FUTURE, 10-YEAR MAR 2022 9.23CGBMAR2022

CANADA BOND FUTURE, 10-YEAR 1,655 182,117,088110.04CA

CANADA GOVERNMENT INTERNATIONAL SRUNSECURED

0.05135087H64 CORPORATE BOND 1,000,000 1,017,459101.66US

CANADIAN IMPERIAL BANK OF COMMERCE 0.04136069TY7 CORPORATE BOND 750,000 758,883101.18CA

CANADIAN NATL RAILWAY CO 0.01136375102 COMMON STOCK 2,183 275,426126.18INDUSTRIALS CA

CANADIAN PACIFIC RAILWAY LTD 0.0113645T100 COMMON STOCK 1,913 133,29369.69INDUSTRIALS CA

CANADIAN TIRE CORP-CLASS A 0.01136681202 COMMON STOCK 1,775 233,592131.62CONSUMER DISCRETIONARY CA

CANADIAN UTILITIES LTD-A 0.01136717832 COMMON STOCK 3,970 106,16226.74UTILITIES CA

CANON INC 0.016172323 COMMON STOCK 6,208 136,68722.02INFORMATION TECHNOLOGY JP

CANOPY GROWTH CORP 0.00138035100 COMMON STOCK 4,806 51,39910.70HEALTH CARE CA

CANSINO BIOLOGICS INC-A 0.00CNE100004BM0

COMMON STOCK 1,223 53,73743.95HEALTH CARE CN

CANSINO BIOLOGICS INC-H 0.00BJKDJS2 COMMON STOCK 892 19,60821.99HEALTH CARE CN

CAPCOM CO LTD 0.016173694 COMMON STOCK 8,673 216,08924.92COMMUNICATION SERVICES JP

CAPGEMINI SE 0.014163437 COMMON STOCK 687 157,932229.74INFORMATION TECHNOLOGY FR

CAPITAL ONE FINANCIAL CORP 0.0114040H105 COMMON STOCK 1,090 153,227140.53FINANCIALS US

CAPITALAND INTEGRATED COMMER 0.006420129 REAL ESTATE INVESTMENT TRUST 4,942 7,6051.54REAL ESTATE SG

CAPITALAND INVESTMENT LTD/SI 0.00BNHXFJ6 COMMON STOCK 31,953 78,3012.45REAL ESTATE SG

CAPITEC BANK HOLDINGS LTD 0.006440859 COMMON STOCK 78 8,929113.77FINANCIALS ZA

CAPITOL FEDERAL FINANCIAL IN 0.0114057J101 COMMON STOCK 11,901 135,20011.36FINANCIALS US

CARDINAL HEALTH INC 0.0114149Y108 COMMON STOCK 2,931 135,50046.23HEALTH CARE US

CARL ZEISS MEDITEC AG - BR 0.025922961 COMMON STOCK 1,885 375,493199.18HEALTH CARE DE

CARLSBERG AS-B 0.014169219 COMMON STOCK 1,297 200,274154.38CONSUMER STAPLES DK

CARMAX INC 0.01143130102 COMMON STOCK 1,499 211,702141.25CONSUMER DISCRETIONARY US

CARREFOUR SA 0.015641567 COMMON STOCK 6,025 99,14216.46CONSUMER STAPLES FR

CARRIER GLOBAL CORP 0.0114448C104 COMMON STOCK 2,347 126,99954.12INDUSTRIALS US

CASELLA WASTE SYSTEMS INC-A 0.01147448104 COMMON STOCK 1,655 140,29584.78INDUSTRIALS US

CASH-USD 38.25110000 GENERAL LEDGER ACCOUNT 754,524,300 754,524,3001.00


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

17

CASIO COMPUTER CO LTD 0.006178967 COMMON STOCK 4,818 62,54012.98CONSUMER DISCRETIONARY JP

CASS INFORMATION SYSTEMS INC 0.0114808P109 COMMON STOCK 4,833 194,09940.16INFORMATION TECHNOLOGY US

CATCHER TECHNOLOGY CO LTD 0.006186669 COMMON STOCK 4,945 27,5685.57INFORMATION TECHNOLOGY TW

CATERPILLAR INC 0.01149123101 COMMON STOCK 967 187,022193.35INDUSTRIALS US

CATHAY FINANCIAL HOLDING CO 0.006425663 COMMON STOCK 14,760 31,8512.16FINANCIALS TW

CATHAY FINANCIAL HOLDING CO 0.006425663 COMMON STOCK 892 1,9252.16FINANCIALS TW

CATTLE FEEDER FUTURE APR 2022 0.15FCAPR2022

CATTLE FEEDER FUTURE 35 2,954,438168.82US

CATTLE FEEDER FUTURE JAN 2022 0.81FCJAN2022

CATTLE FEEDER FUTURE 194 15,990,450164.85US

CBIZ INC 0.01124805102 COMMON STOCK 5,777 208,15736.03INDUSTRIALS US

CBOE GLOBAL MARKETS INC 0.0112503M108 COMMON STOCK 1,006 129,775128.94FINANCIALS US

CBRE GROUP INC - A 0.0112504L109 COMMON STOCK 2,535 242,30295.57REAL ESTATE US

CCL INDUSTRIES INC - CL B 0.01124900309 COMMON STOCK 3,189 155,84148.87MATERIALS CA

CCR SA 0.002840970 COMMON STOCK 7,224 15,7432.18INDUSTRIALS BR

CD PROJEKT SA 0.007302215 COMMON STOCK 547 24,15644.18COMMUNICATION SERVICES PL

CELANESE CORP 0.03150870103 COMMON STOCK 4,218 638,476151.36MATERIALS US

CELLNEX TELECOM SA 0.01BX90C05 COMMON STOCK 1,806 105,77858.58COMMUNICATION SERVICES ES

CELLTRION HEALTHCARE CO LTD 0.00BYZ6DH8 COMMON STOCK 333 22,68368.19HEALTH CARE KR

CELLTRION INC 0.00B0C5YV1 COMMON STOCK 62 10,879174.26HEALTH CARE KR

CELLTRION PHARM INC 0.00B0V3YP0 COMMON STOCK 239 24,145101.02HEALTH CARE KR

CEMEX SAB-SPONS ADR PART CER 0.00151290889 AMERICAN DEPOSITORY RECEIPT 4,213 25,9116.15MATERIALS MX

CENCOSUD SA 0.00B00R3L2 COMMON STOCK 12,545 19,8761.58CONSUMER STAPLES CL

CENTENE CORP 0.0115135B101 COMMON STOCK 3,271 233,58571.41HEALTH CARE US

CENTERPOINT ENERGY INC 0.0215189T107 COMMON STOCK 17,419 451,32925.91UTILITIES US

CENTRAL JAPAN RAILWAY CO 0.016183552 COMMON STOCK 1,735 238,317137.39INDUSTRIALS JP

CENTRAL RETAIL CORP-FOREIGN 0.00BKV1PT5 COMMON STOCK 66,332 62,9900.95CONSUMER DISCRETIONARY TH

CERNER CORP 0.01156782104 COMMON STOCK 1,457 102,63470.45HEALTH CARE US

CEZ AS 0.015624030 COMMON STOCK 5,381 174,98732.52UTILITIES CZ

CEZ AS 0.005624030 COMMON STOCK 249 8,09232.52UTILITIES CZ

CF INDUSTRIES HOLDINGS INC 0.02125269100 COMMON STOCK 4,927 298,50460.59MATERIALS US

CGI INC 0.0212532H104 COMMON STOCK 3,726 309,95583.19INFORMATION TECHNOLOGY CA

CGN POWER CO LTD-H 0.01BSBMM04 COMMON STOCK 865,098 237,4740.27UTILITIES CN

CGN POWER CO LTD-H 0.00BSBMM04 COMMON STOCK 32,107 8,8130.27UTILITIES CN

CHAILEASE HOLDING CO LTD 0.00B58J1S8 COMMON STOCK 7,973 70,8298.88FINANCIALS TW

CHAMPIONX CORP 0.0015872M104 COMMON STOCK 4,321 88,19120.41ENERGY US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

18

CHAROEN POKPHAND FOOD-FORGN 0.00B5L2DG6 COMMON STOCK 80,802 57,0690.71CONSUMER STAPLES TH

CHAROEN POKPHAND INDONESI PT 0.006315344 COMMON STOCK 48,428 20,5410.42CONSUMER STAPLES ID

CHARTER COMMUNICATIONS INC-A 0.0216119P108 COMMON STOCK 569 367,654646.28COMMUNICATION SERVICES US

CHASE CORP 0.0116150R104 COMMON STOCK 2,402 236,76898.59MATERIALS US

CHECK POINT SOFTWARE TECH 0.01M22465104 COMMON STOCK 1,826 203,240111.31INFORMATION TECHNOLOGY IL

CHEIL WORLDWIDE INC 0.026093231 COMMON STOCK 21,793 398,11018.27COMMUNICATION SERVICES KR

CHENG SHIN RUBBER IND CO LTD 0.006190228 COMMON STOCK 27,558 33,2031.20CONSUMER DISCRETIONARY TW

CHESAPEAKE ENERGY CORP 0.01165167735 COMMON STOCK 2,102 125,14459.54ENERGY US

CHESAPEAKE UTILITIES CORP 0.01165303108 COMMON STOCK 1,604 204,247127.36UTILITIES US

CHEVRON CORP 0.02166764100 COMMON STOCK 2,629 296,761112.87ENERGY US

CHIBA BANK LTD/THE 0.006190563 COMMON STOCK 11,973 69,7025.82FINANCIALS JP

CHILDREN'S HOSPITAL MEDICAL CE SECURED 0.0216876AAA2 CORPORATE BOND 250,000 323,266129.12US

CHINA CINDA ASSET MANAGEME-H 0.00BGY6SV2 COMMON STOCK 29,431 4,7190.16FINANCIALS CN

CHINA COMMUNICATIONS SERVI-H 0.00B1HVJ16 COMMON STOCK 65,997 31,4920.48INDUSTRIALS CN

CHINA CONCH VENTURE HOLDINGS 0.01BH7HM06 COMMON STOCK 31,329 152,9114.88INDUSTRIALS CN

CHINA CONSTRUCTION BANK-A 0.01BP3R3L4 COMMON STOCK 164,814 149,0050.90FINANCIALS CN

CHINA CONSTRUCTION BANK-A 0.00BP3R3L4 COMMON STOCK 1,159 1,0480.90FINANCIALS CN

CHINA CONSTRUCTION BANK-H 0.00B0LMTQ3 COMMON STOCK 7,135 4,6490.65FINANCIALS CN

CHINA DEVELOPMENT FINANCIAL 0.006431756 COMMON STOCK 2,676 1,5780.59FINANCIALS TW

CHINA EVERBRIGHT BANK CO-A 0.00BP3R2P1 COMMON STOCK 2,051 1,0790.53FINANCIALS CN

CHINA FEIHE LTD 0.01BK0SBL1 COMMON STOCK 161,426 214,9351.33CONSUMER STAPLES CN

CHINA GAS HOLDINGS LTD 0.006460794 COMMON STOCK 49,886 89,7141.80UTILITIES HK

CHINA HONGQIAO GROUP LTD 0.00B44ZV94 COMMON STOCK 1,338 1,2970.97MATERIALS CN

CHINA INTERNATIONAL CAPITA-H 0.00BZ169C6 COMMON STOCK 1,070 2,5952.42FINANCIALS CN

CHINA LESSO GROUP HOLDINGS L 0.00BCDBKF8 COMMON STOCK 14,270 20,8301.46INDUSTRIALS CN

CHINA LESSO GROUP HOLDINGS L 0.00BCDBKF8 COMMON STOCK 892 1,3021.46INDUSTRIALS CN

CHINA LIFE INSURANCE CO LTD 0.006199816 COMMON STOCK 3,782 4,1691.10FINANCIALS TW

CHINA LITERATURE LTD 0.00BYP71J9 COMMON STOCK 2,676 18,7737.02COMMUNICATION SERVICES CN

CHINA LONGYUAN POWER GROUP-H 0.01B4Q2TX3 COMMON STOCK 69,565 142,7732.05UTILITIES CN

CHINA MEDICAL SYSTEM HOLDING 0.01B6WY993 COMMON STOCK 162,143 267,0541.65HEALTH CARE CN

CHINA MEIDONG AUTO HOLDINGS 0.00BH0VXF7 COMMON STOCK 10,702 51,8924.85CONSUMER DISCRETIONARY CN

CHINA MENGNIU DAIRY CO 0.00B01B1L9 COMMON STOCK 1,796 10,0235.58CONSUMER STAPLES HK

CHINA MENGNIU DAIRY CO 0.00B01B1L9 COMMON STOCK 2,676 14,9295.58CONSUMER STAPLES HK

CHINA MERCHANTS BANK-H 0.00B1DYPZ5 COMMON STOCK 5,738 44,3847.73FINANCIALS CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

19

CHINA MERCHANTS ENERGY -A 0.00BP3R8G4 COMMON STOCK 119,616 82,0450.69ENERGY CN

CHINA MINSHENG BANKING COR-H 0.00B57JY24 COMMON STOCK 7,581 2,9170.38FINANCIALS CN

CHINA MINSHENG BANKING-A 0.00BP3R2C8 COMMON STOCK 3,389 2,0690.61FINANCIALS CN

CHINA NATIONAL BUILDING MA-H 0.00B0Y91C1 COMMON STOCK 970 1,0481.08MATERIALS CN

CHINA NATIONAL NUCLEAR POW-A 0.00BYQDNJ0 COMMON STOCK 15,646 16,7731.07UTILITIES CN

CHINA NATIONAL NUCLEAR POW-A 0.01BYQDNJ0 COMMON STOCK 165,782 177,7221.07UTILITIES CN

CHINA NATIONAL SOFTWARE -A 0.00BP3R949 COMMON STOCK 1,962 15,9718.14INFORMATION TECHNOLOGY CN

CHINA NORTHERN RARE EARTH -A 0.00BP3R370 COMMON STOCK 3,657 30,8898.45MATERIALS CN

CHINA OILFIELD SERVICES-H 0.006560995 COMMON STOCK 119,508 94,7380.79ENERGY CN

CHINA PACIFIC INSURANCE GR-A 0.00BP3R2K6 COMMON STOCK 1,013 4,3084.25FINANCIALS CN

CHINA PETROLEUM & CHEMICAL-A 0.00BP3R240 COMMON STOCK 46,328 29,3770.63ENERGY CN

CHINA PETROLEUM & CHEMICAL-A 0.00BP3R240 COMMON STOCK 25,953 16,4570.63ENERGY CN

CHINA PETROLEUM & CHEMICAL-H 0.016291819 COMMON STOCK 241,486 105,6290.44ENERGY CN

CHINA POWER INTERNATIONAL 0.01B02ZKQ8 COMMON STOCK 214,119 109,3140.51UTILITIES HK

CHINA RAILWAY GROUP LTD-A 0.01BP3R3D6 COMMON STOCK 202,094 168,1170.83INDUSTRIALS CN

CHINA RAILWAY GROUP LTD-A 0.00BP3R3D6 COMMON STOCK 10,345 8,6060.83INDUSTRIALS CN

CHINA RAILWAY GROUP LTD-H 0.00B297KM7 COMMON STOCK 57,970 27,5880.48INDUSTRIALS CN

CHINA RAILWAY SIGNAL & COM-A 0.01BK71F88 COMMON STOCK 208,804 159,2780.76INFORMATION TECHNOLOGY CN

CHINA RESOURCES BEER HOLDING 0.006972459 COMMON STOCK 7,135 58,3908.18CONSUMER STAPLES HK

CHINA RESOURCES GAS GROUP LT 0.016535517 COMMON STOCK 27,011 139,8035.18UTILITIES HK

CHINA RESOURCES LAND LTD 0.006193766 COMMON STOCK 830 3,4564.16REAL ESTATE HK

CHINA RESOURCES PHARMACEUTIC 0.01BYNGG26 COMMON STOCK 521,271 226,6730.43HEALTH CARE CN

CHINA RESOURCES POWER HOLDIN 0.036711566 COMMON STOCK 200,680 521,2752.60UTILITIES HK

CHINA RESOURCES SANJIU MED-A 0.00BD5CL42 COMMON STOCK 17,126 65,6703.83HEALTH CARE CN

CHINA RESOURCES SANJIU MED-A 0.00BD5CL42 COMMON STOCK 302 1,1593.83HEALTH CARE CN

CHINA SHENHUA ENERGY CO-A 0.02BP3R262 COMMON STOCK 151,563 464,8373.07ENERGY CN

CHINA SHENHUA ENERGY CO-A 0.00BP3R262 COMMON STOCK 3,657 11,2153.07ENERGY CN

CHINA SHENHUA ENERGY CO-H 0.02B09N7M0 COMMON STOCK 237,173 491,6362.07ENERGY CN

CHINA SHENHUA ENERGY CO-H 0.00B09N7M0 COMMON STOCK 6,243 12,9412.07ENERGY CN

CHINA SOUTH PUBLISHING -A 0.00BP3R507 COMMON STOCK 45,482 65,6051.44COMMUNICATION SERVICES CN

CHINA SOUTH PUBLISHING -A 0.00BP3R507 COMMON STOCK 17,297 24,9491.44COMMUNICATION SERVICES CN

CHINA SOUTHERN AIRLINES CO-H 0.006013693 COMMON STOCK 46,376 25,6400.55INDUSTRIALS CN

CHINA STATE CONSTRUCTION -A 0.00BP3R2Q2 COMMON STOCK 9,364 6,8200.73INDUSTRIALS CN

CHINA STEEL CORP 0.006190950 COMMON STOCK 11,594 13,5731.17MATERIALS TW


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

20

CHINA TOURISM GROUP DUTY F-A 0.00BP3R466 COMMON STOCK 1,873 60,39532.25CONSUMER DISCRETIONARY CN

CHINA TOURISM GROUP DUTY F-A 0.00BP3R466 COMMON STOCK 89 2,87632.25CONSUMER DISCRETIONARY CN

CHINA TOWER CORP LTD-H 0.00BFZ2PK0 COMMON STOCK 615,381 78,1480.13COMMUNICATION SERVICES CN

CHINA TRADITIONAL CHINESE ME 0.026971779 COMMON STOCK 674,242 325,1920.48HEALTH CARE HK

CHINA UNITED NETWORK-A 0.02BP3R2X9 COMMON STOCK 640,351 389,9710.61COMMUNICATION SERVICES CN

CHINA UNITED NETWORK-A 0.00BP3R2X9 COMMON STOCK 28,539 17,3800.61COMMUNICATION SERVICES CN

CHINA YANGTZE POWER CO LTD-A 0.02BP3R2M8 COMMON STOCK 97,180 297,8943.07UTILITIES CN

CHINA YANGTZE POWER CO LTD-A 0.00BP3R2M8 COMMON STOCK 1,084 3,3223.07UTILITIES CN

CHINA YOUZAN LTD 0.00BMVHXD7 COMMON STOCK 317,499 28,5090.09INFORMATION TECHNOLOGY HK

CHINA ZHESHANG BANK CO LTD-A 0.00CNE100003PS9

COMMON STOCK 4,994 2,6890.54FINANCIALS CN

CHIPOTLE MEXICAN GRILL INC 0.01169656105 COMMON STOCK 126 206,7561,643.41CONSUMER DISCRETIONARY US

CHOCOLADEFABRIKEN LINDT-REG 0.025962309 COMMON STOCK 4 447,495122,541.60CONSUMER STAPLES CH

CHOLAMANDALAM INVESTMENT AND 0.00BJ9K2H4 COMMON STOCK 474 3,4767.33FINANCIALS IN

CHONGQING BREWERY CO-A 0.03BP3RCZ1 COMMON STOCK 25,953 588,98922.69CONSUMER STAPLES CN

CHONGQING CHANGAN AUTOMOB-A 0.00BD5CP62 COMMON STOCK 4,495 12,2552.73CONSUMER DISCRETIONARY CN

CHONGQING RURAL COMMERCIAL-H 0.00B4Q1Y57 COMMON STOCK 3,567 1,2170.34FINANCIALS CN

CHONGQING ZHIFEI BIOLOGICA-A 0.00BD5CJY8 COMMON STOCK 1,338 27,06220.23HEALTH CARE CN

CHONGQING ZHIFEI BIOLOGICA-A 0.00BD5CJY8 COMMON STOCK 89 1,80420.23HEALTH CARE CN

CHR HANSEN HOLDING A/S 0.01B573M11 COMMON STOCK 2,450 180,94473.84MATERIALS DK

CHUBB LTD 0.01H1467J104 COMMON STOCK 1,254 224,972179.47FINANCIALS CH

CHUBU ELECTRIC POWER CO INC 0.026195609 COMMON STOCK 47,529 479,70510.09UTILITIES JP

CHUGAI PHARMACEUTICAL CO LTD 0.016196408 COMMON STOCK 5,193 168,30032.41HEALTH CARE JP

CHUNGHWA TELECOM CO LTD 0.046287841 COMMON STOCK 196,208 790,3504.03COMMUNICATION SERVICES TW

CHUNGHWA TELECOM CO LTD 0.006287841 COMMON STOCK 2,382 9,5964.03COMMUNICATION SERVICES TW

CHURCH & DWIGHT CO INC 0.01171340102 COMMON STOCK 3,043 271,99589.38CONSUMER STAPLES US

CIA CERVECERIAS UNI-SPON ADR 0.00204429104 AMERICAN DEPOSITORY RECEIPT 614 9,87516.07CONSUMER STAPLES CL

CIA DE MINAS BUENAVENTUR-ADR 0.01204448104 AMERICAN DEPOSITORY RECEIPT 26,207 191,5747.31MATERIALS PE

CIA ENERGETICA DE-SPON ADR 0.00204409601 AMERICAN DEPOSITORY RECEIPT 1 22.30UTILITIES BR

CIA PARANAENSE DE ENERGI-PFB 0.002200154 PREFERENCE 38,492 41,8411.09UTILITIES BR

CIA SIDERURGICA NACIONAL SA 0.00B019KX8 COMMON STOCK 9,805 37,7713.85MATERIALS BR

CIA SIDERURGICA NACIONAL SA 0.00B019KX8 COMMON STOCK 803 3,0923.85MATERIALS BR

CIE FINANCIERE RICHEMO-A REG 0.01BCRWZ18 COMMON STOCK 834 123,127147.72CONSUMER DISCRETIONARY CH

CIGNA CORP 0.02125523100 COMMON STOCK 2,375 455,739191.90HEALTH CARE US

CIMB GROUP HOLDINGS BHD 0.006075745 COMMON STOCK 43,344 53,3121.23FINANCIALS MY


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

21

CINCINNATI FINANCIAL CORP 0.01172062101 COMMON STOCK 1,501 170,918113.90FINANCIALS US

CIPLA LTD 0.00B011108 COMMON STOCK 5,890 76,12212.92HEALTH CARE IN

CISCO SYSTEMS INC 0.0117275R102 COMMON STOCK 5,333 292,47454.84INFORMATION TECHNOLOGY US

CITIC LTD 0.006196152 COMMON STOCK 16,711 15,0900.90INDUSTRIALS CN

CITIC SECURITIES CO LTD-H 0.00B6SPB49 COMMON STOCK 15,607 37,2382.39FINANCIALS CN

CITIGROUP INC 0.01172967424 COMMON STOCK 2,265 144,31163.70FINANCIALS US

CITIZENS FINANCIAL GROUP 0.02174610105 COMMON STOCK 6,767 319,88947.27FINANCIALS US

CITRIX SYSTEMS INC 0.01177376100 COMMON STOCK 1,767 142,10480.43INFORMATION TECHNOLOGY US

CITY DEVELOPMENTS LTD 0.006197928 COMMON STOCK 10,042 51,4155.12REAL ESTATE SG

CITY HOLDING CO 0.01177835105 COMMON STOCK 2,097 164,51878.46FINANCIALS US

CJ CHEILJEDANG CORP 0.00B2492F5 COMMON STOCK 277 82,657298.00CONSUMER STAPLES KR

CJ CORP 0.006189516 COMMON STOCK 298 20,06167.35INDUSTRIALS KR

CJ ENM CO LTD 0.006199753 COMMON STOCK 267 30,485114.32CONSUMER DISCRETIONARY KR

CJ LOGISTICS 0.006497112 COMMON STOCK 505 52,693104.39INDUSTRIALS KR

CK INFRASTRUCTURE HOLDINGS L 0.04BYVS6J1 COMMON STOCK 123,248 713,7945.79UTILITIES HK

CLARIANT AG-REG 0.017113990 COMMON STOCK 6,945 135,45819.51MATERIALS CH

CLEARWAY ENERGY INC-A 0.0318539C105 COMMON STOCK 17,600 607,71334.53UTILITIES US

CLICKS GROUP LTD 0.006105578 COMMON STOCK 3,150 55,73217.69CONSUMER STAPLES ZA

CLOROX COMPANY 0.02189054109 COMMON STOCK 2,127 346,367162.85CONSUMER STAPLES US

CLP HOLDINGS LTD 0.106097017 COMMON STOCK 201,995 1,979,5649.80UTILITIES HK

CMC MATERIALS INC 0.0012571T100 COMMON STOCK 739 98,100132.80INFORMATION TECHNOLOGY US

CME 3 20220915 0.0312572QAE5


CME GROUP INC 0.0112572Q105 COMMON STOCK 666 146,960220.52FINANCIALS US

CMS ENERGY CORP 0.03125896100 COMMON STOCK 10,324 607,54758.85UTILITIES US

CNH INDUSTRIAL NV 0.01BDSV2V0 COMMON STOCK 8,877 146,42616.50INDUSTRIALS GB

CNP ASSURANCES 0.015543986 COMMON STOCK 5,358 130,09024.28FINANCIALS FR

CO FOR COOPERATIVE INSURANCE 0.00B05M583 COMMON STOCK 597 12,32620.66FINANCIALS SA

COAL INDIA LTD 0.00B4Z9XF5 COMMON STOCK 16,086 32,5362.02ENERGY IN

COCA-COLA CO/THE 0.01191216100 COMMON STOCK 4,054 212,64152.45CONSUMER STAPLES US

COCA-COLA EUROPACIFIC PARTNE 0.01G25839104 COMMON STOCK 2,524 124,62449.37CONSUMER STAPLES GB

COCA-COLA FEMSA SAB-SP ADR 0.00191241108 AMERICAN DEPOSITORY RECEIPT 143 7,00949.12CONSUMER STAPLES MX

COCA-COLA HBC AG-DI 0.01B9895B7 COMMON STOCK 3,487 107,10830.72CONSUMER STAPLES CH

COCHLEAR LTD 0.016211798 COMMON STOCK 1,315 203,023154.43HEALTH CARE AU

COCOA FUTURE MAR 2022 1.01CCMAR2022

COCOA FUTURE 846 19,847,1602,346.00US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

22

COFFEE 'C' FUTURE MAR 2022 0.64KCMAR2022

COFFEE 'C' FUTURE 144 12,544,200232.30US

COGENT COMMUNICATIONS HOLDIN 0.0319239V302 COMMON STOCK 8,872 664,81374.93COMMUNICATION SERVICES US

COGNIZANT TECH SOLUTIONS-A 0.01192446102 COMMON STOCK 3,287 256,35677.98INFORMATION TECHNOLOGY US

COLBUN SA 0.002309255 COMMON STOCK 302,553 19,6760.07UTILITIES CL

COLES GROUP LTD 0.01BYWR0T5 COMMON STOCK 16,549 211,44912.78CONSUMER STAPLES AU

COLGATE-PALMOLIVE CO 0.02194162103 COMMON STOCK 4,751 356,39575.02CONSUMER STAPLES US

COLOPLAST-B 0.02B8FMRX8 COMMON STOCK 2,882 468,064162.40HEALTH CARE DK

COLRUYT SA 0.045806225 COMMON STOCK 15,104 702,81746.53CONSUMER STAPLES BE

COMCAST CORP-CLASS A 0.0220030N101 COMMON STOCK 6,898 344,74449.98COMMUNICATION SERVICES US

COMMERCIAL BANK PSQC 0.006150448 COMMON STOCK 19,891 35,7831.80FINANCIALS QA

COMMERCIAL BANK PSQC 0.006150448 COMMON STOCK 1,151 2,0711.80FINANCIALS QA

COMMERCIAL INTL BANK-GDR REG 0.015668287 GLOBAL DEPOSITORY RECEIPTS 41,305 127,8403.10FINANCIALS EG

COMMONWEALTH BANK OF AUSTRAL 0.016215035 COMMON STOCK 1,506 99,52566.07FINANCIALS AU

COMMUNITY BANK SYSTEM INC 0.01203607106 COMMON STOCK 1,902 134,42370.66FINANCIALS US

COMMUNITY TRUST BANCORP INC 0.00204149108 COMMON STOCK 1,707 71,69142.00FINANCIALS US

COMMVAULT SYSTEMS INC 0.01204166102 COMMON STOCK 1,686 106,00962.88INFORMATION TECHNOLOGY US

COMPAGNIE DE SAINT GOBAIN 0.017380482 COMMON STOCK 2,374 150,10263.24INDUSTRIALS FR

COMPAL ELECTRONICS 0.006225744 COMMON STOCK 56,187 46,7810.83INFORMATION TECHNOLOGY TW

COMPAL ELECTRONICS 0.006225744 COMMON STOCK 16,053 13,3660.83INFORMATION TECHNOLOGY TW

COMPASS GROUP PLC 0.00BD6K457 COMMON STOCK 4,799 92,86319.35CONSUMER DISCRETIONARY GB

COMPASS MINERALS INTERNATION 0.0120451N101 COMMON STOCK 4,913 239,03348.65MATERIALS US

COMPUTER PROGRAMS & SYSTEMS 0.02205306103 COMMON STOCK 15,419 454,38529.47HEALTH CARE US

COMPUTERSHARE LTD 0.016180412 COMMON STOCK 13,651 184,78113.54INFORMATION TECHNOLOGY AU

CONAGRA BRANDS INC 0.02205887102 COMMON STOCK 11,316 345,69030.55CONSUMER STAPLES US

CONCORDIA FINANCIAL GROUP LT 0.00BD97JW7 COMMON STOCK 16,959 61,6853.64FINANCIALS JP

CONOCOPHILLIPS 0.0220825C104 COMMON STOCK 5,039 353,36870.13ENERGY US

CONSENSUS CLOUD SOLUTION 0.0020848V105 COMMON STOCK 498 31,20462.64INFORMATION TECHNOLOGY US

CONSOLIDATED EDISON INC 0.04209115104 COMMON STOCK 8,976 696,91477.64UTILITIES US

CONSTELLATION BRANDS INC-A 0.0221036P108 COMMON STOCK 1,517 341,827225.33CONSUMER STAPLES US

CONSTELLATION SOFTWARE INC 0.0121037X100 COMMON STOCK 161 272,2681,694.49INFORMATION TECHNOLOGY CA

CONTAINER CORP OF INDIA LTD 0.00BG0ZVG9 COMMON STOCK 8,215 67,7728.25INDUSTRIALS IN

CONTINENTAL AG 0.004598589 COMMON STOCK 485 51,674106.59CONSUMER DISCRETIONARY DE

COOPER COS INC/THE 0.01216648402 COMMON STOCK 400 150,671376.47HEALTH CARE US

COPPER FUTURE (CMX) MAR 2022 1.07HGMAR2022

COPPER FUTURE (CMX) 198 21,186,000428.00US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

23

CORN FUTURE (CBT) MAR 2022 0.75CMAR2022

CORN FUTURE (CBT) 521 14,783,375567.50US

CORPORACION ANDI 4.375 20220615 0.06B7VZ4D3 CORPORATE BOND 1,125,000 1,170,497102.03US

CORTEVA INC 0.0122052L104 COMMON STOCK 5,894 265,22545.00MATERIALS US

COSCO SHIPPING ENERGY TRAN-A 0.01BP3R9Y9 COMMON STOCK 133,956 124,2610.93ENERGY CN

COSCO SHIPPING HOLDINGS CO-A 0.00BP3R552 COMMON STOCK 2,087 5,6902.73INDUSTRIALS CN

COSCO SHIPPING HOLDINGS CO-H 0.00B0B8Z18 COMMON STOCK 4,816 8,2411.71INDUSTRIALS CN

COSMOS PHARMACEUTICAL CORP 0.01B036QP1 COMMON STOCK 822 127,432155.09CONSUMER STAPLES JP

COSTCO WHOLESALE CORP 0.0222160K105 COMMON STOCK 741 399,778539.38CONSUMER STAPLES US

COTERRA ENERGY INC 0.02127097103 COMMON STOCK 15,255 306,31720.08ENERGY US

COTTON NO.2 FUTURE MAR 2022 0.49CTMAR2022

COTTON NO.2 FUTURE 180 9,576,900106.41US

COUNCIL OF EUROPE DEVELOPMENT BANK 0.05222213AR1 CORPORATE BOND 875,000 904,894102.63FR

COUNCIL OF EUROPE DEVELOPMENT BANK 0.07222213AS9 CORPORATE BOND 1,375,000 1,438,782103.99FR

COUNCIL OF EUROPE DEVELOPMENT BANK 0.02222213AT7 CORPORATE BOND 375,000 380,681101.20FR

COUNTRY GARDEN HOLDINGS CO 0.00B1VKYN6 COMMON STOCK 646 5700.88REAL ESTATE CN

COUNTRY GARDEN SERVICES HOLD 0.00BDQZP48 COMMON STOCK 3,567 21,5766.05REAL ESTATE CN

COWAY CO LTD 0.006173401 COMMON STOCK 851 48,49056.99CONSUMER DISCRETIONARY KR

CP ALL PCL-FOREIGN 0.00B08YDF9 COMMON STOCK 38,617 67,0411.74CONSUMER STAPLES TH

CPFL ENERGIA SA 0.00B031NN3 COMMON STOCK 6,600 30,8454.67UTILITIES BR

CREDICORP LTD 0.00G2519Y108 COMMON STOCK 216 25,468118.00FINANCIALS PE

CRH PLC 0.014182249 COMMON STOCK 3,346 161,64648.31MATERIALS IE

CRODA INTERNATIONAL PLC 0.02BJFFLV0 COMMON STOCK 2,766 370,184133.82MATERIALS GB

CRRC CORP LTD-A 0.00BP3R358 COMMON STOCK 5,262 5,0300.96INDUSTRIALS CN

CSG SYSTEMS INTL INC 0.01126349109 COMMON STOCK 3,382 178,25552.71INFORMATION TECHNOLOGY US

CSL LTD 0.016185495 COMMON STOCK 1,224 266,314217.53HEALTH CARE AU

CSPC PHARMACEUTICAL GROUP LT 0.006191997 COMMON STOCK 50,096 51,9221.04HEALTH CARE CN

CSPC PHARMACEUTICAL GROUP LT 0.006191997 COMMON STOCK 7,135 7,3951.04HEALTH CARE CN

CSW INDUSTRIALS INC 0.01126402106 COMMON STOCK 1,534 184,331120.20INDUSTRIALS US

CSX CORP 0.01126408103 COMMON STOCK 5,929 205,51534.66INDUSTRIALS US

CTBC FINANCIAL HOLDING CO LT 0.006527666 COMMON STOCK 47,899 42,0340.88FINANCIALS TW

CTBC FINANCIAL HOLDING CO LT 0.006527666 COMMON STOCK 892 7830.88FINANCIALS TW

CTS CORP 0.00126501105 COMMON STOCK 1,873 65,26634.84INFORMATION TECHNOLOGY US

CUMMINS INC 0.01231021106 COMMON STOCK 1,378 288,935209.75INDUSTRIALS US

CVB FINANCIAL CORP 0.01126600105 COMMON STOCK 7,562 144,51819.11FINANCIALS US

CVS HEALTH CORP 0.04126650100 COMMON STOCK 8,739 778,31289.06HEALTH CARE US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

24

CYBERAGENT INC 0.016220501 COMMON STOCK 13,785 254,11118.43COMMUNICATION SERVICES JP

CYBERARK SOFTWARE LTD/ISRAEL 0.02M2682V108

COMMON STOCK 1,873 323,811172.85INFORMATION TECHNOLOGY IL

CYFROWY POLSAT SA 0.00B2QRCM4 COMMON STOCK 8,704 73,8158.48COMMUNICATION SERVICES PL

DAAN GENE CO LTD-A 0.00BD5CKW3 COMMON STOCK 5,551 18,5053.33HEALTH CARE CN

DABUR INDIA LTD 0.006297356 COMMON STOCK 11,510 91,1227.92CONSUMER STAPLES IN

DABUR INDIA LTD 0.006297356 COMMON STOCK 1,291 10,2167.92CONSUMER STAPLES IN

DADA NEXUS LTD-ADR 0.0023344D108 AMERICAN DEPOSITORY RECEIPT 1,363 24,62518.07CONSUMER DISCRETIONARY CN

DAEWOO SHIPBUILDING & MARINE 0.006211732 COMMON STOCK 582 11,32519.45INDUSTRIALS KR

DAI-ICHI LIFE HOLDINGS INC 0.00B601QS4 COMMON STOCK 4,017 80,90920.14FINANCIALS JP

DAIICHI SANKYO CO LTD 0.01B0J7D91 COMMON STOCK 4,291 106,73724.88HEALTH CARE JP

DAILY JOURNAL CORP 0.03233912104 COMMON STOCK 1,628 593,023364.32COMMUNICATION SERVICES US

DAIMLER AG-REGISTERED SHARES 0.015529027 COMMON STOCK 1,467 137,06593.43CONSUMER DISCRETIONARY DE

DAITO TRUST CONSTRUCT CO LTD 0.016250508 COMMON STOCK 913 98,816108.24REAL ESTATE JP

DAIWA HOUSE INDUSTRY CO LTD 0.006251363 COMMON STOCK 1,522 44,44529.20REAL ESTATE JP

DAIWA HOUSE REIT INVESTMENT 0.01B0Z6WY0 REAL ESTATE INVESTMENT TRUST 58 166,4682,849.09REAL ESTATE JP

DALI FOODS GROUP CO LTD 0.02BYQ9796 COMMON STOCK 661,518 347,9060.53CONSUMER STAPLES CN

DANAHER CORP 0.02235851102 COMMON STOCK 1,021 328,414321.64HEALTH CARE US

DANONE 0.00B1Y9TB3 COMMON STOCK 1,638 95,84658.52CONSUMER STAPLES FR

DANSKE BANK A/S 0.014588825 COMMON STOCK 8,537 139,93216.39FINANCIALS DK

DAQO NEW ENERGY CORP-ADR 0.0023703Q203 AMERICAN DEPOSITORY RECEIPT 357 20,45657.34INFORMATION TECHNOLOGY CN

DAR AL ARKAN REAL ESTATE DEV 0.00B2NC4X7 COMMON STOCK 26,059 63,5572.44REAL ESTATE SA

DARDEN RESTAURANTS INC 0.01237194105 COMMON STOCK 1,275 175,943137.95CONSUMER DISCRETIONARY US

DASHENLIN PHARMACEUTICAL G-A 0.00BFB4S78 COMMON STOCK 9,097 50,3455.53CONSUMER STAPLES CN

DASSAULT SYSTEMES SE 0.01BM8H5Y5 COMMON STOCK 2,616 156,59859.87INFORMATION TECHNOLOGY FR

DAVIDE CAMPARI-MILANO NV 0.02BMQ5W17 COMMON STOCK 22,548 326,64214.49CONSUMER STAPLES IT

DAVITA INC 0.0123918K108 COMMON STOCK 2,124 200,73494.50HEALTH CARE US

DAX INDEX FUTURE DEC 2021 0.63FDXDEC2021

DAX INDEX FUTURE 29 12,357,66717,045.06DE

DBREI 0.100 04/15/2023 0.71B423JZ2 TREASURY INFLATIONARY PROTECTED 12,058,848 14,027,064116.25DE

DBREI 0.500 04/15/2030 0.97BLM7VX5 TREASURY INFLATIONARY PROTECTED 13,674,731 19,214,762140.16DE

DCC PLC 0.000242493 COMMON STOCK 945 69,23173.27INDUSTRIALS IE

DEERE & CO 0.01244199105 COMMON STOCK 666 230,276345.54INDUSTRIALS US

DELIVERY HERO SE 0.01BZCNB42 COMMON STOCK 812 107,525132.48CONSUMER DISCRETIONARY DE

DELTA ELECTRONICS INC 0.006260734 COMMON STOCK 7,135 65,6919.21INFORMATION TECHNOLOGY TW

DELTA ELECTRONICS INC 0.006260734 COMMON STOCK 1,562 14,3789.21INFORMATION TECHNOLOGY TW


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

25

DELTA ELECTRONICS THAI-FORGN 0.006418919 COMMON STOCK 2,943 38,95313.24INFORMATION TECHNOLOGY TH

DELTA ELECTRONICS THAI-FORGN 0.006418919 COMMON STOCK 268 3,54113.24INFORMATION TECHNOLOGY TH

DEMANT A/S 0.01BZ01RF1 COMMON STOCK 3,751 178,10747.48HEALTH CARE DK

DENSO CORP 0.016640381 COMMON STOCK 1,643 120,57273.37CONSUMER DISCRETIONARY JP

DENTSPLY SIRONA INC 0.0124906P109 COMMON STOCK 2,306 112,37548.74HEALTH CARE US

DENTSU GROUP INC 0.016416281 COMMON STOCK 4,970 158,01631.79COMMUNICATION SERVICES JP

DEUTSCHE BANK AG-REGISTERED 0.005750355 COMMON STOCK 6,684 80,19712.00FINANCIALS DE

DEUTSCHE BUNDESREPUBLIK I REGS BONDS I/L 1.45BWBXZW8 TREASURY INFLATIONARY PROTECTED 22,930,216 28,694,714125.07DE

DEUTSCHE BUNDESREPUBLIK I REGS BONDS I/L 0.87BZ0D4B2 TREASURY INFLATIONARY PROTECTED 9,087,754 17,143,830188.58DE

DEUTSCHE BUNDESREPUBLIK INFLATION LINKED BOND 0.45BLNB8N5 TREASURY INFLATIONARY PROTECTED 6,204,897 8,888,191143.15DE

DEUTSCHE LUFTHANSA-REG 0.005287488 COMMON STOCK 3,663 22,1026.03INDUSTRIALS DE

DEUTSCHE POST AG-REG 0.014617859 COMMON STOCK 3,697 217,07058.72INDUSTRIALS DE

DEUTSCHE TELEKOM AG-REG 0.015842359 COMMON STOCK 10,538 184,90117.55COMMUNICATION SERVICES DE

DEVON ENERGY CORP 0.0725179M103 COMMON STOCK 32,055 1,348,23142.06ENERGY US

DEXCOM INC 0.01252131107 COMMON STOCK 482 271,320562.59HEALTH CARE US

DHC SOFTWARE CO LTD -A 0.00BD5CNL3 COMMON STOCK 19,710 22,4601.14INFORMATION TECHNOLOGY CN

DIAGEO PLC 0.010237400 COMMON STOCK 3,304 166,08350.27CONSUMER STAPLES GB

DIALOG GROUP BHD 0.00B00MRS2 COMMON STOCK 65,539 39,8380.61ENERGY MY

DIALOG GROUP BHD 0.00B00MRS2 COMMON STOCK 4,816 2,9270.61ENERGY MY

DIAMONDBACK ENERGY INC 0.0425278X109 COMMON STOCK 7,396 789,408106.73ENERGY US

DIASORIN SPA 0.03B234WN9 COMMON STOCK 2,446 519,626212.46HEALTH CARE IT

DIGI.COM BHD 0.016086242 COMMON STOCK 117,190 116,0350.99COMMUNICATION SERVICES MY

DIGITAL REALTY TRUST INC 0.01253868103 REAL ESTATE INVESTMENT TRUST 614 103,070167.74REAL ESTATE US

DINO POLSKA SA 0.00BD0YVN2 COMMON STOCK 179 14,74482.25CONSUMER STAPLES PL

DIODES INC 0.00254543101 COMMON STOCK 631 67,155106.35INFORMATION TECHNOLOGY US

DIRECT LINE INSURANCE GROUP 0.00BY9D0Y1 COMMON STOCK 10,851 38,8483.58FINANCIALS GB

DISCO CORP 0.016270948 COMMON STOCK 365 104,847287.11INFORMATION TECHNOLOGY JP

DISCOVER FINANCIAL SERVICES 0.01254709108 COMMON STOCK 1,469 158,398107.85FINANCIALS US

DISCOVERY INC - A 0.0325470F104 COMMON STOCK 26,500 616,65923.27COMMUNICATION SERVICES US

DISCOVERY LTD 0.006177878 COMMON STOCK 9,685 80,5538.32FINANCIALS ZA

DISH NETWORK CORP-A 0.0125470M109 COMMON STOCK 7,190 224,69631.25COMMUNICATION SERVICES US

DIVI'S LABORATORIES LTD 0.006602518 COMMON STOCK 1,039 67,45164.92HEALTH CARE IN

DLF LTD 0.00B1YLCV0 COMMON STOCK 4,816 24,0184.99REAL ESTATE IN

DNB BANK ASA 0.00BNG7113 COMMON STOCK 1,729 37,61421.75FINANCIALS NO


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

26

DOLLAR GENERAL CORP 0.02256677105 COMMON STOCK 1,413 312,714221.30CONSUMER DISCRETIONARY US

DOLLAR TREE INC 0.02256746108 COMMON STOCK 2,926 391,523133.83CONSUMER DISCRETIONARY US

DOLLARAMA INC 0.0125675T107 COMMON STOCK 5,876 252,74643.02CONSUMER DISCRETIONARY CA

DOMINION ENERGY INC 0.0325746U109 COMMON STOCK 8,914 634,69371.20UTILITIES US

DOMINO'S PIZZA ENTERPRISES L 0.01B07SFG7 COMMON STOCK 2,192 201,61591.98CONSUMER DISCRETIONARY AU

DOMINO'S PIZZA INC 0.0125754A201 COMMON STOCK 407 213,116524.14CONSUMER DISCRETIONARY US

DONEGAL GROUP INC-CL A 0.00257701201 COMMON STOCK 4,484 60,98713.60FINANCIALS US

DONGFANG ELECTRIC CORP LTD-A 0.00BP3R604 COMMON STOCK 15,116 48,4013.20INDUSTRIALS CN

DOOSAN BOBCAT INC 0.01BYX9GP8 COMMON STOCK 5,315 161,98330.47INDUSTRIALS KR

DOOSAN HEAVY INDUSTRIES 0.006294670 COMMON STOCK 1,420 22,71015.99INDUSTRIALS KR

DOUZONE BIZON CO LTD 0.006510989 COMMON STOCK 668 42,40063.47INFORMATION TECHNOLOGY KR

DOVER CORP 0.01260003108 COMMON STOCK 792 129,808163.85INDUSTRIALS US

DOW INC 0.03260557103 COMMON STOCK 12,018 660,17354.93MATERIALS US

DR HORTON INC 0.0223331A109 COMMON STOCK 4,528 442,40797.70CONSUMER DISCRETIONARY US

DR SULAIMAN AL HABIB MEDICAL 0.00BLGM738 COMMON STOCK 563 24,63143.77HEALTH CARE SA

DR. REDDY'S LABORATORIES 0.006410959 COMMON STOCK 1,334 83,01262.22HEALTH CARE IN

DRIL-QUIP INC 0.00262037104 COMMON STOCK 1,704 32,56219.11ENERGY US

DSP GROUP INC 0.0023332B106 COMMON STOCK 3,957 87,01721.99INFORMATION TECHNOLOGY US

DTE ENERGY COMPANY 0.07233331107 COMMON STOCK 12,013 1,301,485108.34UTILITIES US

DUBAI ISLAMIC BANK 0.016283452 COMMON STOCK 115,981 162,9311.40FINANCIALS AE

DUBAI ISLAMIC BANK 0.006283452 COMMON STOCK 4,126 5,7961.40FINANCIALS AE

DUCKHORN PORTFOLIO INC/THE 0.0126414D106 COMMON STOCK 14,525 279,03519.21CONSUMER STAPLES US

DUKE ENERGY CORP 0.0326441C204 COMMON STOCK 5,225 506,85197.01UTILITIES US

DYNEX CAPITAL INC 0.0026817Q886 REAL ESTATE INVESTMENT TRUST 2,711 45,33216.72FINANCIALS US

E-MART INC 0.02B682TF7 COMMON STOCK 2,793 336,257120.38CONSUMER STAPLES KR

E-MINI RUSSELL 2000 DEC 2021 6.21RTYDEC2021

E-MINI RUSSELL 2000 1,115 122,499,4752,197.30US

E-MINI S&P 500 INDEX FUTURE DEC 2021 8.10ESDEC2021

E-MINI S&P 500 INDEX FUTURE 700 159,818,7504,566.25US

E-MINI S&P 500 INDEX FUTURE DEC 2021 0.54ESDEC2021

E-MINI S&P 500 INDEX FUTURE 47 10,730,6884,566.25US

E.ON SE 0.044942904 COMMON STOCK 64,049 785,39812.26UTILITIES DE

E.SUN FINANCIAL HOLDING CO 0.006433912 COMMON STOCK 46,004 44,5900.97FINANCIALS TW

EAST JAPAN RAILWAY CO 0.006298542 COMMON STOCK 1,180 72,62861.53INDUSTRIALS JP

EASTERLY GOVERNMENT PROPERTI 0.0027616P103 REAL ESTATE INVESTMENT TRUST 2,131 44,68520.97REAL ESTATE US

EASTERN CO SAE 0.016298177 COMMON STOCK 241,422 171,5300.71CONSUMER STAPLES EG

EASTGROUP PROPERTIES INC 0.01277276101 REAL ESTATE INVESTMENT TRUST 699 142,307203.70REAL ESTATE US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

27

EASTMAN CHEMICAL CO 0.01277432100 COMMON STOCK 2,671 278,576104.29MATERIALS US

EATON CORP PLC 0.01G29183103 COMMON STOCK 1,213 196,499162.06INDUSTRIALS US

EBAY INC 0.02278642103 COMMON STOCK 6,507 438,99267.46CONSUMER DISCRETIONARY US

ECLAT TEXTILE COMPANY LTD 0.016345783 COMMON STOCK 12,529 261,80020.90CONSUMER DISCRETIONARY TW

ECOLAB INC 0.01278865100 COMMON STOCK 936 207,357221.47MATERIALS US

ECOVACS ROBOTICS CO LTD-A 0.00BDFWW61 COMMON STOCK 1,605 41,30525.73CONSUMER DISCRETIONARY CN

EDENRED 0.01B62G1B5 COMMON STOCK 2,413 107,33644.48INFORMATION TECHNOLOGY FR

EDF 0.02B0NJJ17 COMMON STOCK 27,656 385,69613.95UTILITIES FR

EDISON INTERNATIONAL 0.03281020107 COMMON STOCK 8,313 542,70265.28UTILITIES US

EDP-ENERGIAS DE PORTUGAL SA 0.004103596 COMMON STOCK 13,946 75,8845.44UTILITIES PT

EDWARDS LIFESCIENCES CORP 0.0128176E108 COMMON STOCK 2,100 225,303107.31HEALTH CARE US

EICHER MOTORS LTD 0.00BMW4CV8 COMMON STOCK 1,176 37,10431.54CONSUMER DISCRETIONARY IN

EIFFAGE 0.00B13X013 COMMON STOCK 928 85,92792.55INDUSTRIALS FR

EISAI CO LTD 0.016307200 COMMON STOCK 2,142 129,64460.53HEALTH CARE JP

ELBIT SYSTEMS LTD 0.016308913 COMMON STOCK 1,174 171,860146.38INDUSTRIALS IL

ELECTROLUX AB-B 0.00BP81612 COMMON STOCK 4,022 89,76022.31CONSUMER DISCRETIONARY SE

ELECTRONIC ARTS INC 0.02285512109 COMMON STOCK 3,518 437,019124.22COMMUNICATION SERVICES US

ELI LILLY & CO 0.01532457108 COMMON STOCK 614 152,411248.04HEALTH CARE US

ELIA GROUP SA/NV 0.01B09M9F4 COMMON STOCK 1,761 217,852123.70UTILITIES BE

ELISA OYJ 0.015701513 COMMON STOCK 2,763 164,68359.61COMMUNICATION SERVICES FI

EMAAR ECONOMIC CITY 0.00B19NK95 COMMON STOCK 17,324 51,1662.95REAL ESTATE SA

EMAAR PROPERTIES PJSC 0.00B01RM25 COMMON STOCK 61,779 78,8821.28REAL ESTATE AE

EMERA INC 0.01290876101 COMMON STOCK 2,672 122,25745.75UTILITIES CA

EMERSON ELECTRIC CO 0.01291011104 COMMON STOCK 1,472 129,33087.84INDUSTRIALS US

EMIRATES NBD PJSC 0.00B28PFX8 COMMON STOCK 811 2,9133.59FINANCIALS AE

EMIRATES TELECOM GROUP CO 0.066322173 COMMON STOCK 143,984 1,252,0388.70COMMUNICATION SERVICES AE

EMIRATES TELECOM GROUP CO 0.006322173 COMMON STOCK 322 2,8008.70COMMUNICATION SERVICES AE

EMPIRE CO LTD 'A' 0.01291843407 COMMON STOCK 10,327 294,89128.55CONSUMER STAPLES CA

EMPRESAS CMPC SA 0.002196015 COMMON STOCK 7,129 11,4661.61MATERIALS CL

EMPRESAS COPEC SA 0.002196026 COMMON STOCK 2,650 19,4117.33ENERGY CL

ENAGAS SA 0.007383072 COMMON STOCK 3,057 69,14022.61UTILITIES ES

ENCORE WIRE CORP 0.02292562105 COMMON STOCK 2,134 299,730140.46INDUSTRIALS US

ENDEAVOUR GROUP LTD/AUSTRALI 0.00BNVS144 COMMON STOCK 7,216 35,0484.86CONSUMER STAPLES AU

ENDESA SA 0.005271782 COMMON STOCK 2,488 55,54322.33UTILITIES ES


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

28

ENEL CHILE SA-ADR 0.0029278D105 AMERICAN DEPOSITORY RECEIPT 5,709 12,5592.20UTILITIES CL

ENEL SPA 0.007144569 COMMON STOCK 7,559 57,0687.55UTILITIES IT

ENEOS HOLDINGS INC 0.11B627LW9 COMMON STOCK 556,370 2,074,6573.73ENERGY JP

ENERGISA SA-UNITS 0.00B56XQT8 UNIT 4,281 34,4758.05UTILITIES BR

ENERGIZER HOLDINGS INC 0.0229272W109

COMMON STOCK 8,197 304,84337.19CONSUMER STAPLES US

ENERPAC TOOL GROUP CORP 0.00292765104 COMMON STOCK 3,712 78,35121.11INDUSTRIALS US

ENERSYS 0.0029275Y102 COMMON STOCK 1,053 78,04974.09INDUSTRIALS US

ENGIE 0.01B0C2CQ3 COMMON STOCK 15,569 224,49514.42UTILITIES FR

ENGIE BRASIL ENERGIA SA 0.00BD1WX84 COMMON STOCK 5,617 38,3136.82UTILITIES BR

ENN ENERGY HOLDINGS LTD 0.036333937 COMMON STOCK 32,832 616,55618.78UTILITIES CN

ENN NATURAL GAS CO LTD-A 0.01BYYFJJ0 COMMON STOCK 45,574 139,7723.07UTILITIES CN

ENNIS INC 0.00293389102 COMMON STOCK 3,010 57,24919.02INDUSTRIALS US

ENTERGY CORP 0.0329364G103 COMMON STOCK 5,148 516,566100.34UTILITIES US

ENVESTNET INC 0.0029404K106 COMMON STOCK 1,044 80,07576.67INFORMATION TECHNOLOGY US

EOG RESOURCES INC 0.0126875P101 COMMON STOCK 2,886 251,11087.00ENERGY US

EPLUS INC 0.01294268107 COMMON STOCK 1,331 140,414105.49INFORMATION TECHNOLOGY US

EQUATORIAL ENERGIA SA - ORD 0.00B128R96 COMMON STOCK 2,676 10,6914.00UTILITIES BR

EREGLI DEMIR VE CELIK FABRIK 0.00B03MS97 COMMON STOCK 10,997 18,6691.70MATERIALS TR

EREGLI DEMIR VE CELIK FABRIK 0.00B03MS97 COMMON STOCK 1,637 2,7801.70MATERIALS TR

ERICSSON LM-B SHS 0.015959378 COMMON STOCK 13,830 138,93110.05INFORMATION TECHNOLOGY SE

ESCO TECHNOLOGIES INC 0.01296315104 COMMON STOCK 3,142 256,84781.74INDUSTRIALS US

ESSILORLUXOTTICA 0.017212477 COMMON STOCK 1,085 216,108199.25CONSUMER DISCRETIONARY FR

ESSITY AKTIEBOLAG-B 0.00BF1K7P7 COMMON STOCK 2,531 80,42731.78CONSUMER STAPLES SE

ESTEE LAUDER COMPANIES-CL A 0.02518439104 COMMON STOCK 1,021 339,064332.07CONSUMER STAPLES US

ETHAN ALLEN INTERIORS INC 0.02297602104 COMMON STOCK 19,781 445,06422.50CONSUMER DISCRETIONARY US

ETIHAD ETISALAT CO 0.01B12LR51 COMMON STOCK 18,900 158,1908.37COMMUNICATION SERVICES SA

EURAZEO SE 0.007042395 COMMON STOCK 666 54,27481.44FINANCIALS FR

EURO BUXL 30Y BND DEC 2021 2.05UBDEC2021

EURO BUXL 30Y BND 165 40,510,350245.52DE

EURO BUXL 30Y BND MAR 2022 0.01UBMAR2022

EURO BUXL 30Y BND 1 243,469243.47DE

EURO-BOBL FUTURE DEC 2021 8.33OEDEC2021

EURO-BOBL FUTURE 1,078 164,416,204152.52DE

EURO-BOBL FUTURE MAR 2022 0.01OEMAR2022

EURO-BOBL FUTURE 1 151,169151.17DE

EURO-BTP IT GOVT BOND FUTURES DEC 2021 3.36IKDEC2021 EURO-BTP IT GOVT BOND FUTURES 388 66,209,070170.64IT

EURO-BUND FUTURE DEC 2021 4.34FGBLDEC2021

EURO-BUND FUTURE 441 85,563,163194.02DE

EURO-BUND FUTURE MAR 2022 0.01FGBLMAR2022

EURO-BUND FUTURE 1 195,957195.96DE


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

29

EUROFINS SCIENTIFIC 0.01BNDPYV1 COMMON STOCK 1,817 230,958127.13HEALTH CARE LU

EUROPEAN BANK FOR RECONSTRUCTI SR UNSECUREDGMTN

0.0529874QDH4


EUROPEAN INVESTMENT BANK 0.03298785HM1

CORPORATE BOND 625,000 661,241105.75LU

EUROPEAN INVESTMENT BANK 0.03298785HT6 CORPORATE BOND 625,000 666,129105.13LU

EUROPEAN INVESTMENT BANK 0.05298785GJ9 CORPORATE BOND 1,000,000 1,066,544105.55US

EUROPEAN INVESTMENT BANK 0.04298785HD1 CORPORATE BOND 750,000 784,165104.27US

EUROPEAN INVESTMENT BANK SR UNSECURED 0.05298785HP4 CORPORATE BOND 1,000,000 1,032,513102.72US

EVE ENERGY CO LTD-A 0.00BD5C7G6 COMMON STOCK 89 2,04722.95INDUSTRIALS CN

EVERCOMMERCE INC 0.0029977X105 COMMON STOCK 4,162 67,75116.28INFORMATION TECHNOLOGY US

EVERGREEN MARINE CORP LTD 0.016324500 COMMON STOCK 63,342 283,6274.48INDUSTRIALS TW

EVERGREEN MARINE CORP LTD 0.006324500 COMMON STOCK 184 8234.48INDUSTRIALS TW

EVERGY INC 0.0330034W106

COMMON STOCK 10,049 636,11763.30UTILITIES US

EVERSOURCE ENERGY 0.0230040W108

COMMON STOCK 5,337 439,06482.27UTILITIES US

EVERTEC INC 0.0130040P103 COMMON STOCK 2,573 108,03741.99INFORMATION TECHNOLOGY PR

EVOLUTION MINING LTD 0.01B3X0F91 COMMON STOCK 76,768 219,3632.86MATERIALS AU

EVONIK INDUSTRIES AG 0.00B5ZQ9D3 COMMON STOCK 3,107 93,05529.95MATERIALS DE

EXELON CORP 0.0330161N101 COMMON STOCK 11,104 585,51652.73UTILITIES US

EXLSERVICE HOLDINGS INC 0.01302081104 COMMON STOCK 1,756 228,058129.87INFORMATION TECHNOLOGY US

EXPEDITORS INTL WASH INC 0.03302130109 COMMON STOCK 4,990 606,826121.62INDUSTRIALS US

EXPONENT INC 0.0130214U102 COMMON STOCK 1,843 214,739116.50INDUSTRIALS US

EXPORT DEVELOPMENT CANADA 0.1130216BHC9


EXPORT DEVELOPMENT CANADA 0.0530216BHH8

GOVERNMENT BOND 1,000,000 1,047,933104.06CA

EXTRA SPACE STORAGE INC 0.0030225T102 REAL ESTATE INVESTMENT TRUST 412 82,414200.00REAL ESTATE US

EXXARO RESOURCES LTD 0.036418801 COMMON STOCK 62,832 595,2749.47ENERGY ZA

EXXON MOBIL CORP 0.0530231GAT9


EXXON MOBIL CORP 0.0130231G102 COMMON STOCK 4,328 258,96759.84ENERGY US

F45 TRAINING HOLDINGS INC 0.0330322L101 COMMON STOCK 61,376 653,03510.64CONSUMER DISCRETIONARY US

F5 INC 0.04315616102 COMMON STOCK 3,656 831,979227.58INFORMATION TECHNOLOGY US

FAIRFAX FINANCIAL HLDGS LTD 0.00303901102 COMMON STOCK 186 82,312441.96FINANCIALS CA

FALCON MINERALS CORP 0.0230607B109 COMMON STOCK 100,254 465,1794.64ENERGY US

FAR EASTERN NEW CENTURY CORP 0.006331470 COMMON STOCK 48,709 48,8761.00INDUSTRIALS TW

FAR EASTONE TELECOMM CO LTD 0.046421854 COMMON STOCK 329,094 727,9142.21COMMUNICATION SERVICES TW

FARMLAND PARTNERS INC 0.0031154R109 REAL ESTATE INVESTMENT TRUST 2,387 27,66011.59REAL ESTATE US

FAST RETAILING CO LTD 0.006332439 COMMON STOCK 146 86,707593.60CONSUMER DISCRETIONARY JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

30

FASTENAL CO 0.02311900104 COMMON STOCK 5,253 310,82059.17INDUSTRIALS US

FAURECIA 0.004400446 COMMON STOCK 140 5,95942.66CONSUMER DISCRETIONARY FR

FAWRY FOR BANKING & PAYMENT 0.02BJGWQG0 COMMON STOCK 483,978 399,1790.82INFORMATION TECHNOLOGY EG

FEDERAL REALTY INVS TRUST 0.00313745101 REAL ESTATE INVESTMENT TRUST 794 97,407122.67REAL ESTATE US

FEDERAL SIGNAL CORP 0.01313855108 COMMON STOCK 4,818 204,43242.43INDUSTRIALS US

FEDEX CORP 0.0231428X106 COMMON STOCK 1,428 328,891230.37INDUSTRIALS US

FERGUSON PLC 0.01BJVNSS4 COMMON STOCK 715 108,429151.68INDUSTRIALS GB

FERROVIAL SA 0.01B038516 COMMON STOCK 3,749 103,62827.64INDUSTRIALS ES

FIBERHOME TELECOM TECH CO-A 0.00BP3R886 COMMON STOCK 17,480 48,7002.79INFORMATION TECHNOLOGY CN

FIDELITY NATIONAL INFO SERV 0.0131620M106 COMMON STOCK 1,357 141,760104.50INFORMATION TECHNOLOGY US

FIFTH THIRD BANCORP 0.02316773100 COMMON STOCK 7,444 313,75342.15FINANCIALS US

FILA HOLDINGS CORP 0.00B66CTX7 COMMON STOCK 1,348 39,67529.42CONSUMER DISCRETIONARY KR

FINANCIAL STREET HOLDINGS-A 0.00BD5CMG1 COMMON STOCK 981 8480.86REAL ESTATE CN

FINLAND 6.950 20260215 0.06317873AY3 CORPORATE BOND 1,000,000 1,240,982122.05US

FIRST ABU DHABI BANK PJSC 0.016624471 COMMON STOCK 23,281 121,5675.22FINANCIALS AE

FIRST FINANCIAL HOLDING CO 0.006580119 COMMON STOCK 39,168 32,5410.83FINANCIALS TW

FIRST FINL BANKSHARES INC 0.0132020R109 COMMON STOCK 2,074 103,52349.92FINANCIALS US

FIRST QUANTUM MINERALS LTD 0.01335934105 COMMON STOCK 4,831 102,55421.23MATERIALS CA

FIRSTENERGY CORP 0.03337932107 COMMON STOCK 15,486 583,21837.66UTILITIES US

FIRSTRAND LTD 0.006606996 COMMON STOCK 4,593 16,0033.48FINANCIALS ZA

FIRSTSERVICE CORP 0.0133767E202 COMMON STOCK 611 116,905191.41REAL ESTATE CA

FISERV INC 0.01337738108 COMMON STOCK 1,178 113,68896.52INFORMATION TECHNOLOGY US

FISHER & PAYKEL HEALTHCARE C 0.016340250 COMMON STOCK 5,456 123,41622.62HEALTH CARE NZ

FLAT GLASS GROUP CO LTD-H 0.00BYQ9774 COMMON STOCK 6,243 27,3884.39INFORMATION TECHNOLOGY CN

FLORIDA POWER & LIGHT CO 0.05341081FM4 CORPORATE BOND 1,000,000 1,081,808106.62US

FLUTTER ENTERTAINMENT PLC-DI 0.01BWT6H89 COMMON STOCK 954 128,595134.79CONSUMER DISCRETIONARY IE

FMC CORP 0.02302491303 COMMON STOCK 3,207 321,332100.19MATERIALS US

FMS WERTMANAGEMENT 0.0530254WAP4

CORPORATE BOND 1,000,000 1,053,058104.38DE

FMS WERTMANAGEMENT AOER GOVT GUARANTEED 0.0830254WAN9


FOCUS MEDIA INFORMATION TE-A 0.00BD5CND5 COMMON STOCK 14,716 16,3301.11COMMUNICATION SERVICES CN

FOMENTO ECONOMICO MEX-SP ADR 0.00344419106 AMERICAN DEPOSITORY RECEIPT 1,011 71,54470.74CONSUMER STAPLES MX

FORD OTOMOTIV SANAYI AS 0.02B03MSR5 COMMON STOCK 22,965 425,48218.53CONSUMER DISCRETIONARY TR

FORMOSA CHEMICALS & FIBRE 0.006348715 COMMON STOCK 26,586 74,6782.81MATERIALS TW

FORMOSA PETROCHEMICAL CORP 0.046718716 COMMON STOCK 244,132 837,6403.43ENERGY TW


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

31

FORMOSA PLASTICS CORP 0.006348544 COMMON STOCK 22,661 83,5393.69MATERIALS TW

FORRESTER RESEARCH INC 0.01346563109 COMMON STOCK 2,399 135,37356.44INDUSTRIALS US

FORTIS INC 0.00349553107 COMMON STOCK 1,356 58,40143.08UTILITIES CA

FORTUM OYJ 0.005579550 COMMON STOCK 1,485 42,48428.60UTILITIES FI

FORTUNE BRANDS HOME & SECURI 0.0234964C106 COMMON STOCK 3,020 303,634100.53INDUSTRIALS US

FOSHAN HAITIAN FLAVOURING -A 0.00BTFRHX0 COMMON STOCK 3,246 57,22117.63CONSUMER STAPLES CN

FOX CORP - CLASS B 0.0235137L204 COMMON STOCK 9,087 305,33833.60COMMUNICATION SERVICES US

FOXCONN TECHNOLOGY CO LTD 0.006801779 COMMON STOCK 13,521 31,7072.34INFORMATION TECHNOLOGY TW

FOXCONN TECHNOLOGY CO LTD 0.006801779 COMMON STOCK 7,697 18,0482.34INFORMATION TECHNOLOGY TW

FRANCE (GOVT OF) 0.487453317 TREASURY INFLATIONARY PROTECTED 5,332,921 9,535,982177.56FR

FRANCE GOVERNMENT BOND OA REGS BONDS OATI 0.71BW4Q278 TREASURY INFLATIONARY PROTECTED 11,566,211 13,918,789120.26FR

FRANCE GOVERNMENT OATEI 0.700 07/25/2030 0.19BNB7RZ4 TREASURY INFLATIONARY PROTECTED 2,703,376 3,795,833140.13FR

FRANCO-NEVADA CORP 0.01351858105 COMMON STOCK 1,435 195,985136.56MATERIALS CA

FRANKLIN ELECTRIC CO INC 0.01353514102 COMMON STOCK 2,505 220,54588.05INDUSTRIALS US

FRANKLIN RESOURCES INC 0.02354613101 COMMON STOCK 11,316 366,62432.40FINANCIALS US

FRASER & NEAVE HOLDINGS BHD 0.006555946 COMMON STOCK 5,708 34,6966.08CONSUMER STAPLES MY

FREEPORT-MCMORAN INC 0.0135671D857 COMMON STOCK 5,222 193,63237.08MATERIALS US

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.31BFMNWH2 TREASURY INFLATIONARY PROTECTED 4,348,540 6,177,674142.02FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.35BJ9J293 TREASURY INFLATIONARY PROTECTED 5,293,140 6,908,888130.53FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.22BDVNQS8 TREASURY INFLATIONARY PROTECTED 2,690,600 4,359,999162.01FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.24BDCKJW3 TREASURY INFLATIONARY PROTECTED 3,707,758 4,669,978125.95FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.52BMY72S2 TREASURY INFLATIONARY PROTECTED 8,221,678 10,235,406124.41FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.21BMW13H2 TREASURY INFLATIONARY PROTECTED 3,045,633 4,204,913137.98FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.28BN4Q1D4 TREASURY INFLATIONARY PROTECTED 4,117,200 5,542,129134.57FR

FRENCH REPUBLIC GOVERNMENT BOND OAT 0.22BNNTS55 TREASURY INFLATIONARY PROTECTED 3,258,048 4,308,956132.17FR

FRESENIUS MEDICAL CARE AG & 0.015129074 COMMON STOCK 1,838 109,18059.41HEALTH CARE DE

FRESH DEL MONTE PRODUCE INC 0.01G36738105 COMMON STOCK 8,136 201,44124.76CONSUMER STAPLES US

FTSE 100 INDEX FUTURES DEC 2021 1.12FFIDEC2021

FTSE 100 INDEX FUTURES 236 22,104,4129,366.28GB

FUBON FINANCIAL HOLDING CO 0.006411673 COMMON STOCK 615 1,6182.63FINANCIALS TW

FUCHS PETROLUB SE-PREF 0.01BNHRG84 PREFERENCE 3,241 144,46244.57MATERIALS DE

FUJIAN SUNNER DEVELOPMENT-A 0.00BD5CHS8 COMMON STOCK 21,226 72,9953.44CONSUMER STAPLES CN

FUJIFILM HOLDINGS CORP 0.026356525 COMMON STOCK 4,049 318,47178.66INFORMATION TECHNOLOGY JP

FUJITSU LTD 0.016356945 COMMON STOCK 639 105,783165.53INFORMATION TECHNOLOGY JP

FUYAO GLASS INDUSTRY GROUP-A 0.00BP3R6K4 COMMON STOCK 3,735 26,9627.22CONSUMER DISCRETIONARY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

32

FUYAO GLASS INDUSTRY GROUP-H 0.00BWGCFG4 COMMON STOCK 7,135 39,3085.51CONSUMER DISCRETIONARY CN

G-BITS NETWORK TECHNOLOGY-A 0.00BYZQW37 COMMON STOCK 1,070 63,13758.99COMMUNICATION SERVICES CN

GAIL INDIA LTD 0.016133405 COMMON STOCK 121,093 209,1471.73UTILITIES IN

GALAXY ENTERTAINMENT GROUP L 0.006465874 COMMON STOCK 14,607 79,9145.47CONSUMER DISCRETIONARY HK

GAOTU TECHEDU INC 0.0036257Y109 AMERICAN DEPOSITORY RECEIPT 4,458 11,9042.67CONSUMER DISCRETIONARY CN

GAP INC/THE 0.01364760108 COMMON STOCK 6,042 99,88216.53CONSUMER DISCRETIONARY US

GARMIN LTD 0.03H2906T109 COMMON STOCK 4,012 535,792133.54CONSUMER DISCRETIONARY CH

GARTNER INC 0.01366651107 COMMON STOCK 934 291,498312.25INFORMATION TECHNOLOGY US

GAS OIL FUTURE (ICE) JAN 2022 0.58QSJAN2022

GAS OIL FUTURE (ICE) 191 11,417,025597.75US

GAS OIL FUTURE (ICE) MAR 2022 0.06QSMAR2022

GAS OIL FUTURE (ICE) 21 1,248,975594.75US

GASOLINE RBOB FUT (NYM) JAN 2022 0.54XBJAN2022

GASOLINE RBOB FUT (NYM) 131 10,674,430194.01US

GASOLINE RBOB FUT (NYM) MAR 2022 0.06XBMAR2022

GASOLINE RBOB FUT (NYM) 15 1,218,861193.47US

GATX CORP 0.00361448103 COMMON STOCK 590 58,15198.50INDUSTRIALS US

GCL SYSTEM INTEGRATION TEC-A 0.00BD6QVT8 COMMON STOCK 43,879 29,7530.68INFORMATION TECHNOLOGY CN

GCP APPLIED TECHNOLOGIES 0.0036164Y101 COMMON STOCK 3,952 92,24223.34MATERIALS US

GDS HOLDINGS LTD - ADR 0.0036165L108 AMERICAN DEPOSITORY RECEIPT 381 21,34156.04INFORMATION TECHNOLOGY CN

GE CAPITAL INTERNATIONAL 0.0636164QNA2


GEBERIT AG-REG 0.01B1WGG93 COMMON STOCK 151 114,564760.54INDUSTRIALS CH

GECINA SA 0.007742468 REAL ESTATE INVESTMENT TRUST 269 36,196134.40REAL ESTATE FR

GEELY AUTOMOBILE HOLDINGS LT 0.006531827 COMMON STOCK 2,676 7,9452.97CONSUMER DISCRETIONARY HK

GEELY AUTOMOBILE HOLDINGS LT 0.006531827 COMMON STOCK 4,854 14,4152.97CONSUMER DISCRETIONARY HK

GENERAL MILLS INC 0.02370334104 COMMON STOCK 7,390 456,47661.77CONSUMER STAPLES US

GENMAB A/S 0.014595739 COMMON STOCK 649 249,340384.13HEALTH CARE DK

GENSCRIPT BIOTECH CORP 0.00BD9Q2J2 COMMON STOCK 7,677 40,3755.26HEALTH CARE CN

GENSCRIPT BIOTECH CORP 0.00BD9Q2J2 COMMON STOCK 1,030 5,4175.26HEALTH CARE CN

GENTHERM INC 0.0137253A103 COMMON STOCK 1,694 143,05084.45CONSUMER DISCRETIONARY US

GENTING MALAYSIA BHD 0.00B1VXKN7 COMMON STOCK 86,510 56,8990.66CONSUMER DISCRETIONARY MY

GERDAU SA-PREF 0.002645517 PREFERENCE 1,159 5,2964.57MATERIALS BR

GERMAN AMERICAN BANCORP 0.00373865104 COMMON STOCK 1,895 74,16639.13FINANCIALS US

GF SECURITIES CO LTD-A 0.00BD5CQ36 COMMON STOCK 803 2,9403.66FINANCIALS CN

GFL ENVIRONMENTAL INC-SUB VT 0.00BKDT649 COMMON STOCK 2,190 84,05238.38INDUSTRIALS CA

GIANT MANUFACTURING 0.006372167 COMMON STOCK 892 9,99211.20CONSUMER DISCRETIONARY TW

GIANT NETWORK GROUP CO LTD-A 0.00BD6QVW1 COMMON STOCK 18,729 29,6901.59COMMUNICATION SERVICES CN

GIGADEVICE SEMICONDUCTOR B-A 0.00BHWLWF8 COMMON STOCK 524 12,39623.64INFORMATION TECHNOLOGY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

33

GILDAN ACTIVEWEAR INC 0.01375916103 COMMON STOCK 6,769 273,09140.34CONSUMER DISCRETIONARY CA

GILEAD SCIENCES INC 0.01375558103 COMMON STOCK 4,098 282,47068.93HEALTH CARE US

GIVAUDAN-REG 0.015980613 COMMON STOCK 49 239,7294,862.76MATERIALS CH

GJENSIDIGE FORSIKRING ASA 0.00B4PH0C5 COMMON STOCK 3,211 72,38322.54FINANCIALS NO

GLACIER BANCORP INC 0.0037637Q105 COMMON STOCK 1,201 65,20254.30FINANCIALS US

GLAXOSMITHKLINE PLC 0.010925288 COMMON STOCK 9,377 189,18720.18HEALTH CARE GB

GLOBAL PAYMENTS INC 0.0137940X102 COMMON STOCK 1,190 141,624119.04INFORMATION TECHNOLOGY US

GLOBAL POWER SYNERGY PCL-F 0.00BWX43T2 COMMON STOCK 6,931 15,1172.18UTILITIES TH

GLOBAL WATER RESOURCES INC 0.00379463102 COMMON STOCK 3,121 53,74717.22UTILITIES US

GLOBALWAFERS CO LTD 0.00BS7JP33 COMMON STOCK 220 6,45729.31INFORMATION TECHNOLOGY TW

GLOBE TELECOM INC 0.016284864 COMMON STOCK 4,473 291,34165.14COMMUNICATION SERVICES PH

GLP J-REIT 0.00B8RBZV7 REAL ESTATE INVESTMENT TRUST 61 97,1291,587.92REAL ESTATE JP

GMO PAYMENT GATEWAY INC 0.00B06CMQ9 COMMON STOCK 639 85,719134.13INFORMATION TECHNOLOGY JP

GN STORE NORD A/S 0.014501093 COMMON STOCK 2,856 162,94457.06HEALTH CARE DK

GODREJ CONSUMER PRODUCTS LTD 0.00B1BDGY0 COMMON STOCK 6,006 73,76912.28CONSUMER STAPLES IN

GOLD 100 OZ FUTURES (CMX) FEB 2022 3.87GCFEB2022

GOLD 100 OZ FUTURES (CMX) 430 76,389,5001,776.50US

GOLD FIELDS LTD-SPONS ADR 0.0038059T106 AMERICAN DEPOSITORY RECEIPT 2,423 27,47911.34MATERIALS ZA

GOLDMAN SACHS GROUP INC 0.0138141G104 COMMON STOCK 271 103,158380.99FINANCIALS US

GOME RETAIL HOLDINGS LTD 0.00B01Z8S7 COMMON STOCK 599,326 52,2770.09CONSUMER DISCRETIONARY CN

GOOGLE 3.375 20240225 0.0202079KAB3 CORPORATE BOND 400,000 425,989105.60US

GORMAN-RUPP CO 0.01383082104 COMMON STOCK 2,690 116,29743.23INDUSTRIALS US

GOTION HIGH-TECH CO LTD-A 0.00BD5CJ71 COMMON STOCK 6,867 71,70010.44INDUSTRIALS CN

GPT GROUP 0.006365866 REAL ESTATE INVESTMENT TRUST 19,381 72,4213.74REAL ESTATE AU

GRAHAM HOLDINGS CO-CLASS B 0.03384637104 COMMON STOCK 930 526,945566.52CONSUMER DISCRETIONARY US

GRASIM INDUSTRIES LTD 0.00BYQKH33 COMMON STOCK 3,630 80,29622.12MATERIALS IN

GREAT SOUTHERN BANCORP INC 0.00390905107 COMMON STOCK 1,231 68,47255.63FINANCIALS US

GREAT WALL MOTOR CO LTD-A 0.00BP3R325 COMMON STOCK 1,427 13,4079.40CONSUMER DISCRETIONARY CN

GREAT WALL MOTOR COMPANY-H 0.006718255 COMMON STOCK 5,351 22,3774.18CONSUMER DISCRETIONARY CN

GREAT WALL MOTOR COMPANY-H 0.006718255 COMMON STOCK 3,121 13,0534.18CONSUMER DISCRETIONARY CN

GREAT-WEST LIFECO INC 0.0039138C106 COMMON STOCK 365 10,55628.91FINANCIALS CA

GREENTOWN SERVICE GROUP CO L 0.00BD20C13 COMMON STOCK 62,430 59,9000.96REAL ESTATE CN

GREIF INC-CL B 0.01397624206 COMMON STOCK 3,821 226,07759.17MATERIALS US

GRIFOLS SA 0.01BYY3DX6 COMMON STOCK 8,886 158,32817.82HEALTH CARE ES

GROWTHPOINT PROPERTIES LTD 0.01BBGB5W0 REAL ESTATE INVESTMENT TRUST 323,592 269,5970.83REAL ESTATE ZA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

34

GRUMA S.A.B.-B 0.002392545 COMMON STOCK 6,621 80,08112.09CONSUMER STAPLES MX

GRUPO AEROPORTUARIO PAC-ADR 0.00400506101 AMERICAN DEPOSITORY RECEIPT 177 20,499115.50INDUSTRIALS MX

GRUPO AEROPORTUARIO SUR-ADR 0.0040051E202 AMERICAN DEPOSITORY RECEIPT 426 77,907182.75INDUSTRIALS MX

GRUPO BIMBO SAB- SERIES A 0.012392471 COMMON STOCK 59,487 155,6272.62CONSUMER STAPLES MX

GRUPO CARSO SAB DE CV-SER A1 0.002393452 COMMON STOCK 7,670 22,2612.90INDUSTRIALS MX

GRUPO DE INV SURAMERICANA 0.00BMSK715 COMMON STOCK 2,005 12,5826.28FINANCIALS CO

GRUPO FINANCIERO BANORTE-O 0.012421041 COMMON STOCK 22,258 132,7125.96FINANCIALS MX

GRUPO FINANCIERO BANORTE-O 0.002421041 COMMON STOCK 2,497 14,8895.96FINANCIALS MX

GRUPO FINANCIERO INBURSA-O 0.002822398 COMMON STOCK 18,856 18,1550.96FINANCIALS MX

GRUPO MEXICO SAB DE CV-SER B 0.002643674 COMMON STOCK 3,746 15,6394.18MATERIALS MX

GRUPO MEXICO SAB DE CV-SER B 0.002643674 COMMON STOCK 2,319 9,6814.18MATERIALS MX

GRUPO TELEVISA SA-SPON ADR 0.0040049J206 AMERICAN DEPOSITORY RECEIPT 1,934 17,7779.19COMMUNICATION SERVICES MX

GS ENGINEERING & CONSTRUCT 0.016537096 COMMON STOCK 4,932 152,37230.89INDUSTRIALS KR

GS HOLDINGS 0.00B01RJV3 COMMON STOCK 976 30,80131.57ENERGY KR

GS HOLDINGS 0.00B01RJV3 COMMON STOCK 143 4,50531.57ENERGY KR

GT CAPITAL HOLDINGS INC 0.00B77H110 COMMON STOCK 4,002 45,27111.31INDUSTRIALS PH

GUANGDONG HONGDA HOLDIN-A 0.00BHQPRQ2 COMMON STOCK 8,473 40,1884.74MATERIALS CN

GUANGDONG INVESTMENT LTD 0.026913168 COMMON STOCK 235,449 313,4961.33UTILITIES HK

GUANGDONG INVESTMENT LTD 0.006913168 COMMON STOCK 10,702 14,2501.33UTILITIES HK

GUANGHUI ENERGY CO LTD-A 0.00BP3R3N6 COMMON STOCK 84,923 79,3100.93ENERGY CN

GUANGZHOU AUTOMOBILE GROUP-H 0.00B433995 COMMON STOCK 41,025 41,9941.02CONSUMER DISCRETIONARY CN

GUANGZHOU BAIYUNSHAN PHAR-A 0.00BP3R4Q6 COMMON STOCK 5,797 26,7334.61HEALTH CARE CN

GUANGZHOU HAIGE COMMUNICAT-A 0.00BD5CM72 COMMON STOCK 28,361 46,3841.64INFORMATION TECHNOLOGY CN

GUANGZHOU KINGMED DIAGNOST-A 0.00BFYX689 COMMON STOCK 1,070 18,38417.18HEALTH CARE CN

GUDANG GARAM TBK PT 0.006366999 COMMON STOCK 8,569 18,7862.19CONSUMER STAPLES ID

GULF ENERGY DEVELOPM-FOREIGN 0.00BLR5MQ4 COMMON STOCK 46,185 53,7951.16UTILITIES TH

H.B. FULLER CO. 0.02359694106 COMMON STOCK 4,514 330,27473.16MATERIALS US

HABIB BANK LTD 0.00B282PJ5 COMMON STOCK 72,445 51,0200.70FINANCIALS PK

HACKETT GROUP INC/THE 0.01404609109 COMMON STOCK 5,787 118,40920.46INFORMATION TECHNOLOGY US

HAIER SMART HOME CO LTD-H 0.00BLD4QD0 COMMON STOCK 5,531 20,7183.75CONSUMER DISCRETIONARY CN

HAITIAN INTERNATIONAL HLDGS 0.00B1L2RC2 COMMON STOCK 534 1,4662.75INDUSTRIALS CN

HAITONG SECURITIES CO LTD-H 0.00B71SXC4 COMMON STOCK 25,329 21,2810.84FINANCIALS CN

HAKUHODO DY HOLDINGS INC 0.01B05LZ02 COMMON STOCK 11,229 167,43214.91COMMUNICATION SERVICES JP

HALMA PLC 0.010405207 COMMON STOCK 7,086 281,35139.70INFORMATION TECHNOLOGY GB


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

35

HAMAMATSU PHOTONICS KK 0.016405870 COMMON STOCK 2,008 123,46861.47INFORMATION TECHNOLOGY JP

HANA FINANCIAL GROUP 0.00B0RNRF5 COMMON STOCK 635 21,11533.25FINANCIALS KR

HANA FINANCIAL GROUP 0.00B0RNRF5 COMMON STOCK 315 10,46933.25FINANCIALS KR

HANESBRANDS INC 0.01410345102 COMMON STOCK 15,681 253,25616.15CONSUMER DISCRETIONARY US

HANG SENG BANK LTD 0.006408374 COMMON STOCK 2,556 45,25017.70FINANCIALS HK

HANG SENG INDEX FUTURE DEC 2021 1.02HSIDEC2021

HANG SENG INDEX FUTURE 134 20,175,1573,011.22HK

HANGZHOU SILAN MICROELECTR-A 0.00BP3RCV7 COMMON STOCK 3,389 33,0179.74INFORMATION TECHNOLOGY CN

HANGZHOU TIGERMED CONSULTI-A 0.00BD5CCK5 COMMON STOCK 1,528 32,91921.55HEALTH CARE CN

HANKOOK TIRE & TECHNOLOGY CO 0.00B7T5KQ0 COMMON STOCK 1,238 40,01632.33CONSUMER DISCRETIONARY KR

HANMI PHARM CO LTD 0.00B613DJ9 COMMON STOCK 97 20,663212.56HEALTH CARE KR

HANSOH PHARMACEUTICAL GROUP 0.00BJYKB72 COMMON STOCK 11,075 22,6162.04HEALTH CARE CN

HAP SENG CONSOLIDATED 0.006297743 COMMON STOCK 16,499 29,7741.80INDUSTRIALS MY

HAP SENG CONSOLIDATED 0.006297743 COMMON STOCK 2,854 5,1501.80INDUSTRIALS MY

HAPVIDA PARTICIPACOES E INVE 0.00BF4J7N9 COMMON STOCK 18,180 35,1141.93HEALTH CARE BR

HARGREAVES LANSDOWN PLC 0.00B1VZ0M2 COMMON STOCK 2,074 36,69017.69FINANCIALS GB

HARMONY GOLD MNG-SPON ADR 0.00413216300 AMERICAN DEPOSITORY RECEIPT 6,003 25,5734.26MATERIALS ZA

HARTALEGA HOLDINGS BHD 0.01B2QPJK5 COMMON STOCK 84,013 129,4651.54HEALTH CARE MY

HARTFORD FINANCIAL SVCS GRP 0.01416515104 COMMON STOCK 3,014 199,22266.10FINANCIALS US

HASBRO INC 0.01418056107 COMMON STOCK 2,170 210,27196.91CONSUMER DISCRETIONARY US

HAVELLS INDIA LTD 0.00BQGZWP9 COMMON STOCK 3,519 63,70318.10INDUSTRIALS IN

HCA HEALTHCARE INC 0.0340412C101 COMMON STOCK 2,728 615,340225.59HEALTH CARE US

HCL TECHNOLOGIES LTD 0.016294896 COMMON STOCK 8,886 134,64015.15INFORMATION TECHNOLOGY IN

HCL TECHNOLOGIES LTD 0.006294896 COMMON STOCK 879 13,32315.15INFORMATION TECHNOLOGY IN

HEALTHCARE REALTY TRUST INC 0.00421946104 REAL ESTATE INVESTMENT TRUST 2,550 79,86231.32REAL ESTATE US

HEALTHPEAK PROPERTIES INC 0.0042250P103 REAL ESTATE INVESTMENT TRUST 2,377 78,09832.86REAL ESTATE US

HEALTHSTREAM INC 0.0142222N103 COMMON STOCK 12,379 287,43023.22HEALTH CARE US

HEARTLAND EXPRESS INC 0.01422347104 COMMON STOCK 7,329 122,68616.74INDUSTRIALS US

HEATING OIL FUTURE (NYM) JAN 2022 0.56HOJAN2022

HEATING OIL FUTURE (NYM) 128 11,076,173206.03US

HEATING OIL FUTURE (NYM) MAR 2022 0.06HOMAR2022

HEATING OIL FUTURE (NYM) 14 1,200,637204.19US

HEILONGJIANG AGRICULTURE-A 0.00BFF5BX4 COMMON STOCK 29,610 66,2722.24CONSUMER STAPLES CN

HEINEKEN NV 0.017792559 COMMON STOCK 1,249 123,62498.99CONSUMER STAPLES NL

HELEN OF TROY LTD 0.05G4388N106

COMMON STOCK 3,987 958,920240.50CONSUMER DISCRETIONARY US

HELLENIC TELECOMMUN ORGANIZA 0.015051605 COMMON STOCK 13,925 239,11517.17COMMUNICATION SERVICES GR

HELLO GROUP INC -SPN ADR 0.00423403104 AMERICAN DEPOSITORY RECEIPT 2,199 25,44611.57COMMUNICATION SERVICES CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

36

HELLOFRESH SE 0.01BYWH8S0 COMMON STOCK 1,635 164,537100.63CONSUMER STAPLES DE

HELMERICH & PAYNE 0.02423452101 COMMON STOCK 16,472 369,79622.45ENERGY US

HEMISPHERE MEDIA GROUP INC 0.0042365Q103 COMMON STOCK 5,493 41,7447.60COMMUNICATION SERVICES US

HENAN SHUANGHUI INVESTMENT-A 0.00BD5CP84 COMMON STOCK 1,439 6,4264.47CONSUMER STAPLES CN

HENDERSON LAND DEVELOPMENT 0.006420538 COMMON STOCK 18,582 76,0364.09REAL ESTATE HK

HENGAN INTL GROUP CO LTD 0.006136233 COMMON STOCK 892 4,3074.83CONSUMER STAPLES CN

HENGLI PETROCHEMICAL CO L-A 0.00BFB4HL5 COMMON STOCK 268 8873.31MATERIALS CN

HENGTEN NETWORKS GROUP LTD 0.00BMDMJ87 COMMON STOCK 74,916 31,7120.42CONSUMER DISCRETIONARY CN

HENGYI PETROCHEMICAL CO -A 0.00BD5M1L9 COMMON STOCK 14,954 24,5741.64MATERIALS CN

HENKEL AG & CO KGAA 0.015002465 COMMON STOCK 2,196 162,00273.78CONSUMER STAPLES DE

HENNES & MAURITZ AB-B SHS 0.015687431 COMMON STOCK 5,778 101,87517.63CONSUMER DISCRETIONARY SE

HENRY SCHEIN INC 0.01806407102 COMMON STOCK 4,054 288,08971.06HEALTH CARE US

HERMES INTERNATIONAL 0.025253973 COMMON STOCK 197 366,9091,860.63CONSUMER DISCRETIONARY FR

HERSHEY CO/THE 0.02427866108 COMMON STOCK 2,334 414,236177.49CONSUMER STAPLES US

HESS CORP 0.0142809H107 COMMON STOCK 3,371 251,23174.52ENERGY US

HESTEEL CO LTD-A 0.00BD5CNS0 COMMON STOCK 8,944 3,2710.37MATERIALS CN

HIKMA PHARMACEUTICALS PLC 0.01B0LCW08 COMMON STOCK 8,070 236,47529.30HEALTH CARE JO

HILLENBRAND INC 0.00431571108 COMMON STOCK 1,861 83,01444.60INDUSTRIALS US

HINDALCO INDUSTRIES LTD 0.00B0GWF48 COMMON STOCK 7,854 43,1345.49MATERIALS IN

HINDUSTAN PETROLEUM CORP 0.006100476 COMMON STOCK 4,274 16,7823.93ENERGY IN

HINDUSTAN PETROLEUM CORP 0.006100476 COMMON STOCK 541 2,1263.93ENERGY IN

HINDUSTAN UNILEVER LTD 0.006261674 COMMON STOCK 2,936 90,54030.84CONSUMER STAPLES IN

HINDUSTAN UNILEVER LTD 0.006261674 COMMON STOCK 383 11,79930.84CONSUMER STAPLES IN

HINGHAM INSTITUTION FOR SVGS 0.00433323102 COMMON STOCK 252 98,267390.60FINANCIALS US

HINO MOTORS LTD 0.006428305 COMMON STOCK 6,030 50,1338.31INDUSTRIALS JP

HIROSE ELECTRIC CO LTD 0.016428725 COMMON STOCK 1,017 170,631167.77INFORMATION TECHNOLOGY JP

HISAMITSU PHARMACEUTICAL CO 0.016428907 COMMON STOCK 2,821 99,13135.14HEALTH CARE JP

HITACHI METALS LTD 0.006429201 COMMON STOCK 2,921 54,08318.51MATERIALS JP

HIWIN TECHNOLOGIES CORP 0.00B1YMYT5 COMMON STOCK 1,785 18,33410.27INDUSTRIALS TW

HK ELECTRIC INVESTMENTS -SS 0.06BJ3WDZ1 STAPLED SECURITY 1,251,986 1,225,3510.98UTILITIES HK

HKT TRUST AND HKT LTD-SS 0.02B4TXDZ3 STAPLED SECURITY 284,839 386,5641.36COMMUNICATION SERVICES HK

HLB INC 0.006517407 COMMON STOCK 797 24,16330.31CONSUMER DISCRETIONARY KR

HOLOGIC INC 0.04436440101 COMMON STOCK 10,426 779,11774.73HEALTH CARE US

HOME DEPOT INC 0.02437076102 COMMON STOCK 854 342,212400.61CONSUMER DISCRETIONARY US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

37

HOME PRODUCT CENTER PCL-FOR 0.006418533 COMMON STOCK 118,081 47,6570.40CONSUMER DISCRETIONARY TH

HON HAI PRECISION INDUSTRY 0.006438564 COMMON STOCK 25,580 95,2203.72INFORMATION TECHNOLOGY TW

HON HAI PRECISION INDUSTRY 0.006438564 COMMON STOCK 2,676 9,9603.72INFORMATION TECHNOLOGY TW

HONEYWELL INTERNATIONAL INC 0.01438516106 COMMON STOCK 828 167,412202.24INDUSTRIALS US

HONG KONG & CHINA GAS 0.086436557 COMMON STOCK 1,069,890 1,597,4561.49UTILITIES HK

HONG KONG EXCHANGES & CLEAR 0.016267359 COMMON STOCK 2,648 146,03255.16FINANCIALS HK

HONG LEONG BANK BERHAD 0.006436892 COMMON STOCK 713 3,0634.29FINANCIALS MY

HONG LEONG FINANCIAL GROUP 0.016436450 COMMON STOCK 25,596 104,5364.08FINANCIALS MY

HONG LEONG FINANCIAL GROUP 0.006436450 COMMON STOCK 624 2,5504.08FINANCIALS MY

HOPSON DEVELOPMENT HOLDINGS 0.00BMXJW56 COMMON STOCK 11,576 28,2142.44REAL ESTATE HK

HOPSON DEVELOPMENT HOLDINGS 0.00BMXJW56 COMMON STOCK 555 1,3522.44REAL ESTATE HK

HORACE MANN EDUCATORS 0.01440327104 COMMON STOCK 4,076 151,11237.07FINANCIALS US

HORMEL FOODS CORP 0.02440452100 COMMON STOCK 10,018 414,75641.40CONSUMER STAPLES US

HOSHIZAKI CORP 0.00B3FF8W8 COMMON STOCK 1,096 83,17075.92INDUSTRIALS JP

HOST HOTELS & RESORTS INC 0.0044107P104 REAL ESTATE INVESTMENT TRUST 6,282 98,63115.70REAL ESTATE US

HOSTESS BRANDS INC 0.0344109J106 COMMON STOCK 30,533 518,76216.99CONSUMER STAPLES US

HOTAI MOTOR COMPANY LTD 0.006417165 COMMON STOCK 3,609 78,66621.80CONSUMER DISCRETIONARY TW

HOTEL SHILLA CO LTD 0.006440332 COMMON STOCK 408 24,22359.43CONSUMER DISCRETIONARY KR

HOULIHAN LOKEY INC 0.01441593100 COMMON STOCK 1,330 144,365108.54FINANCIALS US

HOUSING DEVELOPMENT FINANCE 0.006171900 COMMON STOCK 901 32,04035.57FINANCIALS IN

HOWMET AEROSPACE INC 0.01443201108 COMMON STOCK 3,730 104,91428.13INDUSTRIALS US

HOYA CORP 0.016441506 COMMON STOCK 1,125 178,502158.70HEALTH CARE JP

HP INC 0.0340434L105 COMMON STOCK 17,403 613,96835.28INFORMATION TECHNOLOGY US

HUA NAN FINANCIAL HOLDINGS C 0.006411877 COMMON STOCK 51,443 37,3730.73FINANCIALS TW

HUA NAN FINANCIAL HOLDINGS C 0.006411877 COMMON STOCK 1,831 1,3300.73FINANCIALS TW

HUADIAN POWER INTL CORP-A 0.01BP3R637 COMMON STOCK 178,976 101,9730.57UTILITIES CN

HUADIAN POWER INTL CORP-A 0.00BP3R637 COMMON STOCK 3,822 2,1780.57UTILITIES CN

HUADONG MEDICINE CO LTD-A 0.00BD5CM94 COMMON STOCK 5,137 27,3265.32HEALTH CARE CN

HUANENG POWER INTL INC-A 0.01BP3R314 COMMON STOCK 123,229 120,1120.97UTILITIES CN

HUANENG POWER INTL INC-H 0.016099671 COMMON STOCK 258,638 115,7850.45UTILITIES CN

HUAYU AUTOMOTIVE SYSTEMS -A 0.00BP3R4T9 COMMON STOCK 9,454 38,2834.05CONSUMER DISCRETIONARY CN

HULIC CO LTD 0.006805317 COMMON STOCK 5,021 47,5839.48REAL ESTATE JP

HUMANA INC 0.01444859102 COMMON STOCK 464 194,760419.71HEALTH CARE US

HUNAN VALIN STEEL CO LTD -A 0.00BD5M0H8 COMMON STOCK 36,631 28,9200.79MATERIALS CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

38

HUNDSUN TECHNOLOGIES INC-A 0.00BP3R6B5 COMMON STOCK 957 8,7739.17INFORMATION TECHNOLOGY CN

HUNTINGTON BANCSHARES INC 0.01446150104 COMMON STOCK 16,175 240,03314.84FINANCIALS US

HUTCHMED CHINA-ADR 0.0044842L103 AMERICAN DEPOSITORY RECEIPT 1,356 45,90133.86HEALTH CARE HK

HUYA INC-ADR 0.0044852D108 AMERICAN DEPOSITORY RECEIPT 4,591 39,5318.61COMMUNICATION SERVICES CN

HYDRO ONE LTD 0.01448811208 COMMON STOCK 6,573 160,02624.35UTILITIES CA

HYPERA SA 0.00B2QY968 COMMON STOCK 8,651 41,5354.80HEALTH CARE BR

HYUNDAI ENGINEERING & CONST 0.006450988 COMMON STOCK 1,217 45,29737.21INDUSTRIALS KR

HYUNDAI GLOVIS CO LTD 0.00B0V3XR5 COMMON STOCK 374 45,771122.49INDUSTRIALS KR

HYUNDAI MOBIS CO LTD 0.006449544 COMMON STOCK 219 40,559185.62CONSUMER DISCRETIONARY KR

HYUNDAI MOTOR CO 0.006451055 COMMON STOCK 289 47,556164.58CONSUMER DISCRETIONARY KR

I-MAB-SPONSORED ADR 0.0044975P103 AMERICAN DEPOSITORY RECEIPT 630 38,06960.46HEALTH CARE CN

IBERDROLA SA 0.00B288C92 COMMON STOCK 6,558 73,10511.15UTILITIES ES

IBEX 35 FUTURE DEC 2021 0.52MFXIDEC2021

IBEX 35 FUTURE 110 10,318,1419,380.13ES

IBIDEN CO LTD 0.016456102 COMMON STOCK 1,917 119,37662.27INFORMATION TECHNOLOGY JP

ICA GRUPPEN AB 0.01B0S1651 COMMON STOCK 4,715 277,47558.84CONSUMER STAPLES SE

ICICI BANK LTD-SPON ADR 0.0045104G104 AMERICAN DEPOSITORY RECEIPT 2,290 42,27918.46FINANCIALS IN

ICL GROUP LTD 0.016455530 COMMON STOCK 24,618 215,8178.77MATERIALS IL

IDB 3.875 20411028 0.034581X0BT4 CORPORATE BOND 500,000 650,881130.18US

IDEMITSU KOSAN CO LTD 0.12B1FF8P7 COMMON STOCK 91,465 2,361,04325.81ENERGY JP

IDEXX LABORATORIES INC 0.0145168D104 COMMON STOCK 221 134,154608.07HEALTH CARE US

IFLYTEK CO LTD - A 0.00BD5CNN5 COMMON STOCK 8,294 70,3008.48INFORMATION TECHNOLOGY CN

IHH HEALTHCARE BHD 0.00B83X6P8 COMMON STOCK 48,428 75,6631.56HEALTH CARE MY

IHH HEALTHCARE BHD 0.00B83X6P8 COMMON STOCK 9,989 15,6061.56HEALTH CARE MY

ILLUMINA INC 0.01452327109 COMMON STOCK 428 156,537365.33HEALTH CARE US

IMPALA PLATINUM HOLDINGS LTD 0.00B1FFT76 COMMON STOCK 6,281 79,32112.63MATERIALS ZA

IMPALA PLATINUM HOLDINGS LTD 0.00B1FFT76 COMMON STOCK 660 8,33412.63MATERIALS ZA

INCYTE CORP 0.0145337C102 COMMON STOCK 2,049 138,72567.72HEALTH CARE US

IND & COMM BK OF CHINA-A 0.00BP3R217 COMMON STOCK 1,784 1,2820.72FINANCIALS CN

INDAH KIAT PULP & PAPER TBK 0.006462422 COMMON STOCK 32,553 17,1600.53MATERIALS ID

INDOCEMENT TUNGGAL PRAKARSA 0.006454861 COMMON STOCK 94,982 70,1300.74MATERIALS ID

INDOFOOD CBP SUKSES MAKMUR T 0.01B4LD3M8 COMMON STOCK 198,982 117,3960.59CONSUMER STAPLES ID

INDOFOOD CBP SUKSES MAKMUR T 0.00B4LD3M8 COMMON STOCK 17,570 10,3660.59CONSUMER STAPLES ID

INDOFOOD SUKSES MAKMUR TBK P 0.006283979 COMMON STOCK 222,071 97,6820.44CONSUMER STAPLES ID

INDORAMA VENTURES-FOREIGN 0.00B5V4S12 COMMON STOCK 12,308 14,3361.16MATERIALS TH


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

39

INDRAPRASTHA GAS LTD 0.00BD9PXD0 COMMON STOCK 3,160 20,3616.44UTILITIES IN

INDUS TOWERS LTD 0.02B92P9G4 COMMON STOCK 96,134 363,8643.78COMMUNICATION SERVICES IN

INDUSTRIA DE DISENO TEXTIL 0.01BP9DL90 COMMON STOCK 7,015 219,98831.36CONSUMER DISCRETIONARY ES

INDUSTRIAL BANK OF KOREA 0.006462972 COMMON STOCK 1,300 11,2758.67FINANCIALS KR

INDUSTRIAL LOGISTICS PROPERT 0.01456237106 REAL ESTATE INVESTMENT TRUST 6,181 136,97722.16REAL ESTATE US

INDUSTRIAS PENOLES SAB DE CV 0.002448200 COMMON STOCK 1,917 23,45712.23MATERIALS MX

INDUSTRIES QATAR 0.006673570 COMMON STOCK 8,987 35,8403.99INDUSTRIALS QA

INDUSTRIES QATAR 0.006673570 COMMON STOCK 1,603 6,3913.99INDUSTRIALS QA

INDUSTRIVARDEN AB-A SHS 0.00B1VSK10 COMMON STOCK 136 4,02929.62FINANCIALS SE

INFO EDGE INDIA LTD 0.00B1685L0 COMMON STOCK 554 42,78177.24COMMUNICATION SERVICES IN

INFORMA PLC 0.01BMJ6DW5 COMMON STOCK 16,112 99,5456.18COMMUNICATION SERVICES GB

INFOSYS LTD-SP ADR 0.00456788108 AMERICAN DEPOSITORY RECEIPT 3,760 84,90222.58INFORMATION TECHNOLOGY IN

INFRASTRUTTURE WIRELESS ITAL 0.01BZ0P4R4 COMMON STOCK 12,032 137,25811.41COMMUNICATION SERVICES IT

INGENIC SEMICONDUCTOR CO -A 0.00BD760S9 COMMON STOCK 1,784 38,10121.36INFORMATION TECHNOLOGY CN

INGERSOLL-RAND INC 0.0145687V106 COMMON STOCK 2,108 122,96758.34INDUSTRIALS US

INNER MONGOLIA BAOTOU STE-A 0.00BP3R488 COMMON STOCK 85,261 38,6750.45MATERIALS CN

INNER MONGOLIA JUNZHENG EN-A 0.00BP3R7B2 COMMON STOCK 52,798 43,9210.83MATERIALS CN

INNOLUX CORP 0.00B0CC0M5 COMMON STOCK 10,702 6,7170.63INFORMATION TECHNOLOGY TW

INNOSPEC INC 0.0145768S105 COMMON STOCK 3,260 264,67381.20MATERIALS US

INNOVENT BIOLOGICS INC 0.00BGR6KX5 COMMON STOCK 6,381 56,7668.90HEALTH CARE CN

INPEX CORP 0.08B10RB15 COMMON STOCK 184,141 1,519,5758.25ENERGY JP

INSPUR ELECTRONIC INFORMAT-A 0.01BD5CLB9 COMMON STOCK 20,245 103,2735.10INFORMATION TECHNOLOGY CN

INTCO MEDICAL TECHNOLOGY C-A 0.01CNE100003456


INTEGER HOLDINGS CORP 0.0045826H109 COMMON STOCK 644 51,39179.74HEALTH CARE US

INTEGRAL AD SCIENCE HOLDING 0.0245828L108 COMMON STOCK 20,666 463,73722.44COMMUNICATION SERVICES US

INTEL CORP 0.01458140100 COMMON STOCK 2,184 107,47049.20INFORMATION TECHNOLOGY US

INTER PARFUMS INC 0.03458334109 COMMON STOCK 5,783 507,95087.83CONSUMER STAPLES US

INTER RAO UES PJSC 0.02B5B2VL7 COMMON STOCK 5,613,468 323,0070.06UTILITIES RU

INTER-AMERICAN DEVELOPMENT BAN 0.034581X0CU0


INTER-AMERICAN DEVELOPMENT BAN 0.014581X0CC0


INTER-AMERICAN DEVELOPMENT BAN 0.034581X0CF3 CORPORATE BOND 500,000 529,762105.12US

INTER-AMERICAN DEVELOPMENT BANK 0.054581X0CW6


INTER-AMERICAN DEVELOPMENT BANK 0.064581X0DA3


INTERCONTINENTAL EXCHANGE IN 0.0145866F104 COMMON STOCK 1,307 170,893130.72FINANCIALS US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

40

INTERDIGITAL INC 0.0145867G101 COMMON STOCK 3,244 220,33367.91INFORMATION TECHNOLOGY US

INTERGLOBE AVIATION LTD 0.00BYYZ7D0 COMMON STOCK 1,849 46,86625.35INDUSTRIALS IN

INTERNATIONAL BANK FOR RECONST 0.05459058DY6 CORPORATE BOND 1,000,000 1,007,702100.27US

INTERNATIONAL BANK FOR RECONST 0.05459058FT5 CORPORATE BOND 1,000,000 1,033,898103.21US

INTERNATIONAL BANK FOR RECONST 0.04459058DX8 CORPORATE BOND 750,000 786,486104.82US

INTERNATIONAL BANK FOR RECONST 0.05459058EP4 CORPORATE BOND 1,000,000 1,060,693105.22US

INTERNATIONAL BANK FOR RECONST 0.03459058FY4 CORPORATE BOND 500,000 504,768100.26US

INTERNATIONAL BANK FOR RECONSTRUCTION &DEVELOPMENT

0.11459058GE7 CORPORATE BOND 2,125,000 2,260,153106.30US

INTERNATIONAL BANK FOR RECONSTRUCTION &DEVELOPMENT

0.11459058GL1 CORPORATE BOND 2,125,000 2,231,024104.46US

INTERNATIONAL FINANCE CORP 0.1445950VHX7


INTERNATIONAL PAPER CO 0.01460146103 COMMON STOCK 5,384 245,09245.52MATERIALS US

INTERPUBLIC GROUP OF COS INC 0.02460690100 COMMON STOCK 11,317 375,62333.19COMMUNICATION SERVICES US

INTERTEK GROUP PLC 0.013163836 COMMON STOCK 1,673 118,22670.65INDUSTRIALS GB

INTL BUSINESS MACHINES CORP 0.01459200101 COMMON STOCK 1,572 184,047117.10INFORMATION TECHNOLOGY US

INTL CONTAINER TERM SVCS INC 0.006455819 COMMON STOCK 12,156 47,7463.93INDUSTRIALS PH

INTL FLAVORS & FRAGRANCES 0.02459506101 COMMON STOCK 2,125 302,123142.17MATERIALS US

INTUIT INC 0.01461202103 COMMON STOCK 236 154,021652.30INFORMATION TECHNOLOGY US

INVENTEC CORP 0.006459930 COMMON STOCK 35,114 32,5830.93INFORMATION TECHNOLOGY TW

INVENTEC CORP 0.006459930 COMMON STOCK 13,378 12,4130.93INFORMATION TECHNOLOGY TW

INVESCO LTD 0.01G491BT108

COMMON STOCK 6,109 136,41522.33FINANCIALS US

INVESTOR AB-B SHS 0.01BMV7PQ4 COMMON STOCK 9,703 224,48123.14FINANCIALS SE

IOI CORP BHD 0.00B1Y3WG1 COMMON STOCK 33,623 29,3800.87CONSUMER STAPLES MY

IPCA LABORATORIES LTD 0.00BMX7Q69 COMMON STOCK 3,117 87,10827.95HEALTH CARE IN

IPG PHOTONICS CORP 0.0044980X109 COMMON STOCK 588 96,547164.19INFORMATION TECHNOLOGY US

IQIYI INC-ADR 0.0046267X108 AMERICAN DEPOSITORY RECEIPT 7,302 45,5686.24COMMUNICATION SERVICES CN

IRON MOUNTAIN INC 0.0046284V101 REAL ESTATE INVESTMENT TRUST 1,883 85,58645.44REAL ESTATE US

ISHARES IBOXX INVESTMENT GRA 1.84464287242 ISHARES GS$ INVESTOP CORP BD 273,360 36,373,282133.06US

ITALY (REP OF) 0.26B03KSM4 TREASURY INFLATIONARY PROTECTED 3,222,750 5,061,992156.51IT

ITALY (REPUBLIC OF) I/L 0.22B1Z5FX4 TREASURY INFLATIONARY PROTECTED 3,447,166 4,253,696122.77IT

ITALY BUONI POLIENNALI DE 144A UNSECURED CPI 0.56BYVYTQ7 TREASURY INFLATIONARY PROTECTED 8,186,564 11,059,319134.79IT

ITALY BUONI POLIENNALI DEL TESORO 0.65BYXYY37 TREASURY INFLATIONARY PROTECTED 9,799,884 12,760,560130.15IT

ITALY BUONI POLIENNALI DEL TESORO 0.40BK5MSX9 TREASURY INFLATIONARY PROTECTED 6,366,204 7,867,983123.57IT

ITALY BUONI POLIENNALI DEL TESORO 0.16BD0QRT6 TREASURY INFLATIONARY PROTECTED 2,717,651 3,109,161114.40IT

ITALY BUONI POLIENNALI DEL TESORO 0.05BG372F8 TREASURY INFLATIONARY PROTECTED 849,392 985,865116.06IT


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

41

ITALY BUONI POLIENNALI DEL TESORO 0.05BMG6YZ8 TREASURY INFLATIONARY PROTECTED 822,864 1,010,201122.73IT

ITALY BUONI POLIENNALI DEL TESORO 0.03BNRN369 TREASURY INFLATIONARY PROTECTED 516,988 589,574114.04IT

ITAU UNIBANCO H-SPON PRF ADR 0.00465562106 AMERICAN DEPOSITORY RECEIPT 4,373 17,1413.92FINANCIALS BR

ITAUSA SA 0.002458771 PREFERENCE 12,037 20,6071.71FINANCIALS BR

ITC LTD 0.00B0JGGP5 COMMON STOCK 28,017 82,4442.94CONSUMER STAPLES IN

ITO EN LTD 0.016455789 COMMON STOCK 2,191 128,71058.74CONSUMER STAPLES JP

ITOCHU CORP 0.006467803 COMMON STOCK 3,287 94,36228.71INDUSTRIALS JP

ITOCHU TECHNO-SOLUTIONS CORP 0.016200194 COMMON STOCK 3,378 109,92432.54INFORMATION TECHNOLOGY JP

J & J SNACK FOODS CORP 0.03466032109 COMMON STOCK 3,809 520,203136.58CONSUMER STAPLES US

JACOBS ENGINEERING GROUP INC 0.01469814107 COMMON STOCK 805 114,760142.56INDUSTRIALS US

JAFRON BIOMEDICAL CO LTD-A 0.00BFY8H03 COMMON STOCK 10,613 85,1398.02HEALTH CARE CN

JAMES HARDIE INDUSTRIES-CDI 0.01B60QWJ2 GLOBAL DEPOSITORY RECEIPTS 2,687 106,05639.47MATERIALS IE

JAMES RIVER GROUP HOLDINGS L 0.00G5005R107

COMMON STOCK 1,965 51,94226.44FINANCIALS BM

JAPAN METROPOLITAN FUND INVE 0.006513342 REAL ESTATE INVESTMENT TRUST 58 49,540861.33REAL ESTATE JP

JAPAN POST BANK CO LTD 0.01BYT8165 COMMON STOCK 16,889 138,0378.17FINANCIALS JP

JAPAN REAL ESTATE INVESTMENT 0.016397580 REAL ESTATE INVESTMENT TRUST 22 126,3955,768.64REAL ESTATE JP

JAPAN TOBACCO INC 0.016474535 COMMON STOCK 10,316 206,56220.02CONSUMER STAPLES JP

JARDINE MATHESON HLDGS LTD 0.006472119 COMMON STOCK 1,117 63,23656.59INDUSTRIALS HK

JARIR MARKETING CO 0.00B128FM5 COMMON STOCK 760 37,55149.42CONSUMER DISCRETIONARY SA

JARIR MARKETING CO 0.00B128FM5 COMMON STOCK 155 7,66949.42CONSUMER DISCRETIONARY SA

JBS SA 0.01B1V74X7 COMMON STOCK 23,902 150,8496.31CONSUMER STAPLES BR

JDE PEET'S NV 0.00BMC4ZZ3 COMMON STOCK 2,848 77,26927.13CONSUMER STAPLES NL

JERONIMO MARTINS 0.01B1Y1SQ7 COMMON STOCK 6,778 146,59221.63CONSUMER STAPLES PT

JG SUMMIT HOLDINGS INC 0.006466457 COMMON STOCK 7,010 7,8681.12INDUSTRIALS PH

JIANGSU EXPRESS CO LTD-H 0.006005504 COMMON STOCK 33,890 32,9520.97INDUSTRIALS CN

JIANGSU EXPRESS CO LTD-H 0.006005504 COMMON STOCK 7,135 6,9370.97INDUSTRIALS CN

JIANGSU HENGRUI MEDICINE C-A 0.00BP3R369 COMMON STOCK 4,777 37,6157.87HEALTH CARE CN

JIANGSU YANGHE BREWERY -A 0.00BD5CPF1 COMMON STOCK 2,943 80,51727.36CONSUMER STAPLES CN

JIANGSU YANGHE BREWERY -A 0.00BD5CPF1 COMMON STOCK 89 2,44027.36CONSUMER STAPLES CN

JIANGSU YUYUE MEDICAL EQU-A 0.00BD5CJM6 COMMON STOCK 13,289 75,1085.65HEALTH CARE CN

JIANGSU ZHONGTIAN TECHNOLO-A 0.01BP3R9T4 COMMON STOCK 41,650 121,4612.92INDUSTRIALS CN

JIANGXI ZHENGBANG TECH -A 0.00BD5LZ81 COMMON STOCK 9,275 14,1071.52CONSUMER STAPLES CN

JIUGUI LIQUOR CO LTD-A 0.00BD73KS0 COMMON STOCK 1,070 37,72535.25CONSUMER STAPLES CN

JM SMUCKER CO/THE 0.02832696405 COMMON STOCK 3,235 409,192126.47CONSUMER STAPLES US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

42

JOHN B. SANFILIPPO & SON INC 0.03800422107 COMMON STOCK 6,200 510,90482.40CONSUMER STAPLES US

JOHNSON & JOHNSON 0.05478160BY9 CORPORATE BOND 1,000,000 1,048,446104.23US

JOHNSON CONTROLS INTERNATION 0.02G51502105 COMMON STOCK 5,600 418,68174.76INDUSTRIALS US

JOHNSON JOHNSON 4.500 20400901 0.02478160AV6 CORPORATE BOND 350,000 451,334127.83US

JOHNSON JOHNSON 5.950 20370815 0.02478160AN4 CORPORATE BOND 250,000 365,939144.62US

JOINN LABORATORIES CHINA C-A 0.00CNE100002W27


JOINTOWN PHARMACEUTICAL-A 0.00BP3R541 COMMON STOCK 12,486 26,7902.15HEALTH CARE CN

JOINTOWN PHARMACEUTICAL-A 0.00BP3R541 COMMON STOCK 14,448 31,0002.15HEALTH CARE CN

JOYY INC-ADR 0.0046591M109 AMERICAN DEPOSITORY RECEIPT 846 43,33451.20COMMUNICATION SERVICES SG

JPMORGAN CHASE & CO 0.0146625H100 COMMON STOCK 633 100,491158.83FINANCIALS US

JPN 10Y BOND(OSE) DEC 2021 27.13JGBDEC2021

JPN 10Y BOND(OSE) 400 535,259,1481.34JP

JSR CORP 0.016470986 COMMON STOCK 2,739 102,27437.34MATERIALS JP

JSW STEEL LTD 0.00BZBYJJ7 COMMON STOCK 2,371 19,1918.10MATERIALS IN

JSW STEEL LTD 0.00BZBYJJ7 COMMON STOCK 623 5,0478.10MATERIALS IN

JUBILANT FOODWORKS LTD 0.00B3PRM66 COMMON STOCK 405 19,67148.58CONSUMER DISCRETIONARY IN

JUMBO SA 0.007243530 COMMON STOCK 3,565 49,71513.95CONSUMER DISCRETIONARY GR

JUNIPER NETWORKS INC 0.0148203R104 COMMON STOCK 6,155 191,59431.13INFORMATION TECHNOLOGY US

JUST EAT TAKEAWAY 0.00BYQ7HZ6 COMMON STOCK 1,399 86,88662.12CONSUMER DISCRETIONARY NL

KADANT INC 0.0048282T104 COMMON STOCK 378 88,596234.46INDUSTRIALS US

KAKAKU.COM INC 0.016689533 COMMON STOCK 6,482 181,25027.96COMMUNICATION SERVICES JP

KAKAO CORP 0.006194037 COMMON STOCK 463 47,538102.70COMMUNICATION SERVICES KR

KALBE FARMA TBK PT 0.00B7311V6 COMMON STOCK 691,541 77,2540.11HEALTH CARE ID

KALTURA INC 0.00483467106 COMMON STOCK 3,729 17,6744.74INFORMATION TECHNOLOGY US

KAMAN CORP 0.00483548103 COMMON STOCK 1,385 51,25237.00INDUSTRIALS US

KANGWON LAND INC 0.006683449 COMMON STOCK 1,931 35,76018.52CONSUMER DISCRETIONARY KR

KANSAI ELECTRIC POWER CO INC 0.046483489 COMMON STOCK 86,326 780,8109.04UTILITIES JP

KANSAI PAINT CO LTD 0.006483746 COMMON STOCK 4,382 98,41422.46MATERIALS JP

KANSAS CITY SOUTHERN 0.01485170302 COMMON STOCK 792 230,421290.85INDUSTRIALS US

KAO CORP 0.016483809 COMMON STOCK 3,490 177,88350.97CONSUMER STAPLES JP

KB FINANCIAL GROUP INC 0.00B3DF0Y6 COMMON STOCK 734 32,62544.45FINANCIALS KR

KDDI CORP 0.026248990 COMMON STOCK 16,419 477,20129.06COMMUNICATION SERVICES JP

KE HOLDINGS INC-ADR 0.00482497104 AMERICAN DEPOSITORY RECEIPT 1,178 23,57520.01REAL ESTATE CN

KEIO CORP 0.016487362 COMMON STOCK 2,374 106,82545.00INDUSTRIALS JP

KELLOGG CO 0.02487836108 COMMON STOCK 6,585 402,86661.18CONSUMER STAPLES US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

43

KEPPEL CORP LTD 0.01B1VQ5C0 COMMON STOCK 49,025 182,3493.72INDUSTRIALS SG

KERRY GROUP PLC-A 0.044519579 COMMON STOCK 5,731 700,620122.24CONSUMER STAPLES IE

KESKO OYJ-B SHS 0.014490005 COMMON STOCK 5,832 182,09731.22CONSUMER STAPLES FI

KEYCORP 0.01493267108 COMMON STOCK 7,287 163,51822.44FINANCIALS US

KEYENCE CORP 0.016490995 COMMON STOCK 274 169,644619.40INFORMATION TECHNOLOGY JP

KEYSIGHT TECHNOLOGIES IN 0.0149338L103 COMMON STOCK 1,140 221,625194.48INFORMATION TECHNOLOGY US

KGHM POLSKA MIEDZ SA 0.005263251 COMMON STOCK 210 7,14734.10MATERIALS PL

KIA CORP 0.006490928 COMMON STOCK 941 61,62365.49CONSUMER DISCRETIONARY KR

KIA CORP 0.006490928 COMMON STOCK 266 17,40665.49CONSUMER DISCRETIONARY KR

KIKKOMAN CORP 0.016490809 COMMON STOCK 2,380 181,52576.27CONSUMER STAPLES JP

KIMBALL ELECTRONICS INC 0.0149428J109 COMMON STOCK 5,128 108,81221.22INFORMATION TECHNOLOGY US

KIMBERLY-CLARK CORP 0.02494368103 COMMON STOCK 3,338 434,922130.31CONSUMER STAPLES US

KIMBERLY-CLARK DE MEXICO-A 0.002491914 COMMON STOCK 45,493 71,2781.57CONSUMER STAPLES MX

KIMCO REALTY CORP 0.0149446R109 REAL ESTATE INVESTMENT TRUST 9,591 215,02322.42REAL ESTATE US

KINDER MORGAN INC 0.0149456B101 COMMON STOCK 15,485 239,39215.46ENERGY US

KINGBOARD HOLDINGS LTD 0.016491318 COMMON STOCK 24,526 123,0105.02INFORMATION TECHNOLOGY HK

KINGBOARD HOLDINGS LTD 0.006491318 COMMON STOCK 320 1,6065.02INFORMATION TECHNOLOGY HK

KINGBOARD LAMINATES HLDG LTD 0.01B1HHFV6 COMMON STOCK 74,217 131,5681.77INFORMATION TECHNOLOGY HK

KINGBOARD LAMINATES HLDG LTD 0.00B1HHFV6 COMMON STOCK 698 1,2381.77INFORMATION TECHNOLOGY HK

KINGDEE INTERNATIONAL SFTWR 0.006327587 COMMON STOCK 7,135 21,6453.03INFORMATION TECHNOLOGY CN

KINGFA SCI.& TECH CO LTD-A 0.00BP3R8H5 COMMON STOCK 14,626 31,1532.13MATERIALS CN

KINGFISHER PLC 0.003319521 COMMON STOCK 20,592 86,3094.19CONSUMER DISCRETIONARY GB

KINGSOFT CLOUD HOLDINGS-ADR 0.0049639K101 AMERICAN DEPOSITORY RECEIPT 1,078 18,63217.28INFORMATION TECHNOLOGY CN

KINGSOFT CORP LTD 0.00B27WRM3 COMMON STOCK 2,676 11,6004.34COMMUNICATION SERVICES CN

KINGSPAN GROUP PLC 0.014491235 COMMON STOCK 1,259 144,826115.04INDUSTRIALS IE

KINROSS GOLD CORP 0.01496902404 COMMON STOCK 27,985 165,3595.91MATERIALS CA

KINSALE CAPITAL GROUP INC 0.0049714P108 COMMON STOCK 270 56,081208.00FINANCIALS US

KINTETSU GROUP HOLDINGS CO L 0.016492968 COMMON STOCK 3,743 107,46828.71INDUSTRIALS JP

KIRKLAND LAKE GOLD LTD 0.0149741E100 COMMON STOCK 3,290 129,55339.37MATERIALS CA

KKR REAL ESTATE FINANCE TRUS 0.0048251K100 REAL ESTATE INVESTMENT TRUST 3,598 74,23320.63FINANCIALS US

KLA CORP 0.02482480100 COMMON STOCK 753 307,335408.13INFORMATION TECHNOLOGY US

KLABIN SA - UNIT 0.00BJ0K6Z9 UNIT 6,778 28,6434.23MATERIALS BR

KNOWLES CORP 0.0149926D109 COMMON STOCK 6,010 130,53421.72INFORMATION TECHNOLOGY US

KOBAYASHI PHARMACEUTICAL CO 0.006149457 COMMON STOCK 1,187 93,23678.56CONSUMER STAPLES JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

44

KOBE BUSSAN CO LTD 0.01B14RJB7 COMMON STOCK 3,378 127,32737.69CONSUMER STAPLES JP

KOC HOLDING AS 0.00B03MVJ8 COMMON STOCK 24,887 53,4942.15INDUSTRIALS TR

KOEI TECMO HOLDINGS CO LTD 0.01B60DR09 COMMON STOCK 5,450 228,24541.88COMMUNICATION SERVICES JP

KOMATSU LTD 0.016496584 COMMON STOCK 8,399 191,73422.83INDUSTRIALS JP

KOMERCNI BANKA AS 0.004519449 COMMON STOCK 1,894 72,12638.08FINANCIALS CZ

KONAMI HOLDINGS CORP 0.016496681 COMMON STOCK 2,465 126,12951.17COMMUNICATION SERVICES JP

KONE OYJ-B 0.00B09M9D2 COMMON STOCK 767 50,27365.56INDUSTRIALS FI

KONINKLIJKE AHOLD DELHAIZE N 0.02BD0Q398 COMMON STOCK 9,527 317,94233.37CONSUMER STAPLES NL

KONINKLIJKE DSM NV 0.01B0HZL93 COMMON STOCK 1,091 233,505214.03MATERIALS NL

KONINKLIJKE KPN NV 0.015956078 COMMON STOCK 59,875 175,2952.93COMMUNICATION SERVICES NL

KONINKLIJKE PHILIPS NV 0.015986622 COMMON STOCK 6,838 240,10335.11HEALTH CARE NL

KOREA AEROSPACE INDUSTRIES 0.00B3N3363 COMMON STOCK 1,099 25,25122.98INDUSTRIALS KR

KOREA ELECTRIC POWER CORP 0.006495730 COMMON STOCK 774 13,52217.47UTILITIES KR

KOREA INTERNATIONAL BOND 0.0550064FAK0 CORPORATE BOND 1,000,000 1,064,181105.56US

KOREA INVESTMENT HOLDINGS CO 0.006654586 COMMON STOCK 336 21,31363.39FINANCIALS KR

KOREA SHIPBUILDING & OFFSHOR 0.006446620 COMMON STOCK 200 14,71573.66INDUSTRIALS KR

KOREA ZINC CO LTD 0.006495428 COMMON STOCK 119 49,278415.44MATERIALS KR

KOREAN AIR LINES CO LTD 0.006496766 COMMON STOCK 1,712 38,20022.31INDUSTRIALS KR

KOSE CORP 0.006194468 COMMON STOCK 655 78,917120.39CONSUMER STAPLES JP

KOSSAN RUBBER INDUSTRIES 0.00B0DD1H9 COMMON STOCK 125,573 64,1060.51HEALTH CARE MY

KRAFT HEINZ CO/THE 0.01500754106 COMMON STOCK 7,798 262,10333.61CONSUMER STAPLES US

KREDITANSTALT FUER WIEDERAUFBA 0.03500769HJ6 CORPORATE BOND 500,000 510,094101.04US

KREDITANSTALT FUER WIEDERAUFBA 0.05500769HF4 CORPORATE BOND 1,000,000 1,010,178100.52US

KROGER CO 0.09501044101 COMMON STOCK 43,435 1,803,86441.53CONSUMER STAPLES US

KRUNG THAI BANK PUB CO-FOREI 0.006492838 COMMON STOCK 132,043 44,2790.34FINANCIALS TH

KRUNGTHAI CARD PCL-FOREIGN 0.00BF2LWT8 COMMON STOCK 13,199 20,9561.59FINANCIALS TH

KT&G CORP 0.026175076 COMMON STOCK 5,396 372,00968.95CONSUMER STAPLES KR

KT&G CORP 0.006175076 COMMON STOCK 302 20,84568.95CONSUMER STAPLES KR

KUAISHOU TECHNOLOGY 0.00BLC90T0 COMMON STOCK 2,140 23,32410.90COMMUNICATION SERVICES CN

KUALA LUMPUR KEPONG BHD 0.006497446 COMMON STOCK 9,275 46,3385.00CONSUMER STAPLES MY

KUMBA IRON ORE LTD 0.00B1G4262 COMMON STOCK 3,134 88,69728.30MATERIALS ZA

KUMBA IRON ORE LTD 0.00B1G4262 COMMON STOCK 53 1,48928.30MATERIALS ZA

KUMHO PETROCHEMICAL CO LTD 0.006499323 COMMON STOCK 209 27,231130.48MATERIALS KR

KUNLUN ENERGY CO LTD 0.016340078 COMMON STOCK 310,068 291,9370.94UTILITIES HK


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

45

KUNLUN TECH CO LTD-A 0.00BD5CN13 COMMON STOCK 27,202 90,1293.31COMMUNICATION SERVICES CN

KURITA WATER INDUSTRIES LTD 0.006497963 COMMON STOCK 1,004 46,87546.68INDUSTRIALS JP

KWEICHOW MOUTAI CO LTD-A 0.00BP3R2F1 COMMON STOCK 89 27,028303.05CONSUMER STAPLES CN

KWG GROUP HOLDINGS LTD 0.00B1YBF00 COMMON STOCK 8,473 6,2820.74REAL ESTATE CN

KYOCERA CORP 0.016499260 COMMON STOCK 2,282 135,30059.28INFORMATION TECHNOLOGY JP

KYOWA KIRIN CO LTD 0.016499550 COMMON STOCK 7,305 203,95527.92HEALTH CARE JP

L'OREAL 0.024057808 COMMON STOCK 850 380,293447.43CONSUMER STAPLES FR

LA FRANCAISE DES JEUX SAEM 0.01BG0SC10 COMMON STOCK 2,880 132,60346.04CONSUMER DISCRETIONARY FR

LABORATORY CRP OF AMER HLDGS 0.0350540R409 COMMON STOCK 2,419 690,110285.33HEALTH CARE US

LAM RESEARCH CORP 0.03512807108 COMMON STOCK 821 558,434679.85INFORMATION TECHNOLOGY US

LAMB WESTON HOLDINGS INC 0.01513272104 COMMON STOCK 3,139 162,96951.92CONSUMER STAPLES US

LANCASTER COLONY CORP 0.03513847103 COMMON STOCK 4,197 613,554146.20CONSUMER STAPLES US

LAND & HOUSES PUB CO-FOR REG 0.006581930 COMMON STOCK 78,394 19,4250.25REAL ESTATE TH

LANDEC CORP 0.00514766104 COMMON STOCK 1,323 10,5187.95CONSUMER STAPLES US

LANDSEA HOMES CORP 0.0151509P103 COMMON STOCK 20,434 155,0957.59CONSUMER DISCRETIONARY US

LANDWIRTSCHAFTLICHE RENTENBANK 0.02515110BT0 CORPORATE BOND 375,000 397,712106.06DE

LANDWIRTSCHAFTLICHE RENTENBANK 0.03515110BN3 CORPORATE BOND 500,000 516,364103.27US

LANDWIRTSCHAFTLICHE RENTENBANK 0.08515110BP8 CORPORATE BOND 1,500,000 1,585,029104.54US

LANDWIRTSCHAFTLICHE RENTENBANK 0.04515110BR4 CORPORATE BOND 750,000 768,213102.43US

LANDWIRTSCHAFTLICHE RENTENBANK GOVTGUARANTEED 36

0.05515110BS2 CORPORATE BOND 1,000,000 1,009,910100.02US

LARSEN & TOUBRO INFOTECH LTD 0.01BD6F8V6 COMMON STOCK 3,035 275,00590.61INFORMATION TECHNOLOGY IN

LARSEN & TOUBRO LTD 0.00B0166K8 COMMON STOCK 1,585 37,21523.48INDUSTRIALS IN

LAS VEGAS SANDS CORP 0.01517834107 COMMON STOCK 3,081 109,76035.62CONSUMER DISCRETIONARY US

LASERTEC CORP 0.016506267 COMMON STOCK 456 119,581261.97INFORMATION TECHNOLOGY JP

LAUREATE EDUCATION INC-A 0.00518613203 COMMON STOCK 2,969 29,68810.00CONSUMER DISCRETIONARY US

LAWSON INC 0.036266914 COMMON STOCK 13,314 649,62648.79CONSUMER STAPLES JP

LEAN HOGS FUTURE (CME) FEB 2022 0.26LHFEB2022

LEAN HOGS FUTURE (CME) 162 5,182,38079.97US

LEE & MAN PAPER MANUFACTURIN 0.006693772 COMMON STOCK 892 6150.69MATERIALS HK

LEGGETT & PLATT INC 0.01524660107 COMMON STOCK 3,346 135,13740.39CONSUMER DISCRETIONARY US

LEGRAND SA 0.01B11ZRK9 COMMON STOCK 1,604 174,739108.94INDUSTRIALS FR

LENNAR CORP-A 0.01526057104 COMMON STOCK 2,578 270,838105.05CONSUMER DISCRETIONARY US

LENOVO GROUP LTD 0.006218089 COMMON STOCK 57,079 58,3541.02INFORMATION TECHNOLOGY CN

LENOVO GROUP LTD 0.006218089 COMMON STOCK 7,135 7,2941.02INFORMATION TECHNOLOGY CN

LENS TECHNOLOGY CO LTD-A 0.00BD5CP17 COMMON STOCK 8,919 29,3823.29INFORMATION TECHNOLOGY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

46

LEO GROUP CO LTD-A 0.00BD5CHL1 COMMON STOCK 100,512 37,5470.37COMMUNICATION SERVICES CN

LEPU MEDICAL TECHNOLOGY-A 0.00BD5CM16 COMMON STOCK 3,032 10,5523.48HEALTH CARE CN

LG CORP 0.006537030 COMMON STOCK 252 16,59966.00INDUSTRIALS KR

LG DISPLAY CO LTD 0.00B01VZN9 COMMON STOCK 3,472 58,16416.75INFORMATION TECHNOLOGY KR

LG ELECTRONICS INC 0.006520739 COMMON STOCK 432 41,97097.23CONSUMER DISCRETIONARY KR

LG ELECTRONICS INC 0.006520739 COMMON STOCK 111 10,75397.23CONSUMER DISCRETIONARY KR

LG HOUSEHOLD & HEALTH CARE 0.006344456 COMMON STOCK 30 26,905887.28CONSUMER STAPLES KR

LG INNOTEK CO LTD 0.00B39Z8G8 COMMON STOCK 245 62,869256.33INFORMATION TECHNOLOGY KR

LG UPLUS CORP 0.026290902 COMMON STOCK 31,908 363,96311.41COMMUNICATION SERVICES KR

LI AUTO INC - ADR 0.0050202M102 AMERICAN DEPOSITORY RECEIPT 993 35,17935.44CONSUMER DISCRETIONARY CN

LI NING CO LTD 0.00B01JCK9 COMMON STOCK 2,230 25,34011.37CONSUMER DISCRETIONARY CN

LIAONING CHENG DA CO LTD-A 0.00BP3R5Z2 COMMON STOCK 33,088 95,9742.90CONSUMER DISCRETIONARY CN

LIBERTY MEDIA CORP-BRAVES A 0.01531229706 TRACKING STOCK 5,404 150,62227.87COMMUNICATION SERVICES US

LINDE PLC 0.02G5494J103 COMMON STOCK 1,395 443,755318.14MATERIALS GB

LINDSAY CORP 0.01535555106 COMMON STOCK 680 98,891145.52INDUSTRIALS US

LION CORP 0.016518808 COMMON STOCK 20,450 290,14814.19CONSUMER STAPLES JP

LITE-ON TECHNOLOGY CORP 0.006519481 COMMON STOCK 41,249 89,4582.17INFORMATION TECHNOLOGY TW

LITE-ON TECHNOLOGY CORP 0.006519481 COMMON STOCK 5,602 12,1492.17INFORMATION TECHNOLOGY TW

LIVE CATTLE FUTURE FEB 2022 1.34LCFEB2022

LIVE CATTLE FUTURE 479 26,421,640137.90US

LIVE NATION ENTERTAINMENT IN 0.02538034109 COMMON STOCK 3,163 337,286106.65COMMUNICATION SERVICES US

LKQ CORP 0.02501889208 COMMON STOCK 5,873 328,29755.90CONSUMER DISCRETIONARY US

LME NICKEL FUTURE MAR 2022 0.85LNMAR2022

LME NICKEL FUTURE 141 16,824,40219,887.00US

LME PRIMARY ALUMINUM FUTURE MAR 2022 1.32LAMAR2022

LME PRIMARY ALUMINUM FUTURE 398 26,133,6752,626.50US

LME ZINC FUTURE MAR 2022 1.07LXMAR2022

LME ZINC FUTURE 265 21,186,7503,198.00US

LOBLAW COMPANIES LTD 0.04539481101 COMMON STOCK 10,320 774,71975.07CONSUMER STAPLES CA

LOCALIZA RENT A CAR 0.00B08K3S0 COMMON STOCK 2,181 19,7309.05INDUSTRIALS BR

LOCKHEED MARTIN CORP 0.00539830109 COMMON STOCK 189 62,902333.32INDUSTRIALS US

LOEWS CORP 0.01540424108 COMMON STOCK 2,239 119,69953.46FINANCIALS US

LOGITECH INTERNATIONAL-REG 0.01B18ZRK2 COMMON STOCK 2,167 170,64278.73INFORMATION TECHNOLOGY CH

LOJAS RENNER S.A. 0.00B0CGYD6 COMMON STOCK 1,629 8,2025.04CONSUMER DISCRETIONARY BR

LONGFOR GROUP HOLDINGS LTD 0.00B56KLY9 COMMON STOCK 12,486 59,2604.75REAL ESTATE CN

LONGI GREEN ENERGY TECHNOL-A 0.00BRTL411 COMMON STOCK 5,494 75,38213.72INFORMATION TECHNOLOGY CN

LONGI GREEN ENERGY TECHNOL-A 0.00BRTL411 COMMON STOCK 250 3,42613.72INFORMATION TECHNOLOGY CN

LONZA GROUP AG-REG 0.027333378 COMMON STOCK 446 357,704802.90HEALTH CARE CH


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

47

LOTTE CHEMICAL CORP 0.006440020 COMMON STOCK 173 29,349169.63MATERIALS KR

LOTTE SHOPPING CO 0.00B0WGPZ5 COMMON STOCK 199 13,98070.29CONSUMER DISCRETIONARY KR

LOWE'S COS INC 0.02548661107 COMMON STOCK 1,629 398,471244.59CONSUMER DISCRETIONARY US

LPP SA 0.007127979 COMMON STOCK 1 2,8853,234.78CONSUMER DISCRETIONARY PL

LTC PROPERTIES INC 0.00502175102 REAL ESTATE INVESTMENT TRUST 1,645 52,23931.76REAL ESTATE US

LUCKY CEMENT 0.006537557 COMMON STOCK 9,590 39,0424.07MATERIALS PK

LUKOIL PJSC-SPON ADR 0.00BYZDW27 AMERICAN DEPOSITORY RECEIPT 631 55,00887.24ENERGY RU

LUMEN TECHNOLOGIES INC 0.01550241103 COMMON STOCK 22,737 280,57312.34COMMUNICATION SERVICES US

LUNDIN ENERGY AB 0.057187627 COMMON STOCK 26,050 917,16235.21ENERGY SE

LUPIN LTD 0.006143761 COMMON STOCK 4,758 55,99311.77HEALTH CARE IN

LUXSHARE PRECISION INDUSTR-A 0.00BD5CN80 COMMON STOCK 2,336 14,5366.22INFORMATION TECHNOLOGY CN

LUZHOU LAOJIAO CO LTD-A 0.00BD5CMM7 COMMON STOCK 89 3,22036.11CONSUMER STAPLES CN

LXP INDUSTRIAL TRUST 0.01529043101 REAL ESTATE INVESTMENT TRUST 11,639 175,16415.05REAL ESTATE US

LYONDELLBASELL INDU-CL A 0.02N53745100 COMMON STOCK 4,931 429,65487.13MATERIALS US

M & T BANK CORP 0.0155261F104 COMMON STOCK 1,300 190,597146.61FINANCIALS US

M3 INC 0.00B02K2M3 COMMON STOCK 1,187 63,95953.89HEALTH CARE JP

MABANEE CO KPSC 0.01B00PQY0 COMMON STOCK 49,599 127,8912.58REAL ESTATE KW

MACATAWA BANK CORP 0.00554225102 COMMON STOCK 8,002 67,3818.42FINANCIALS US

MACCURA BIOTECH CO LTD-A 0.00BD5M283 COMMON STOCK 9,989 48,9944.90HEALTH CARE CN

MADISON SQUARE GARDEN ENTERT 0.0055826T102 COMMON STOCK 764 50,50066.12COMMUNICATION SERVICES US

MAGAZINE LUIZA SA 0.00B4975P9 COMMON STOCK 11,473 15,8421.38CONSUMER DISCRETIONARY BR

MAGNA INTERNATIONAL INC 0.01559222401 COMMON STOCK 2,301 171,72274.64CONSUMER DISCRETIONARY CA

MAGNIT PJSC-SPON GDR REGS 0.00B2QKYZ0 GLOBAL DEPOSITORY RECEIPTS 2,834 43,79015.45CONSUMER STAPLES RU

MAGNOLIA OIL & GAS CORP - A 0.00559663109 COMMON STOCK 2,621 49,72118.97ENERGY US

MAHINDRA & MAHINDRA LTD 0.006100186 COMMON STOCK 2,984 33,17611.12CONSUMER DISCRETIONARY IN

MALAYAN BANKING BHD 0.006556325 COMMON STOCK 36,221 68,6321.89FINANCIALS MY

MALAYAN BANKING BHD 0.006556325 COMMON STOCK 1,326 2,5131.89FINANCIALS MY

MALAYSIA AIRPORTS HLDGS BHD 0.006188193 COMMON STOCK 22,831 31,0641.36INDUSTRIALS MY

MANGO EXCELLENT MEDIA CO L-A 0.00BD5CDT1 COMMON STOCK 9,364 63,9526.83COMMUNICATION SERVICES CN

MANILA ELECTRIC COMPANY 0.01B247XZ6 COMMON STOCK 43,270 247,3315.72UTILITIES PH

MANILA ELECTRIC COMPANY 0.00B247XZ6 COMMON STOCK 2,328 13,3055.72UTILITIES PH

MANITOBA 2.100 20220906 0.04B838608 CORPORATE BOND 700,000 713,369101.41US

MANTECH INTERNATIONAL CORP-A 0.01564563104 COMMON STOCK 2,205 149,83567.95INDUSTRIALS US

MANULIFE FINANCIAL CORP 0.0056501R106 COMMON STOCK 4,288 76,34917.80FINANCIALS CA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

48

MARATHON OIL CORP 0.04565849106 COMMON STOCK 48,484 751,01715.49ENERGY US

MARATHON PETROLEUM CORP 0.0156585A102 COMMON STOCK 4,354 264,94760.85ENERGY US

MARICO LTD 0.00B1S34K5 COMMON STOCK 9,479 67,8997.16CONSUMER STAPLES IN

MARICO LTD 0.00B1S34K5 COMMON STOCK 1,602 11,4747.16CONSUMER STAPLES IN

MARKETAXESS HOLDINGS INC 0.0057060D108 COMMON STOCK 226 79,740352.69FINANCIALS US

MARRIOTT INTERNATIONAL -CL A 0.01571903202 COMMON STOCK 1,006 148,381147.56CONSUMER DISCRETIONARY US

MARSH & MCLENNAN COS 0.01571748102 COMMON STOCK 1,136 186,315164.02FINANCIALS US

MARTIN MARIETTA MATERIALS 0.02573284106 COMMON STOCK 761 307,167403.51MATERIALS US

MARUBENI CORP 0.006569464 COMMON STOCK 10,225 91,6288.96INDUSTRIALS JP

MARUTI SUZUKI INDIA LTD 0.006633712 COMMON STOCK 155 14,59494.05CONSUMER DISCRETIONARY IN

MASCO CORP 0.02574599106 COMMON STOCK 6,659 438,81365.90INDUSTRIALS US

MASRAF AL RAYAN 0.01B0VR7W0 COMMON STOCK 95,824 127,6431.33FINANCIALS QA

MASRAF AL RAYAN 0.00B0VR7W0 COMMON STOCK 1,944 2,5901.33FINANCIALS QA

MASTERCARD INC - A 0.0157636Q104 COMMON STOCK 343 107,950314.92INFORMATION TECHNOLOGY US

MATSON INC 0.0057686G105 COMMON STOCK 174 14,21981.53INDUSTRIALS US

MAXIMUS INC 0.01577933104 COMMON STOCK 1,752 132,19175.45INFORMATION TECHNOLOGY US

MAXIS BHD 0.00B5387L5 COMMON STOCK 16,588 18,4341.11COMMUNICATION SERVICES MY

MCB BANK LTD 0.016611570 COMMON STOCK 129,582 114,8440.89FINANCIALS PK

MCCORMICK & CO-NON VTG SHRS 0.01579780206 COMMON STOCK 2,527 216,87885.82CONSUMER STAPLES US

MCDONALD'S CORP 0.01580135101 COMMON STOCK 773 189,098244.60CONSUMER DISCRETIONARY US

MCDONALD'S HOLDINGS CO JAPAN 0.016371863 COMMON STOCK 5,826 259,13444.48CONSUMER DISCRETIONARY JP

MCGRATH RENTCORP 0.01580589109 COMMON STOCK 1,874 144,88577.30INDUSTRIALS US

MEDIOBANCA SPA 0.004574813 COMMON STOCK 5,745 63,18111.00FINANCIALS IT

MEDIPAL HOLDINGS CORP 0.016782090 COMMON STOCK 11,128 199,92917.97HEALTH CARE JP

MEDTRONIC PLC 0.00G5960L103 COMMON STOCK 633 67,508106.70HEALTH CARE IE

MEGA FINANCIAL HOLDING CO LT 0.006444066 COMMON STOCK 38,789 47,7121.23FINANCIALS TW

MEGA FINANCIAL HOLDING CO LT 0.006444066 COMMON STOCK 1,117 1,3751.23FINANCIALS TW

MEGACABLE HOLDINGS-CPO 0.00B292SM8 UNIT 7,402 20,4752.77COMMUNICATION SERVICES MX

MEIJI HOLDINGS CO LTD 0.01B60DQV3 COMMON STOCK 3,104 182,06658.66CONSUMER STAPLES JP

MEINIAN ONEHEALTH HEALTHCA-A 0.00BD73L10 COMMON STOCK 21,519 25,1961.17HEALTH CARE CN

MELROSE INDUSTRIES PLC 0.00BNR5MZ7 COMMON STOCK 17,539 33,6461.92INDUSTRIALS GB

MERCARI INC 0.01BG0GM14 COMMON STOCK 1,643 99,71760.68CONSUMER DISCRETIONARY JP

MERCK KGAA 0.024741844 COMMON STOCK 1,384 341,017246.40HEALTH CARE DE

MERDEKA COPPER GOLD TBK PT 0.00BZ0W5W7 COMMON STOCK 241,068 61,6030.26MATERIALS ID


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

49

MERIDIAN ENERGY LTD 0.00BWFD052 COMMON STOCK 17,221 55,5173.22UTILITIES NZ

MESA LABORATORIES INC 0.0359064R109 COMMON STOCK 2,168 669,456308.79HEALTH CARE US

MESAIEED PETROCHEMICAL HOLDI 0.00BK4Z0B1 COMMON STOCK 48,951 27,9640.57MATERIALS QA

META PLATFORMS INC-CLASS A 0.0330303M102 COMMON STOCK 1,765 572,664324.46COMMUNICATION SERVICES US

METALLURGICAL CORP OF CHIN-A 0.01BP3R4K0 COMMON STOCK 200,310 119,1580.59INDUSTRIALS CN

METALLURGICAL CORP OF CHIN-A 0.00BP3R4K0 COMMON STOCK 2,068 1,2300.59INDUSTRIALS CN

METHODE ELECTRONICS INC 0.01591520200 COMMON STOCK 2,766 123,02144.47INFORMATION TECHNOLOGY US

METRO INC/CN 0.0459162N109 COMMON STOCK 17,516 832,36847.52CONSUMER STAPLES CA

METRO PACIFIC INVESTMENTS CO 0.00B1L8838 COMMON STOCK 668,002 53,8270.08FINANCIALS PH

METROPOLITAN BANK & TRUST 0.016514442 COMMON STOCK 201,980 200,0360.99FINANCIALS PH

METTLER-TOLEDO INTERNATIONAL 0.01592688105 COMMON STOCK 137 207,0561,514.13HEALTH CARE US

MGE ENERGY INC 0.0455277P104 COMMON STOCK 9,778 709,75272.59UTILITIES US

MICHELIN (CGDE) 0.014588364 COMMON STOCK 1,047 153,817146.89CONSUMER DISCRETIONARY FR

MICRO-STAR INTERNATIONAL CO 0.006133450 COMMON STOCK 13,179 77,2605.86INFORMATION TECHNOLOGY TW

MICROCHIP TECHNOLOGY INC 0.01595017104 COMMON STOCK 1,249 104,20283.43INFORMATION TECHNOLOGY US

MICRON TECHNOLOGY INC 0.03595112103 COMMON STOCK 6,362 534,44984.00INFORMATION TECHNOLOGY US

MICROSOFT 5.3 20410208 0.02594918AM6


MICROSOFT CORP 0.01594918104 COMMON STOCK 299 98,855330.59INFORMATION TECHNOLOGY US

MICROSOFT CORP 0.05594918BR4 CORPORATE BOND 1,000,000 1,051,229104.37US

MICROSOFT CORP 0.05594918BJ2 CORPORATE BOND 1,000,000 1,069,840106.74US

MID-AMERICA APARTMENT COMM 0.0159522J103 REAL ESTATE INVESTMENT TRUST 621 128,049206.25REAL ESTATE US

MILLER INDUSTRIES INC/TENN 0.00600551204 COMMON STOCK 2,030 66,39132.71INDUSTRIALS US

MINERALS TECHNOLOGIES INC 0.01603158106 COMMON STOCK 3,657 240,18465.67MATERIALS US

MINI MSCI EMERGING MARKET INDEX DEC 2021 1.88MESDEC2021

MINI MSCI EMERGING MARKET INDEX 612 37,096,3801,212.30US

MIRAE ASSET SECURITIES CO LT 0.006249658 COMMON STOCK 3,263 23,5707.22FINANCIALS KR

MISC BHD 0.006557997 COMMON STOCK 37,904 59,8501.58INDUSTRIALS MY

MITSUBISHI CHEMICAL HOLDINGS 0.00B0JQTJ0 COMMON STOCK 11,230 88,2437.86MATERIALS JP

MITSUBISHI ELECTRIC CORP 0.016597045 COMMON STOCK 14,516 182,11112.55INDUSTRIALS JP

MITSUBISHI GAS CHEMICAL CO 0.006596923 COMMON STOCK 2,830 47,08416.64MATERIALS JP

MITSUI CHEMICALS INC 0.006597368 COMMON STOCK 1,864 49,99426.82MATERIALS JP

MIURA CO LTD 0.006597777 COMMON STOCK 1,643 57,67435.10INDUSTRIALS JP

MIZRAHI TEFAHOT BANK LTD 0.016916703 COMMON STOCK 5,395 199,47336.98FINANCIALS IL

MIZUHO FINANCIAL GROUP INC 0.016591014 COMMON STOCK 8,050 99,40212.35FINANCIALS JP

MMC NORILSK NICKEL PJSC-ADR 0.00BYSW6D0 AMERICAN DEPOSITORY RECEIPT 1,595 45,81428.73MATERIALS RU


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

50

MMG LTD 0.006728793 COMMON STOCK 64,214 23,3100.36MATERIALS AU

MOBILE TELECOMMUNICATIONS CO 0.046600084 COMMON STOCK 462,826 870,5711.88COMMUNICATION SERVICES KW

MOBILE TELECOMMUNICATIONS CO 0.00B2QG180 COMMON STOCK 29,929 97,8063.27COMMUNICATION SERVICES SA

MOBILE TELESYSTEMS PUBLIC JO 0.00607409109 AMERICAN DEPOSITORY RECEIPT 9,857 78,9538.01COMMUNICATION SERVICES RU

MOBILE TELESYSTEMS PUBLIC JO 0.00607409109 AMERICAN DEPOSITORY RECEIPT 671 5,3728.01COMMUNICATION SERVICES RU

MOHAWK INDUSTRIES INC 0.01608190104 COMMON STOCK 1,359 228,184167.87CONSUMER DISCRETIONARY US

MOL HUNGARIAN OIL AND GAS PL 0.00BD5ZXH8 COMMON STOCK 8,101 60,3087.44ENERGY HU

MOLSON COORS BEVERAGE CO - B 0.0160871R209 COMMON STOCK 5,758 255,88844.44CONSUMER STAPLES US

MONCLER SPA 0.00BGLP232 COMMON STOCK 734 52,94372.13CONSUMER DISCRETIONARY IT

MONDELEZ INTERNATIONAL INC-A 0.01609207105 COMMON STOCK 4,647 273,87958.94CONSUMER STAPLES US

MONETA MONEY BANK AS 0.01BD3CQ16 COMMON STOCK 31,686 134,5954.25FINANCIALS CZ

MONMOUTH REAL ESTATE INV COR 0.00609720107 REAL ESTATE INVESTMENT TRUST 4,676 97,11620.77REAL ESTATE US

MONOTARO CO LTD 0.00B1GHR88 COMMON STOCK 4,565 90,69619.87INDUSTRIALS JP

MONSTER BEVERAGE CORP 0.0261174X109 COMMON STOCK 4,287 359,13483.78CONSUMER STAPLES US

MOODY'S CORP 0.01615369105 COMMON STOCK 541 211,186390.64FINANCIALS US

MOSAIC CO/THE 0.0161945C103 COMMON STOCK 6,755 231,13934.22MATERIALS US

MOSCOW EXCHANGE MICEX-RTS PJ 0.01B9GFHQ6 COMMON STOCK 51,228 104,4932.04FINANCIALS RU

MOTHERSON SUMI SYSTEMS LTD 0.006743990 COMMON STOCK 8,314 23,2152.79CONSUMER DISCRETIONARY IN

MOTHERSON SUMI SYSTEMS LTD 0.006743990 COMMON STOCK 1,531 4,2762.79CONSUMER DISCRETIONARY IN

MOTOROLA SOLUTIONS INC 0.01620076307 COMMON STOCK 952 240,970253.18INFORMATION TECHNOLOGY US

MOUWASAT MEDICAL SERVICES CO 0.00B403QG4 COMMON STOCK 204 9,29845.53HEALTH CARE SA

MOWI ASA 0.00B02L486 COMMON STOCK 4,163 94,21422.63CONSUMER STAPLES NO

MR PRICE GROUP LTD 0.00BYXW419 COMMON STOCK 5,703 70,83112.42CONSUMER DISCRETIONARY ZA

MR PRICE GROUP LTD 0.00BYXW419 COMMON STOCK 355 4,40812.42CONSUMER DISCRETIONARY ZA

MRF LTD 0.006214128 COMMON STOCK 34 33,655993.06CONSUMER DISCRETIONARY IN

MS&AD INSURANCE GROUP HOLDIN 0.00B2Q4CS1 COMMON STOCK 2,668 77,90629.20FINANCIALS JP

MTN GROUP LTD 0.006563206 COMMON STOCK 9,304 93,82310.08COMMUNICATION SERVICES ZA

MTN GROUP LTD 0.006563206 COMMON STOCK 1,596 16,09010.08COMMUNICATION SERVICES ZA

MTR CORP 0.016290054 COMMON STOCK 23,167 123,6235.34INDUSTRIALS HK

MUANGTHAI CAPITAL PCL-FOREIG 0.00BFXP664 COMMON STOCK 16,800 27,9191.66FINANCIALS TH

MUELLER INDUSTRIES INC 0.01624756102 COMMON STOCK 2,346 129,82755.33INDUSTRIALS US

MUENCHENER RUECKVER AG-REG 0.015294121 COMMON STOCK 490 131,529268.29FINANCIALS DE

MULTICHOICE GROUP LTD 0.00BHZSKR4 COMMON STOCK 8,900 68,3217.68COMMUNICATION SERVICES ZA

MUYUAN FOODSTUFF CO LTD-A 0.00BD5CJX7 COMMON STOCK 6,118 50,3198.22CONSUMER STAPLES CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

51

N B T BANCORP INC 0.01628778102 COMMON STOCK 4,009 144,77436.11FINANCIALS US

NAN YA PLASTICS CORP 0.016621580 COMMON STOCK 34,234 101,5772.97MATERIALS TW

NANJI E-COMMERCE CO LTD-A 0.00BD5LSJ3 COMMON STOCK 40,695 41,7101.02COMMUNICATION SERVICES CN

NANYA TECHNOLOGY CORP 0.006283601 COMMON STOCK 18,455 49,2502.67INFORMATION TECHNOLOGY TW

NASDAQ INC 0.01631103108 COMMON STOCK 1,190 241,787203.23FINANCIALS US

NASPERS LTD-N SHS 0.006622691 COMMON STOCK 113 17,376153.41CONSUMER DISCRETIONARY ZA

NATIONAL AUSTRALIA BANK LTD 0.006624608 COMMON STOCK 4,364 84,47219.36FINANCIALS AU

NATIONAL AUSTRALIA BANK LTD/NE 0.0563254AAS7 CORPORATE BOND 1,000,000 1,057,198104.75US

NATIONAL BANK OF KUWAIT 0.006889526 COMMON STOCK 1,774 5,7703.25FINANCIALS KW

NATIONAL GRID PLC 0.03BDR05C0 COMMON STOCK 38,165 508,25813.32UTILITIES GB

NATIONAL HEALTHCARE CORP 0.03635906100 COMMON STOCK 8,465 545,87764.49HEALTH CARE US

NATIONAL PRESTO INDS INC 0.01637215104 COMMON STOCK 1,744 142,62681.78INDUSTRIALS US

NATL HEALTH INVESTORS INC 0.0063633D104 REAL ESTATE INVESTMENT TRUST 814 42,51752.24REAL ESTATE US

NATURA &CO HOLDING SA 0.00BJRFY31 COMMON STOCK 2,943 13,9064.73CONSUMER STAPLES BR

NATURAL GAS FUTURE (NYM) JAN 2022 0.01NGJAN2022

NATURAL GAS FUTURE (NYM) 4 182,6804.57US

NATURAL GAS FUTURE (NYM) MAR 2022 1.28NGMAR2022

NATURAL GAS FUTURE (NYM) 589 25,209,2004.28US

NATUS MEDICAL INC 0.01639050103 COMMON STOCK 12,094 273,32222.60HEALTH CARE US

NAVER CORP 0.016560393 COMMON STOCK 318 102,119320.73COMMUNICATION SERVICES KR

NCSOFT CORP 0.006264189 COMMON STOCK 163 93,565573.28COMMUNICATION SERVICES KR

NEC CORP 0.006640400 COMMON STOCK 1,669 75,25345.09INFORMATION TECHNOLOGY JP

NEDBANK GROUP LTD 0.006628008 COMMON STOCK 466 4,79910.31FINANCIALS ZA

NEENAH INC 0.01640079109 COMMON STOCK 5,785 268,96046.49MATERIALS US

NEMETSCHEK SE 0.015633962 COMMON STOCK 987 124,193125.84INFORMATION TECHNOLOGY DE

NEOGEN CORP 0.03640491106 COMMON STOCK 15,949 640,02440.13HEALTH CARE US

NEPI ROCKCASTLE PLC 0.00BDD7WV3 COMMON STOCK 2,692 16,5716.16REAL ESTATE RO

NESTLE (MALAYSIA) BERHAD 0.006629335 COMMON STOCK 1,249 39,60931.72CONSUMER STAPLES MY

NESTLE (MALAYSIA) BERHAD 0.006629335 COMMON STOCK 84 2,65931.72CONSUMER STAPLES MY

NESTLE INDIA LTD 0.016128605 COMMON STOCK 766 195,241254.85CONSUMER STAPLES IN

NESTLE INDIA LTD 0.006128605 COMMON STOCK 46 11,819254.85CONSUMER STAPLES IN

NESTLE SA-REG 0.017123870 COMMON STOCK 1,063 135,503127.51CONSUMER STAPLES CH

NETEASE INC-ADR 0.0064110W102

AMERICAN DEPOSITORY RECEIPT 566 61,010107.73COMMUNICATION SERVICES CN

NETFLIX INC 0.0264110L106 COMMON STOCK 754 483,957641.90COMMUNICATION SERVICES US

NETMARBLE CORP 0.00BF2S426 COMMON STOCK 253 24,94798.49COMMUNICATION SERVICES KR

NETSCOUT SYSTEMS INC 0.0164115T104 COMMON STOCK 4,086 122,18429.90INFORMATION TECHNOLOGY US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

52

NETSTREIT CORP 0.0164119V303 REAL ESTATE INVESTMENT TRUST 4,754 101,45021.34REAL ESTATE US

NEW CHINA LIFE INSURANCE C-A 0.00BP3R3F8 COMMON STOCK 252 1,4975.95FINANCIALS CN

NEW CHINA LIFE INSURANCE C-H 0.00B5730Z1 COMMON STOCK 892 2,3852.67FINANCIALS CN

NEW HOPE LIUHE CO LTD-A 0.00BD5CNF7 COMMON STOCK 1,754 3,9572.26CONSUMER STAPLES CN

NEW JERSEY RESOURCES CORP 0.00646025106 COMMON STOCK 1,716 63,11336.78UTILITIES US

NEW ORIENTAL EDUCATIO-SP ADR 0.00647581107 AMERICAN DEPOSITORY RECEIPT 499 1,1042.21CONSUMER DISCRETIONARY CN

NEWELL BRANDS INC 0.01651229106 COMMON STOCK 11,169 239,79321.47CONSUMER DISCRETIONARY US

NEWMONT CORP 0.02651639106 COMMON STOCK 6,305 346,27354.92MATERIALS US

NEWS CORP - CLASS A 0.0165249B109 COMMON STOCK 5,054 109,27321.62COMMUNICATION SERVICES US

NEWS CORP - CLASS B 0.0465249B208 COMMON STOCK 33,466 721,19621.55COMMUNICATION SERVICES US

NEXI SPA 0.01BJ1F880 COMMON STOCK 11,547 176,17815.26INFORMATION TECHNOLOGY IT

NEXON CO LTD 0.02B63QM77 COMMON STOCK 17,072 338,90019.85COMMUNICATION SERVICES JP

NEXT PLC 0.003208986 COMMON STOCK 838 87,174104.02CONSUMER DISCRETIONARY GB

NEXTERA ENERGY INC 0.0365339F101 COMMON STOCK 6,064 526,26686.78UTILITIES US

NH FOODS LTD 0.006640767 COMMON STOCK 2,198 74,92834.08CONSUMER STAPLES JP

NH INVESTMENT & SECURITIES C 0.006537085 COMMON STOCK 1,892 19,66610.40FINANCIALS KR

NI HOLDINGS INC 0.0065342T106 COMMON STOCK 2,918 54,09518.54FINANCIALS US

NICE LTD 0.036647133 COMMON STOCK 1,759 501,979285.34INFORMATION TECHNOLOGY IL

NICOLET BANKSHARES INC 0.0065406E102 COMMON STOCK 845 60,25371.31FINANCIALS US

NIEN MADE ENTERPRISE CO LTD 0.02BSZLN15 COMMON STOCK 26,816 366,49413.67CONSUMER DISCRETIONARY TW

NINE DRAGONS PAPER HOLDINGS 0.00B0WC2B8 COMMON STOCK 9,810 11,0241.12MATERIALS HK

NINESTAR CORP-A 0.00BD5M2G1 COMMON STOCK 6,421 44,1856.88INFORMATION TECHNOLOGY CN

NINGBO TUOPU GROUP CO LTD-A 0.01BYQDMF9 COMMON STOCK 11,059 116,38510.52CONSUMER DISCRETIONARY CN

NINTENDO CO LTD 0.016639550 COMMON STOCK 456 201,412441.23COMMUNICATION SERVICES JP

NIO INC - ADR 0.0062914V106 AMERICAN DEPOSITORY RECEIPT 392 15,35539.13CONSUMER DISCRETIONARY CN

NIPPON BUILDING FUND INC 0.016396800 REAL ESTATE INVESTMENT TRUST 19 118,1946,164.96REAL ESTATE JP

NIPPON EXPRESS CO LTD 0.006642127 COMMON STOCK 1,187 67,62856.98INDUSTRIALS JP

NIPPON PAINT HOLDINGS CO LTD 0.006640507 COMMON STOCK 9,312 97,84010.51MATERIALS JP

NIPPON PROLOGIS REIT INC 0.01B98BC67 REAL ESTATE INVESTMENT TRUST 72 234,7033,254.22REAL ESTATE JP

NIPPON SANSO HOLDINGS CORP 0.016640541 COMMON STOCK 4,747 100,46921.16MATERIALS JP

NIPPON SHINYAKU CO LTD 0.016640563 COMMON STOCK 2,648 195,86473.98HEALTH CARE JP

NIPPON STEEL CORP 0.006642569 COMMON STOCK 4,043 60,52114.97MATERIALS JP

NIPPON TELEGRAPH & TELEPHONE 0.026641373 COMMON STOCK 13,250 364,68227.52COMMUNICATION SERVICES JP

NISOURCE INC 0.0365473P105 COMMON STOCK 22,618 554,37524.51UTILITIES US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

53

NISSAN CHEMICAL CORP 0.016641588 COMMON STOCK 2,465 141,97757.60MATERIALS JP

NISSHIN SEIFUN GROUP INC 0.016640961 COMMON STOCK 6,892 99,30014.41CONSUMER STAPLES JP

NISSIN FOODS HOLDINGS CO LTD 0.016641760 COMMON STOCK 2,408 176,89673.45CONSUMER STAPLES JP

NITORI HOLDINGS CO LTD 0.016644800 COMMON STOCK 639 101,478158.79CONSUMER DISCRETIONARY JP

NN GROUP NV 0.01BNG8PQ9 COMMON STOCK 3,206 158,57949.46FINANCIALS NL

NOAH HOLDINGS LTD-SPON ADS 0.0065487X102 AMERICAN DEPOSITORY RECEIPT 27 97536.43FINANCIALS CN

NOKIA OYJ 0.015902941 COMMON STOCK 30,449 168,4405.53INFORMATION TECHNOLOGY FI

NOMURA REAL ESTATE HOLDINGS 0.00B1CWJM5 COMMON STOCK 2,191 47,56721.71REAL ESTATE JP

NOMURA REAL ESTATE MASTER FU 0.00BYSJJF4 REAL ESTATE INVESTMENT TRUST 55 77,8631,421.46REAL ESTATE JP

NOMURA RESEARCH INSTITUTE LT 0.016390921 COMMON STOCK 5,478 235,42242.98INFORMATION TECHNOLOGY JP

NONGFU SPRING CO LTD-H 0.01BMGWW30 COMMON STOCK 17,302 99,2065.73CONSUMER STAPLES CN

NORDEA BANK ABP 0.00BYZF9J9 COMMON STOCK 7,880 93,01311.80FINANCIALS FI

NORSK HYDRO ASA 0.01B11HK39 COMMON STOCK 31,488 203,5566.46MATERIALS NO

NORTHAM PLATINUM HOLDINGS LT 0.00BMZ1NS0 COMMON STOCK 3,606 49,99613.87MATERIALS ZA

NORTHAM PLATINUM HOLDINGS LT 0.00BMZ1NS0 COMMON STOCK 290 4,01913.87MATERIALS ZA

NORTHERN STAR RESOURCES LTD 0.016717456 COMMON STOCK 30,533 204,3696.69MATERIALS AU

NORTHERN TRUST CORP 0.01665859104 COMMON STOCK 1,051 121,618115.70FINANCIALS US

NORTHLAND POWER INC 0.00666511100 COMMON STOCK 2,857 85,15529.81UTILITIES CA

NORTHROP GRUMMAN CORP 0.01666807102 COMMON STOCK 551 192,065348.80INDUSTRIALS US

NORTHWEST NATURAL HOLDING CO 0.0166765N105 COMMON STOCK 3,107 133,98143.12UTILITIES US

NORTONLIFELOCK INC 0.01668771108 COMMON STOCK 7,585 188,48824.85INFORMATION TECHNOLOGY US

NOTRE DAME INTERMED PAR SA 0.00BF4J7K6 COMMON STOCK 3,287 35,76810.88HEALTH CARE BR

NOVANTA INC 0.0167000B104 COMMON STOCK 1,747 282,058161.45INFORMATION TECHNOLOGY US

NOVARTIS AG-REG 0.017103065 COMMON STOCK 1,695 134,54379.36HEALTH CARE CH

NOVARTIS CAPITAL CORP COMPANY GUARNT 0.0266989HAH1


NOVATEK PJSC-SPONS GDR REG S 0.00B0DK750 GLOBAL DEPOSITORY RECEIPTS 70 15,437219.10ENERGY RU

NOVO NORDISK A/S-B 0.02BHC8X90 COMMON STOCK 4,608 491,437106.66HEALTH CARE DK

NOVOLIPETSK STEEL PJSC-GDR 0.01B0RTNX3 GLOBAL DEPOSITORY RECEIPTS 3,451 99,88628.94MATERIALS RU

NOVOZYMES A/S-B SHARES 0.01B798FW0 COMMON STOCK 3,344 251,60075.24MATERIALS DK

NRG ENERGY INC 0.02629377508 COMMON STOCK 12,591 453,52636.02UTILITIES US

NSK LTD 0.006641544 COMMON STOCK 3,926 26,6566.79INDUSTRIALS JP

NTT DATA CORP 0.016125639 COMMON STOCK 9,312 196,33621.08INFORMATION TECHNOLOGY JP

NUCOR CORP 0.04670346105 COMMON STOCK 8,323 884,355106.26MATERIALS US

NUTRIEN LTD 0.01BDRJLN0 COMMON STOCK 2,164 142,82966.01MATERIALS CA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

54

NVE CORP 0.01629445206 COMMON STOCK 2,162 145,43767.27INFORMATION TECHNOLOGY US

O'REILLY AUTOMOTIVE INC 0.0167103H107 COMMON STOCK 219 139,629638.16CONSUMER DISCRETIONARY US

OATEI 0.250 07/25/2024 0.49B9JBH16 TREASURY INFLATIONARY PROTECTED 7,996,568 9,721,639121.47FR

OATEI 1.100 07/25/2022 0.07B51LH27 TREASURY INFLATIONARY PROTECTED 1,169,750 1,368,289116.54FR

OATEI 1.800 07/25/2040 0.42B1TX1H0 TREASURY INFLATIONARY PROTECTED 4,322,465 8,322,849191.83FR

OATEI 1.850 07/25/2027 0.15B44J1N0 TREASURY INFLATIONARY PROTECTED 2,074,952 2,926,159140.29FR

OATI 2.100 07/25/2023 0.34B2PP4H8 TREASURY INFLATIONARY PROTECTED 5,587,969 6,787,984120.64FR

OATI 3.400 07/25/2029 0.325795174 TREASURY INFLATIONARY PROTECTED 3,981,420 6,389,292160.48FR

OBAYASHI CORP 0.006656407 COMMON STOCK 9,701 71,4257.36INDUSTRIALS JP

OBIC CO LTD 0.016136749 COMMON STOCK 639 118,137184.86INFORMATION TECHNOLOGY JP

OCADO GROUP PLC 0.00B3MBS74 COMMON STOCK 3,247 77,14023.75CONSUMER STAPLES GB

OCCIDENTAL PETROLEUM CORP 0.01674599105 COMMON STOCK 8,598 254,92729.65ENERGY US

ODAKYU ELECTRIC RAILWAY CO 0.006656106 COMMON STOCK 3,469 66,82019.26INDUSTRIALS JP

OESTERREICHISCHE KONTROLLBANK AG 0.05676167BV0 CORPORATE BOND 875,000 907,479103.09AT

OESTERREICHISCHE KONTROLLBANK AG 0.02676167BZ1 CORPORATE BOND 375,000 380,292101.08AT

OESTERREICHISCHE KONTROLLBANK AG 0.02676167BX6 CORPORATE BOND 375,000 392,888104.77AT

OESTERREICHISCHE KONTROLLBANK AG 0.02676167BY4 CORPORATE BOND 375,000 376,510100.40AT

OFILM GROUP CO LTD-A 0.00BD5CLK8 COMMON STOCK 11,059 15,2061.37INFORMATION TECHNOLOGY CN

OIL & NATURAL GAS CORP LTD 0.006139362 COMMON STOCK 34,273 64,8041.89ENERGY IN

OIL & NATURAL GAS CORP LTD 0.006139362 COMMON STOCK 2,503 4,7321.89ENERGY IN

OIL SEARCH LTD 0.006657604 COMMON STOCK 26,039 70,3442.70ENERGY AU

OIL-DRI CORP OF AMERICA 0.01677864100 COMMON STOCK 3,705 123,36133.30CONSUMER STAPLES US

OJI HOLDINGS CORP 0.016657701 COMMON STOCK 29,115 134,6184.62MATERIALS JP

OLD DOMINION FREIGHT LINE 0.02679580100 COMMON STOCK 885 314,405355.17INDUSTRIALS US

OLYMPUS CORP 0.016658801 COMMON STOCK 5,386 120,44622.36HEALTH CARE JP

OMEGA THERAPEUTICS INC 0.0168217N105 COMMON STOCK 9,663 174,80918.09HEALTH CARE US

OMNICOM GROUP 0.03681919106 COMMON STOCK 9,431 634,81067.31COMMUNICATION SERVICES US

OMRON CORP 0.016659428 COMMON STOCK 1,088 105,09096.57INFORMATION TECHNOLOGY JP

OMV AG 0.004651459 COMMON STOCK 844 44,64752.87ENERGY AT

OMXS30 INDEX FUTURE DEC 2021 0.54QCDEC2021

OMXS30 INDEX FUTURE 434 10,727,209247.17SE

ONE LIBERTY PROPERTIES INC 0.00682406103 REAL ESTATE INVESTMENT TRUST 2,686 87,38232.53REAL ESTATE US

ONECONNECT FINANCIAL TECHNO 0.0068248T105 AMERICAN DEPOSITORY RECEIPT 9,056 23,1832.56INFORMATION TECHNOLOGY CN

ONEOK INC 0.06682680103 COMMON STOCK 20,661 1,236,35459.84ENERGY US

ONO PHARMACEUTICAL CO LTD 0.016660107 COMMON STOCK 6,420 141,66122.07HEALTH CARE JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

55

ONTARIO PROVINCE 2.450 20220629 0.0168323ABK9 CORPORATE BOND 200,000 204,701101.32CA

OOREDOO QPSC 0.006158174 COMMON STOCK 33,907 63,3261.87COMMUNICATION SERVICES QA

OOREDOO QPSC 0.006158174 COMMON STOCK 2,912 5,4381.87COMMUNICATION SERVICES QA

OPAP SA 0.007107250 COMMON STOCK 2,565 35,42513.81CONSUMER DISCRETIONARY GR

OPEN TEXT CORP 0.01683715106 COMMON STOCK 3,911 184,63847.21INFORMATION TECHNOLOGY CA

ORACLE CORP 0.0168389X105 COMMON STOCK 2,401 217,89690.74INFORMATION TECHNOLOGY US

ORACLE CORP JAPAN 0.006141680 COMMON STOCK 1,002 98,43598.29INFORMATION TECHNOLOGY JP

ORANGE 0.025176177 COMMON STOCK 32,368 346,48910.70COMMUNICATION SERVICES FR

ORBIA ADVANCE CORP SAB DE CV 0.00BH3T8K8 COMMON STOCK 23,456 54,5092.32MATERIALS MX

ORIENTAL LAND CO LTD 0.016648891 COMMON STOCK 1,331 209,136157.12CONSUMER DISCRETIONARY JP

ORIGIN ENERGY LTD 0.006214861 COMMON STOCK 18,839 64,1163.40UTILITIES AU

ORION CORP/REPUBLIC OF KOREA 0.00BDVLJ72 COMMON STOCK 402 32,87881.74CONSUMER STAPLES KR

ORION OFFICE REIT INC 0.0068629Y103 REAL ESTATE INVESTMENT TRUST 95 1,68517.77REAL ESTATE US

ORION OYJ-CLASS B 0.01B17NY40 COMMON STOCK 3,134 128,02440.85HEALTH CARE FI

ORIX CORP 0.016661144 COMMON STOCK 5,934 117,32919.77FINANCIALS JP

ORIX JREIT INC 0.006527774 REAL ESTATE INVESTMENT TRUST 34 53,6981,589.68REAL ESTATE JP

ORKLA ASA 0.01B1VQF42 COMMON STOCK 16,360 148,7089.09CONSUMER STAPLES NO

ORMAT TECHNOLOGIES INC 0.02686688102 COMMON STOCK 6,063 457,75575.50UTILITIES US

ORPEA 0.007339451 COMMON STOCK 1,041 97,70293.88HEALTH CARE FR

ORRSTOWN FINL SERVICES INC 0.01687380105 COMMON STOCK 6,137 143,60923.40FINANCIALS US

ORSTED A/S 0.01BYT16L4 COMMON STOCK 1,400 178,948127.86UTILITIES DK

ORTHO CLINICAL DIAGNOSTICS H 0.03G6829J107 COMMON STOCK 27,051 517,76319.14HEALTH CARE US

ORTHOFIX MEDICAL INC 0.0268752M108 COMMON STOCK 13,922 426,15530.61HEALTH CARE US

OSAKA GAS CO LTD 0.036661768 COMMON STOCK 37,150 597,75616.09UTILITIES JP

OSI SYSTEMS INC 0.01671044105 COMMON STOCK 1,616 146,91890.93INFORMATION TECHNOLOGY US

OSOTSPA PCL-FOREIGN 0.00BGR9QQ9 COMMON STOCK 60,180 57,1480.95CONSUMER STAPLES TH

OTP BANK PLC 0.007320154 COMMON STOCK 1,671 91,62054.82FINANCIALS HU

OTP BANK PLC 0.007320154 COMMON STOCK 130 7,13854.82FINANCIALS HU

OTSUKA CORP 0.016267058 COMMON STOCK 2,282 104,32445.71INFORMATION TECHNOLOGY JP

OTSUKA HOLDINGS CO LTD 0.01B5LTM93 COMMON STOCK 4,291 156,67636.51HEALTH CARE JP

OTTER TAIL CORP 0.04689648103 COMMON STOCK 12,253 801,24065.39UTILITIES US

OUTBRAIN INC 0.02N.A. COMMON STOCK 23,048 347,79615.09COMMUNICATION SERVICES US

OZON HOLDINGS PLC - ADR 0.00BMWB4S0 AMERICAN DEPOSITORY RECEIPT 1,117 45,71940.94CONSUMER DISCRETIONARY RU

PACCAR INC 0.00693718108 COMMON STOCK 832 69,43483.42INDUSTRIALS US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

56

PACIFIC SECURITIES CO/THE-A 0.00BP3R6W6 COMMON STOCK 177,568 88,6290.50FINANCIALS CN

PACKAGING CORP OF AMERICA 0.02695156109 COMMON STOCK 2,792 364,662130.59MATERIALS US

PAGE INDUSTRIES LTD 0.00B1VJS64 COMMON STOCK 123 62,872510.84CONSUMER DISCRETIONARY IN

PAN OCEAN CO LTD 0.01B24FX49 COMMON STOCK 28,579 124,3804.35INDUSTRIALS KR

PAN PACIFIC INTERNATIONAL HO 0.026269861 COMMON STOCK 26,293 448,30617.05CONSUMER DISCRETIONARY JP

PANASONIC CORP 0.006572707 COMMON STOCK 8,052 88,11310.94CONSUMER DISCRETIONARY JP

PANDORA A/S 0.01B44XTX8 COMMON STOCK 1,136 139,919123.20CONSUMER DISCRETIONARY DK

PAR PACIFIC HOLDINGS INC 0.0069888T207 COMMON STOCK 6,539 88,53913.54ENERGY US

PARK NATIONAL CORP 0.01700658107 COMMON STOCK 856 111,354130.09FINANCIALS US

PARKER HANNIFIN CORP 0.01701094104 COMMON STOCK 631 190,561302.06INDUSTRIALS US

PAYCOM SOFTWARE INC 0.0170432V102 COMMON STOCK 381 166,713437.48INFORMATION TECHNOLOGY US

PEARL ABYSS CORP 0.00BYX56S9 COMMON STOCK 823 91,264110.87COMMUNICATION SERVICES KR

PEARSON PLC 0.010677608 COMMON STOCK 23,630 185,4497.85COMMUNICATION SERVICES GB

PEGATRON CORP 0.00B4PLX17 COMMON STOCK 36,566 87,5862.40INFORMATION TECHNOLOGY TW

PEGATRON CORP 0.00B4PLX17 COMMON STOCK 4,459 10,6812.40INFORMATION TECHNOLOGY TW

PENTAIR PLC 0.01G7S00T104

COMMON STOCK 3,041 224,11473.69INDUSTRIALS GB

PEOPLE'S UNITED FINANCIAL 0.02712704105 COMMON STOCK 20,435 348,21117.04FINANCIALS US

PEOPLES BANCORP INC 0.00709789101 COMMON STOCK 2,413 74,40330.84FINANCIALS US

PEOPLES FINANCIAL SERVICES 0.01711040105 COMMON STOCK 2,954 139,98147.39FINANCIALS US

PEPSICO INC 0.02713448108 COMMON STOCK 2,638 421,555159.78CONSUMER STAPLES US

PEPTIDREAM INC 0.00B97SH97 COMMON STOCK 2,374 59,83025.21HEALTH CARE JP

PERFECT WORLD CO LTD-A 0.00BD5M1C0 COMMON STOCK 11,329 33,5012.96COMMUNICATION SERVICES CN

PERFICIENT INC 0.0171375U101 COMMON STOCK 1,082 148,334137.03INFORMATION TECHNOLOGY US

PERKINELMER INC 0.04714046109 COMMON STOCK 4,445 809,749182.16HEALTH CARE US

PERNOD RICARD SA 0.014682329 COMMON STOCK 600 136,717227.94CONSUMER STAPLES FR

PERSIMMON PLC 0.000682538 COMMON STOCK 2,224 80,53136.21CONSUMER DISCRETIONARY GB

PETROCHINA CO LTD-A 0.00BP3R206 COMMON STOCK 29,788 22,0210.74ENERGY CN

PETROCHINA CO LTD-A 0.00BP3R206 COMMON STOCK 25,953 19,1860.74ENERGY CN

PETROCHINA CO LTD-H 0.006226576 COMMON STOCK 55,295 24,0450.43ENERGY CN

PETRONAS CHEMICALS GROUP BHD 0.00B5KQGT3 COMMON STOCK 17,391 35,1002.02MATERIALS MY

PETRONAS DAGANGAN BHD 0.006695938 COMMON STOCK 7,848 37,0854.73ENERGY MY

PETRONAS DAGANGAN BHD 0.006695938 COMMON STOCK 624 2,9504.73ENERGY MY

PETRONAS GAS BHD 0.006703972 COMMON STOCK 4,638 18,5223.99UTILITIES MY

PETRONAS GAS BHD 0.006703972 COMMON STOCK 1,159 4,6303.99UTILITIES MY


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

57

PETRONET LNG LTD 0.00B00KT68 COMMON STOCK 6,503 19,0222.93ENERGY IN

PFIZER INC 0.02717081103 COMMON STOCK 7,489 402,40053.73HEALTH CARE US

PHARMARON BEIJING CO LTD-H 0.00BK72QD3 COMMON STOCK 1,873 38,60720.61HEALTH CARE CN

PHILIP MORRIS INTERNATIONAL 0.08718172109 COMMON STOCK 17,290 1,485,87485.94CONSUMER STAPLES US

PHILLIPS 66 0.01718546104 COMMON STOCK 3,680 254,57269.17ENERGY US

PHISON ELECTRONICS CORP 0.006728469 COMMON STOCK 3,557 52,70214.82INFORMATION TECHNOLOGY TW

PHISON ELECTRONICS CORP 0.006728469 COMMON STOCK 54 79314.82INFORMATION TECHNOLOGY TW

PHOSAGRO PJSC-GDR REG S 0.01B62QPJ1 GLOBAL DEPOSITORY RECEIPTS 9,938 219,23122.06MATERIALS RU

PHOSAGRO PJSC-GDR REG S 0.00B62QPJ1 GLOBAL DEPOSITORY RECEIPTS 895 19,73322.06MATERIALS RU

PIDILITE INDUSTRIES LTD 0.00B0JJV59 COMMON STOCK 2,112 61,98829.35MATERIALS IN

PIGEON CORP 0.016688080 COMMON STOCK 13,238 268,26320.27CONSUMER STAPLES JP

PINDUODUO INC-ADR 0.00722304102 AMERICAN DEPOSITORY RECEIPT 245 16,31066.50CONSUMER DISCRETIONARY CN

PING AN BANK CO LTD-A 0.00BD5CPS4 COMMON STOCK 18,194 49,8032.74FINANCIALS CN

PING AN HEALTHCARE AND TECHN 0.00BDRYVB3 COMMON STOCK 862 3,2523.77HEALTH CARE CN

PINNACLE WEST CAPITAL 0.03723484101 COMMON STOCK 8,929 580,81965.05UTILITIES US

PIRAMAL ENTERPRISES LTD 0.00B058J56 COMMON STOCK 1,415 45,54632.18FINANCIALS IN

PIRAMAL ENTERPRISES LTD 0.00B058J56 COMMON STOCK 128 4,10432.18FINANCIALS IN

PLDT INC 0.02BDGN274 COMMON STOCK 9,547 318,33833.34COMMUNICATION SERVICES PH

PLDT INC-SPON ADR 0.0069344D408 AMERICAN DEPOSITORY RECEIPT 2,280 75,91733.29COMMUNICATION SERVICES PH

PLEXUS CORP 0.01729132100 COMMON STOCK 1,568 131,89984.14INFORMATION TECHNOLOGY US

PNC FINANCIAL SERVICES GROUP 0.02693475105 COMMON STOCK 2,083 410,380197.00FINANCIALS US

PNM RESOURCES INC 0.0469349H107 COMMON STOCK 14,387 708,42449.24UTILITIES US

POLA ORBIS HOLDINGS INC 0.00B5N4QN8 COMMON STOCK 4,108 73,15917.81CONSUMER STAPLES JP

POLSKI KONCERN NAFTOWY ORLEN 0.015810066 COMMON STOCK 7,640 132,76017.38ENERGY PL

POLSKI KONCERN NAFTOWY ORLEN 0.005810066 COMMON STOCK 286 4,97517.38ENERGY PL

POLYUS PJSC-REG S-GDR 0.00BYXL3S6 GLOBAL DEPOSITORY RECEIPTS 244 23,38695.70MATERIALS RU

PORTLAND GENERAL ELECTRIC CO 0.03736508847 COMMON STOCK 11,548 562,02348.67UTILITIES US

POSCO CHEMICAL CO LTD 0.006419451 COMMON STOCK 201 26,606132.59MATERIALS KR

POSTAL SAVINGS BANK OF CHI-A 0.00BL61XF9 COMMON STOCK 2,319 1,8490.80FINANCIALS CN

POSTE ITALIANE SPA 0.00BYYN701 COMMON STOCK 7,797 97,76312.54FINANCIALS IT

POU CHEN 0.016696157 COMMON STOCK 182,830 210,7471.15CONSUMER DISCRETIONARY TW

POWER ASSETS HOLDINGS LTD 0.066435327 COMMON STOCK 200,774 1,209,1486.02UTILITIES HK

POWER INTEGRATIONS INC 0.01739276103 COMMON STOCK 1,868 186,887100.03INFORMATION TECHNOLOGY US

POWERTECH TECHNOLOGY INC 0.006599676 COMMON STOCK 13,378 47,6813.56INFORMATION TECHNOLOGY TW


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

58

PPB GROUP BERHAD 0.006681669 COMMON STOCK 10,167 43,0204.23CONSUMER STAPLES MY

PPB GROUP BERHAD 0.006681669 COMMON STOCK 1,427 6,0384.23CONSUMER STAPLES MY

PPG INDUSTRIES INC 0.01693506107 COMMON STOCK 1,369 211,107154.17MATERIALS US

PPL CORP 0.0969351T106 COMMON STOCK 60,360 1,679,82527.83UTILITIES US

PRESIDENT & FELLOWS HARVARD COLLEGE 3.61 0.03740816AL7 CORPORATE BOND 500,000 587,278117.46US

PRESIDENT CHAIN STORE CORP 0.016704986 COMMON STOCK 24,972 241,5969.67CONSUMER STAPLES TW

PRESS METAL ALUMINIUM HOLDIN 0.00BF0J5S4 COMMON STOCK 22,296 28,3241.27MATERIALS MY

PRESTIGE CONSUMER HEALTHCARE 0.0274112D101 COMMON STOCK 8,667 484,91855.95HEALTH CARE US

PRICESMART INC 0.01741511109 COMMON STOCK 3,495 250,66671.72CONSUMER STAPLES US

PRIMIS FINANCIAL CORP 0.0174167B109 COMMON STOCK 9,766 149,21715.28FINANCIALS US

PRINCETON UNIVRS 5.700 20390301 0.0289837LAB1 CORPORATE BOND 250,000 362,630145.05US

PRINCIPAL FINANCIAL GROUP 0.0274251V102 COMMON STOCK 5,887 403,70368.58FINANCIALS US

PROCTER & GAMBLE CO/THE 0.02742718109 COMMON STOCK 2,523 364,845144.58CONSUMER STAPLES US

PROCTER & GAMBLE CO/THE 0.03742718EU9 CORPORATE BOND 500,000 509,554101.25US

PROCTER GAMBLE 2.300 20220206 0.02742718DY2 CORPORATE BOND 400,000 401,332100.33US

PROGRESS SOFTWARE CORP 0.01743312100 COMMON STOCK 3,246 157,29248.45INFORMATION TECHNOLOGY US

PROGRESSIVE CORP 0.02743315103 COMMON STOCK 3,903 362,72892.94FINANCIALS US

PROLOGIS INC 0.0174340W103

REAL ESTATE INVESTMENT TRUST 1,485 223,878150.75REAL ESTATE US

PROMOTORA Y OPERADORA DE INF 0.002393388 COMMON STOCK 5,240 35,9526.86INDUSTRIALS MX

PROSUS NV 0.01BJDS7L3 COMMON STOCK 1,253 99,98979.83CONSUMER DISCRETIONARY NL

PROVINCE OF ALBERTA CANADA 0.03013051EE3 GOVERNMENT BOND 500,000 525,589105.12CA

PROVINCE OF ALBERTA CANADA 0.03013051EF0 GOVERNMENT BOND 500,000 523,263104.65CA

PROVINCE OF ALBERTA CANADA 0.05013051EA1 GOVERNMENT BOND 875,000 968,578110.00CA

PROVINCE OF MANITOBA CANADA 0.04563469UU7 GOVERNMENT BOND 750,000 783,908104.20CA

PROVINCE OF MANITOBA CANADA 0.01563469UQ6


PROVINCE OF ONTARIO CANADA 0.0468323AED2


PROVINCE OF ONTARIO CANADA 0.0368323ACT9 GOVERNMENT BOND 500,000 529,532105.77CA

PROVINCE OF ONTARIO CANADA 0.0768323ADP6

GOVERNMENT BOND 1,250,000 1,315,928105.04CA

PROVINCE OF ONTARIO CANADA 0.046832342L1 CORPORATE BOND 750,000 757,907100.97US

PROVINCE OF ONTARIO CANADA 0.0468323AEQ3


PROVINCE OF ONTARIO CANADA 0.0568323AFG4

GOVERNMENT BOND 875,000 895,604102.03CA

PROVINCE OF QUEBEC CANADA 0.07748149AQ4 GOVERNMENT BOND 1,250,000 1,305,426104.07CA

PROVINCE OF QUEBEC CANADA 0.05748149AH4 CORPORATE BOND 1,000,000 1,055,134105.51US

PROVINCE OF QUEBEC CANADA 0.04748149AJ0 CORPORATE BOND 750,000 792,747105.41US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

59

PROXIMUS 0.02B00D9P6 COMMON STOCK 19,983 360,33018.03COMMUNICATION SERVICES BE

PRUDENTIAL FINANCIAL INC 0.01744320102 COMMON STOCK 1,693 173,122102.26FINANCIALS US

PS BUSINESS PARKS INC/MD 0.0069360J107 REAL ESTATE INVESTMENT TRUST 243 42,496175.20REAL ESTATE US

PTT EXPLORATION & PROD-FOR 0.00B1359J0 COMMON STOCK 15,697 52,8693.37ENERGY TH

PTT PCL/FOREIGN 0.00BD0BDJ3 COMMON STOCK 53,024 55,8611.05ENERGY TH

PUBLIC BANK BERHAD 0.00B012W42 COMMON STOCK 21,623 20,2290.94FINANCIALS MY

PUBLIC SERVICE ENTERPRISE GP 0.03744573106 COMMON STOCK 10,459 653,61462.49UTILITIES US

PUBLIC STORAGE 0.0174460D109 REAL ESTATE INVESTMENT TRUST 406 132,815327.38REAL ESTATE US

PUBLICIS GROUPE 0.014380429 COMMON STOCK 2,563 164,82264.32COMMUNICATION SERVICES FR

PULTEGROUP INC 0.01745867101 COMMON STOCK 5,720 286,16050.03CONSUMER DISCRETIONARY US

PUMA SE 0.015064722 COMMON STOCK 1,234 148,312120.16CONSUMER DISCRETIONARY DE

QATAR ELECTRICITY & WATER CO 0.006566614 COMMON STOCK 19,031 86,2444.53UTILITIES QA

QATAR ELECTRICITY & WATER CO 0.006566614 COMMON STOCK 2,553 11,5714.53UTILITIES QA

QATAR GAS TRANSPORT(NAKILAT) 0.00B0MLBC9 COMMON STOCK 7,400 6,7070.91ENERGY QA

QATAR INTERNATIONAL ISLAMIC 0.006571544 COMMON STOCK 13,827 35,3562.56FINANCIALS QA

QATAR INTERNATIONAL ISLAMIC 0.006571544 COMMON STOCK 574 1,4692.56FINANCIALS QA

QATAR ISLAMIC BANK 0.016713982 COMMON STOCK 29,870 141,1054.72FINANCIALS QA

QATAR ISLAMIC BANK 0.006713982 COMMON STOCK 375 1,7704.72FINANCIALS QA

QATAR NATIONAL BANK 0.016148197 COMMON STOCK 21,978 117,0435.33FINANCIALS QA

QATAR NATIONAL BANK 0.006148197 COMMON STOCK 458 2,4415.33FINANCIALS QA

QIAGEN N.V. 0.02BYXS699 COMMON STOCK 6,371 351,41555.15HEALTH CARE NL

QL RESOURCES BHD 0.00B00G234 COMMON STOCK 39,063 42,2031.08CONSUMER STAPLES MY

QORVO INC 0.0174736K101 COMMON STOCK 946 138,378146.23INFORMATION TECHNOLOGY US

QUAKER CHEMICAL CORPORATION 0.02747316107 COMMON STOCK 1,392 317,215227.85MATERIALS US

QUALCOMM INC 0.05747525103 COMMON STOCK 5,020 906,341180.56INFORMATION TECHNOLOGY US

QUANTA COMPUTER INC 0.016141011 COMMON STOCK 37,873 117,0073.09INFORMATION TECHNOLOGY TW

QUANTA COMPUTER INC 0.006141011 COMMON STOCK 3,942 12,1793.09INFORMATION TECHNOLOGY TW

QUANTA SERVICES INC 0.0174762E102 COMMON STOCK 2,434 276,956113.78INDUSTRIALS US

QUEBEC PROV CANADA-GLOBAL 0.035778517 CORPORATE BOND 375,000 534,607140.98CA

QUEBEC PROVINCE 2.625 20230213 0.07748149AG6 CORPORATE BOND 1,250,000 1,293,269102.67US

QUEBECOR INC -CL B 0.01748193208 COMMON STOCK 5,500 121,90422.16COMMUNICATION SERVICES CA

QUEST DIAGNOSTICS INC 0.0574834L100 COMMON STOCK 6,035 897,314148.68HEALTH CARE US

QUIMICA Y MINERA CHIL-SP ADR 0.00833635105 AMERICAN DEPOSITORY RECEIPT 369 22,98862.26MATERIALS CL

QUIMICA Y MINERA CHIL-SP ADR 0.00833635105 AMERICAN DEPOSITORY RECEIPT 138 8,60762.26MATERIALS CL


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

60

RABIGH REFINING AND PETROCHE 0.00B2PF1B1 COMMON STOCK 15,642 91,7295.86ENERGY SA

RABOBANK 3.875 20220208 0.0321685WDD6


RAIA DROGASIL SA 0.00B7FQV64 COMMON STOCK 10,256 40,6363.96CONSUMER STAPLES BR

RAKUTEN GROUP INC 0.016229597 COMMON STOCK 9,860 100,81710.23CONSUMER DISCRETIONARY JP

RALPH LAUREN CORP 0.02751212101 COMMON STOCK 2,585 299,912116.04CONSUMER DISCRETIONARY US

RAMBUS INC 0.00750917106 COMMON STOCK 3,121 83,96026.90INFORMATION TECHNOLOGY US

RAPID MICRO BIOSYSTEMS INC-A 0.0175340L104 COMMON STOCK 19,736 243,14112.32HEALTH CARE US

RATCH GROUP PCL-FOREIGN 0.00BK1W1W3 COMMON STOCK 35,529 45,6001.28UTILITIES TH

RAYMOND JAMES FINANCIAL INC 0.02754730109 COMMON STOCK 3,562 350,09598.29FINANCIALS US

RAYTHEON TECHNOLOGIES CORP 0.0175513E101 COMMON STOCK 3,213 259,97180.92INDUSTRIALS US

REA GROUP LTD 0.016198578 COMMON STOCK 915 105,330115.14COMMUNICATION SERVICES AU

REALTEK SEMICONDUCTOR CORP 0.006051422 COMMON STOCK 251 5,00219.96INFORMATION TECHNOLOGY TW

REALTY INCOME CORP 0.00756109104 REAL ESTATE INVESTMENT TRUST 950 64,52167.92REAL ESTATE US

REC LTD 0.00B2Q7WL3 COMMON STOCK 6,571 11,7651.79FINANCIALS IN

RECORDATI INDUSTRIA CHIMICA 0.02B07DRZ5 COMMON STOCK 4,788 298,81362.40HEALTH CARE IT

RED ELECTRICA CORPORACION SA 0.01BD6FXN3 COMMON STOCK 5,515 116,30421.09UTILITIES ES

REDE D'OR SAO LUIZ SA 0.00BNDQ8P6 COMMON STOCK 10,791 95,8478.88HEALTH CARE BR

REGENCY CENTERS CORP 0.00758849103 REAL ESTATE INVESTMENT TRUST 1,330 92,23069.34REAL ESTATE US

REGENERON PHARMACEUTICALS 0.0575886F107 COMMON STOCK 1,675 1,066,011636.53HEALTH CARE US

REGIONS FINANCIAL CORP 0.017591EP100 COMMON STOCK 12,448 283,18822.75FINANCIALS US

REINET INVESTMENTS SCA 0.00BF52QF2 COMMON STOCK 677 11,12916.44FINANCIALS LU

RELIANCE INDUSTRIES LTD 0.006099626 COMMON STOCK 2,279 72,93432.01ENERGY IN

RELX PLC 0.01B2B0DG9 COMMON STOCK 3,440 106,36030.92INDUSTRIALS GB

REMGRO LTD 0.006290689 COMMON STOCK 1,942 15,2167.83FINANCIALS ZA

REMGRO LTD 0.006290689 COMMON STOCK 466 3,6477.83FINANCIALS ZA

REMY COINTREAU 0.014741714 COMMON STOCK 1,226 285,679233.00CONSUMER STAPLES FR

RENESAS ELECTRONICS CORP 0.006635677 COMMON STOCK 7,395 93,91312.70INFORMATION TECHNOLOGY JP

RENTOKIL INITIAL PLC 0.01B082RF1 COMMON STOCK 16,149 131,0998.12INDUSTRIALS GB

REPSOL SA 0.005669354 COMMON STOCK 1,788 19,70011.02ENERGY ES

REPUBLIC SERVICES INC 0.01760759100 COMMON STOCK 2,027 268,041132.26INDUSTRIALS US

RESMED INC 0.01761152107 COMMON STOCK 694 176,808254.85HEALTH CARE US

RESONA HOLDINGS INC 0.006421553 COMMON STOCK 24,832 90,8913.66FINANCIALS JP

RESOURCES CONNECTION INC 0.0176122Q105 COMMON STOCK 10,213 175,45217.18INDUSTRIALS US

RESTAURANT BRANDS INTERN 0.0176131D103 COMMON STOCK 4,480 249,58955.71CONSUMER DISCRETIONARY CA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

61

RHB BANK BHD 0.006244675 COMMON STOCK 37,547 47,0731.25FINANCIALS MY

RICHTER GEDEON NYRT 0.00BC9ZH86 COMMON STOCK 1,223 32,21426.35HEALTH CARE HU

RICHTER GEDEON NYRT 0.00BC9ZH86 COMMON STOCK 225 5,92126.35HEALTH CARE HU

RICOH CO LTD 0.006738220 COMMON STOCK 10,681 94,3558.83INFORMATION TECHNOLOGY JP

RIO TINTO PLC 0.010718875 COMMON STOCK 2,598 158,53861.02MATERIALS GB

RLI CORP 0.00749607107 COMMON STOCK 620 63,768102.78FINANCIALS US

RLX TECHNOLOGY INC-ADR 0.0074969N103 AMERICAN DEPOSITORY RECEIPT 11,647 47,8684.11CONSUMER STAPLES CN

ROBERT HALF INTL INC 0.03770323103 COMMON STOCK 5,186 576,577111.17INDUSTRIALS US

ROCHE HOLDING AG-BR 0.027108918 COMMON STOCK 749 309,024412.79HEALTH CARE CH

ROCKWELL AUTOMATION INC 0.02773903109 COMMON STOCK 924 310,485336.20INDUSTRIALS US

ROCKWOOL INTL A/S-B SHS 0.014713490 COMMON STOCK 269 111,361413.49INDUSTRIALS DK

ROGERS COMMUNICATIONS INC-B 0.00775109200 COMMON STOCK 2,211 98,52644.56COMMUNICATION SERVICES CA

ROHM CO LTD 0.016747204 COMMON STOCK 1,187 111,11093.62INFORMATION TECHNOLOGY JP

ROLLINS INC 0.01775711104 COMMON STOCK 4,503 149,85033.28INDUSTRIALS US

ROSS STORES INC 0.01778296103 COMMON STOCK 1,933 210,841109.09CONSUMER DISCRETIONARY US

ROYAL BANK OF CANADA 0.00780087102 COMMON STOCK 845 83,23498.46FINANCIALS CA

ROYAL DUTCH SHELL PLC-B SHS 0.05B03MM40 COMMON STOCK 43,287 903,37220.87ENERGY NL

RUENTEX DEVELOPMENT CO LTD 0.006748423 COMMON STOCK 819 1,8902.31REAL ESTATE TW

RUMO SA 0.00BYXZ2W5 COMMON STOCK 4,638 14,4253.11INDUSTRIALS BR

RWE AG 0.034768962 COMMON STOCK 13,576 521,87038.44UTILITIES DE

RYMAN HEALTHCARE LTD 0.006161525 COMMON STOCK 6,874 57,3818.35HEALTH CARE NZ

RYOHIN KEIKAKU CO LTD 0.006758455 COMMON STOCK 5,569 90,00016.16CONSUMER DISCRETIONARY JP

S F HOLDING CO LTD-A 0.00BD73M39 COMMON STOCK 4,548 43,7139.61INDUSTRIALS CN

S&P GLOBAL INC 0.0178409V104 COMMON STOCK 517 235,572455.73FINANCIALS US

S&P/TSE 60 INDEX FUTURE DEC 2021 1.28TXFDEC2021

S&P/TSE 60 INDEX FUTURE 130 25,254,132971.31CA

S-1 CORPORATION 0.006180230 COMMON STOCK 1,343 83,10561.87INDUSTRIALS KR

S-1 CORPORATION 0.006180230 COMMON STOCK 298 18,43161.87INDUSTRIALS KR

S-OIL CORP 0.006406055 COMMON STOCK 827 55,60867.26ENERGY KR

SABIC AGRI-NUTRIENTS CO 0.01B1323K0 COMMON STOCK 3,146 144,75946.01MATERIALS SA

SAFETY INSURANCE GROUP INC 0.0178648T100 COMMON STOCK 2,075 160,31977.27FINANCIALS US

SAFRAN SA 0.00B058TZ6 COMMON STOCK 470 52,277111.19INDUSTRIALS FR

SAGE GROUP PLC/THE 0.01B8C3BL0 COMMON STOCK 23,959 244,64910.21INFORMATION TECHNOLOGY GB

SAHARA INTERNATIONAL PETROCH 0.01B1C1NH5 COMMON STOCK 13,939 142,85810.25MATERIALS SA

SAIC MOTOR CORP LTD-A 0.00BP3R2D9 COMMON STOCK 15,786 49,4303.13CONSUMER DISCRETIONARY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

62

SAINSBURY (J) PLC 0.01B019KW7 COMMON STOCK 39,793 145,6193.66CONSUMER STAPLES GB

SALESFORCE.COM INC 0.0179466L302 COMMON STOCK 646 184,189284.96INFORMATION TECHNOLOGY US

SAMPO OYJ-A SHS 0.005226038 COMMON STOCK 1,995 97,42548.84FINANCIALS FI

SAMSUNG BIOLOGICS CO LTD 0.00BYNJCV6 COMMON STOCK 29 21,358748.38HEALTH CARE KR

SAMSUNG C&T CORP 0.00BSXN8K7 COMMON STOCK 237 21,06988.81INDUSTRIALS KR

SAMSUNG ELECTRO-MECHANICS CO 0.006771689 COMMON STOCK 435 61,003140.16INFORMATION TECHNOLOGY KR

SAMSUNG ELECTRONICS CO LTD 0.006771720 COMMON STOCK 788 47,32160.02INFORMATION TECHNOLOGY KR

SAMSUNG ELECTRONICS CO LTD 0.016771720 COMMON STOCK 1,708 102,51160.02INFORMATION TECHNOLOGY KR

SAMSUNG ENGINEERING CO LTD 0.006765239 COMMON STOCK 2,279 39,80417.47INDUSTRIALS KR

SAMSUNG FIRE & MARINE INS 0.006155250 COMMON STOCK 104 17,744170.05FINANCIALS KR

SAMSUNG FIRE & MARINE INS 0.006155250 COMMON STOCK 25 4,246170.05FINANCIALS KR

SAMSUNG HEAVY INDUSTRIES 0.006772217 COMMON STOCK 3,402 14,5224.27INDUSTRIALS KR

SAMSUNG LIFE INSURANCE CO LT 0.00B12C0T9 COMMON STOCK 282 14,18750.34FINANCIALS KR

SAMSUNG LIFE INSURANCE CO LT 0.00B12C0T9 COMMON STOCK 72 3,63750.34FINANCIALS KR

SAMSUNG SDI CO LTD 0.006771645 COMMON STOCK 139 80,580579.17INFORMATION TECHNOLOGY KR

SAMSUNG SDS CO LTD 0.00BRS2KY0 COMMON STOCK 300 36,200120.80INFORMATION TECHNOLOGY KR

SAMSUNG SECURITIES CO LTD 0.006408448 COMMON STOCK 1,005 37,52637.33FINANCIALS KR

SAN DIEGO GAS & ELECTRIC CO 0.05797440BU7 CORPORATE BOND 1,000,000 1,039,144103.80US

SANAN OPTOELECTRONICS CO L-A 0.00BP3R3R0 COMMON STOCK 9,186 50,5075.50INFORMATION TECHNOLOGY CN

SANDERSON FARMS INC 0.03800013104 COMMON STOCK 3,132 588,169187.78CONSUMER STAPLES US

SANDVIK AB 0.01B1VQ252 COMMON STOCK 5,620 138,97424.73INDUSTRIALS SE

SANLAM LTD 0.00B0L6750 COMMON STOCK 1,646 5,6923.46FINANCIALS ZA

SANOFI 0.015671735 COMMON STOCK 1,844 174,07594.39HEALTH CARE FR

SANTEN PHARMACEUTICAL CO LTD 0.016776606 COMMON STOCK 11,311 149,82913.25HEALTH CARE JP

SANTOS LTD 0.006776703 COMMON STOCK 14,378 65,0434.52ENERGY AU

SANY HEAVY INDUSTRY CO LTD-A 0.00BP3R3H0 COMMON STOCK 19,978 68,6703.44INDUSTRIALS CN

SANY HEAVY INDUSTRY CO LTD-A 0.00BP3R3H0 COMMON STOCK 282 9693.44INDUSTRIALS CN

SAP SE 0.014846288 COMMON STOCK 1,233 157,129127.40INFORMATION TECHNOLOGY DE

SAPUTO INC 0.01802912105 COMMON STOCK 8,392 185,00122.05CONSUMER STAPLES CA

SARTORIUS AG-VORZUG 0.015843329 PREFERENCE 208 142,218683.24HEALTH CARE DE

SARTORIUS STEDIM BIOTECH 0.02BYZ2QP5 COMMON STOCK 716 420,067586.89HEALTH CARE FR

SASOL LTD 0.006777450 COMMON STOCK 3,231 53,50816.56MATERIALS ZA

SASOL LTD 0.006777450 COMMON STOCK 574 9,51116.56MATERIALS ZA

SAUDI ARABIAN OIL CO 0.02BJTM270 COMMON STOCK 44,243 408,6329.24ENERGY SA


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

63

SAUDI CEMENT 0.00B132HD1 COMMON STOCK 1,097 16,25814.82MATERIALS SA

SAUDI ELECTRICITY CO 0.01B132NM2 COMMON STOCK 44,058 277,1566.29UTILITIES SA

SAUDI IND INVESTMENT GROUP 0.01B132Y63 COMMON STOCK 18,526 149,3768.06MATERIALS SA

SAUDI KAYAN PETROCHEMICAL CO 0.00B1Z8F66 COMMON STOCK 13,872 61,6764.45MATERIALS SA

SAUDI TELECOM CO 0.02B12M7Q5 COMMON STOCK 16,336 483,34229.59COMMUNICATION SERVICES SA

SAUDI TELECOM CO 0.00B12M7Q5 COMMON STOCK 42 1,24029.59COMMUNICATION SERVICES SA

SAUL CENTERS INC 0.01804395101 REAL ESTATE INVESTMENT TRUST 3,013 148,32749.23REAL ESTATE US

SAVOLA 0.00B133RS9 COMMON STOCK 8,424 70,0628.32CONSUMER STAPLES SA

SBA COMMUNICATIONS CORP 0.0178410G104 REAL ESTATE INVESTMENT TRUST 294 100,924343.80REAL ESTATE US

SBERBANK OF RUSSIA PJSC 0.004767981 COMMON STOCK 9,882 42,3244.28FINANCIALS RU

SBERBANK PJSC -SPONSORED ADR 0.00B5SC091 AMERICAN DEPOSITORY RECEIPT 1,780 30,10216.91FINANCIALS RU

SBI HOLDINGS INC 0.006309466 COMMON STOCK 3,013 77,58325.75FINANCIALS JP

SCENTRE GROUP 0.01BLZH0Z7 REAL ESTATE INVESTMENT TRUST 62,774 137,5372.19REAL ESTATE AU

SCHINDLER HOLDING AG-REG 0.01B11WWH2 COMMON STOCK 582 144,010247.24INDUSTRIALS CH

SCHOLASTIC CORP 0.03807066105 COMMON STOCK 14,377 541,15637.64COMMUNICATION SERVICES US

SCHWAB (CHARLES) CORP 0.01808513105 COMMON STOCK 1,739 134,54677.39FINANCIALS US

SCHWEITZER-MAUDUIT INTL INC 0.01808541106 COMMON STOCK 6,360 182,52228.70MATERIALS US

SCOR SE 0.00B1LB9P6 COMMON STOCK 2,075 64,91131.28FINANCIALS FR

SCOUT24 SE 0.01BYT9340 COMMON STOCK 2,366 156,08665.96COMMUNICATION SERVICES DE

SDIC POWER HOLDINGS CO LTD-A 0.01BP3R433 COMMON STOCK 151,526 236,6421.56UTILITIES CN

SDIC POWER HOLDINGS CO LTD-A 0.00BP3R433 COMMON STOCK 6,511 10,1681.56UTILITIES CN

SEA LTD-ADR 0.0381141R100 AMERICAN DEPOSITORY RECEIPT 2,221 639,860288.07COMMUNICATION SERVICES SG

SEAGATE TECHNOLOGY HOLDINGS 0.01G7997R103

COMMON STOCK 1,841 188,979102.67INFORMATION TECHNOLOGY US

SEALED AIR CORP 0.0581211K100 COMMON STOCK 17,300 1,074,65762.12MATERIALS US

SEAZEN GROUP LTD 0.00BMWYQP0 COMMON STOCK 12,486 9,0170.72REAL ESTATE CN

SECOM CO LTD 0.006791591 COMMON STOCK 1,461 98,59467.50INDUSTRIALS JP

SEEGENE INC 0.00B679Q36 COMMON STOCK 980 62,46163.73HEALTH CARE KR

SEEK LTD 0.01B0767Y3 COMMON STOCK 4,600 113,51424.68COMMUNICATION SERVICES AU

SEIKO EPSON CORP 0.006616508 COMMON STOCK 3,287 52,97016.12INFORMATION TECHNOLOGY JP

SELECTIVE INSURANCE GROUP 0.00816300107 COMMON STOCK 769 58,07375.54FINANCIALS US

SEMEN INDONESIA PERSERO TBK 0.006795236 COMMON STOCK 27,291 15,2440.56MATERIALS ID

SEMPRA ENERGY 0.02816851109 COMMON STOCK 3,502 419,748119.87UTILITIES US

SENSIENT TECHNOLOGIES CORP 0.0281725T100 COMMON STOCK 4,098 398,73897.29MATERIALS US

SEVEN & I HOLDINGS CO LTD 0.01B0FS5D6 COMMON STOCK 4,660 186,88840.11CONSUMER STAPLES JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

64

SEVERN TRENT PLC 0.02B1FH8J7 COMMON STOCK 8,982 342,93538.18UTILITIES GB

SEVERSTAL - GDR REG S 0.00B1G4YH7 GLOBAL DEPOSITORY RECEIPTS 1,405 29,49821.00MATERIALS RU

SEVERSTAL PJSC 0.00B5B9C59 COMMON STOCK 190 4,02721.20MATERIALS RU

SFL CORP LTD 0.00G7738W106

COMMON STOCK 3,377 28,1628.34ENERGY NO

SG HOLDINGS CO LTD 0.00BFFY885 COMMON STOCK 3,104 68,61722.11INDUSTRIALS JP

SG MICRO CORP-A 0.00BHQPSR0 COMMON STOCK 803 43,21353.84INFORMATION TECHNOLOGY CN

SHAANXI COAL INDUSTRY CO L-A 0.02BS7K5P8 COMMON STOCK 202,938 378,4091.86ENERGY CN

SHANDONG BUCHANG PHARMACEU-A 0.00BYW5NC3 COMMON STOCK 5,241 15,4092.94HEALTH CARE CN

SHANDONG LINGLONG TYRE CO -A 0.00BYW5N12 COMMON STOCK 7,135 43,1156.04CONSUMER DISCRETIONARY CN

SHANDONG PHARMACEUTICAL - A 0.00CNE000001BG9


SHANDONG WEIGAO GP MEDICAL-H 0.006742340 COMMON STOCK 21,404 30,2571.41HEALTH CARE CN

SHANGHAI CONSTRUCTION GROU-A 0.00BP3R6J3 COMMON STOCK 19,532 9,5030.49INDUSTRIALS CN

SHANGHAI FOSUN PHARMACEUTI-A 0.01BP3R3M5 COMMON STOCK 26,131 229,6848.79HEALTH CARE CN

SHANGHAI JAHWA UNITED CO -A 0.00BP3R5H4 COMMON STOCK 13,199 86,7446.57CONSUMER STAPLES CN

SHANGHAI LUJIAZUI FIN&TRAD-B 0.006798666 COMMON STOCK 6,182 5,6010.91REAL ESTATE CN

SHANGHAI PHARMACEUTICALS-A 0.00BP3R4Z5 COMMON STOCK 25,418 73,4072.89HEALTH CARE CN

SHANGHAI PHARMACEUTICALS-H 0.02B4Q4CJ6 COMMON STOCK 199,329 363,5861.82HEALTH CARE CN

SHANGHAI PHARMACEUTICALS-H 0.00B4Q4CJ6 COMMON STOCK 2,230 4,0671.82HEALTH CARE CN

SHANGHAI PUDONG DEVEL BANK-A 0.00BP3R2B7 COMMON STOCK 17,659 23,5871.34FINANCIALS CN

SHANGHAI PUTAILAI NEW ENER-A 0.00BF2DZJ5 COMMON STOCK 1,439 41,09428.57MATERIALS CN

SHANGHAI RAAS BLOOD PRODUC-A 0.00BD5CPJ5 COMMON STOCK 17,837 18,3381.03HEALTH CARE CN

SHANXI COKING COAL ENERGY-A 0.00BD5CKB2 COMMON STOCK 49,739 62,2991.25ENERGY CN

SHANXI LU'AN ENVIRONMENTAL-A 0.00BP3R682 COMMON STOCK 33,736 57,1881.70ENERGY CN

SHANXI MEIJIN ENERGY CO LT-A 0.01BFCCPV4 COMMON STOCK 57,923 122,7352.12MATERIALS CN

SHANXI TAIGANG STAINLESS-A 0.00BD5CLM0 COMMON STOCK 26,725 30,0761.13MATERIALS CN

SHANXI XINGHUACUN FEN WINE-A 0.02BP3R820 COMMON STOCK 7,099 345,44548.66CONSUMER STAPLES CN

SHANXI XINGHUACUN FEN WINE-A 0.00BP3R820 COMMON STOCK 125 6,07648.66CONSUMER STAPLES CN

SHARP CORP 0.006800602 COMMON STOCK 4,747 53,09911.18CONSUMER DISCRETIONARY JP

SHELL INTERNATIONAL FINANCE BV 0.01822582BD3 CORPORATE BOND 250,000 266,390106.56US

SHENANDOAH TELECOMMUNICATION 0.0482312B106 COMMON STOCK 33,144 841,53725.39COMMUNICATION SERVICES US

SHENERGY COMPANY LIMITED-A 0.01BP3R5V8 COMMON STOCK 251,208 242,8830.97UTILITIES CN

SHENERGY COMPANY LIMITED-A 0.00BP3R5V8 COMMON STOCK 13,589 13,1390.97UTILITIES CN

SHENZHEN ENERGY GROUP CO L-A 0.01BD5CN68 COMMON STOCK 93,025 117,8301.27UTILITIES CN

SHENZHEN GOODIX TECHNOLOGY-A 0.00BYW5QT1 COMMON STOCK 1,249 21,56317.27INFORMATION TECHNOLOGY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

65

SHENZHEN INOVANCE TECHNOLO-A 0.00BD5CMN8 COMMON STOCK 134 1,37710.30INDUSTRIALS CN

SHENZHEN INTL HOLDINGS 0.00BJVBTY1 COMMON STOCK 70,902 77,3071.09INDUSTRIALS HK

SHENZHEN KAIFA TECHNOLOGY-A 0.00BD5CDW4 COMMON STOCK 24,704 59,9082.42INFORMATION TECHNOLOGY CN

SHENZHEN KANGTAI BIOLOGICA-A 0.00BFY8HT2 COMMON STOCK 981 17,69618.04HEALTH CARE CN

SHENZHEN MINDRAY BIO-MEDIC-A 0.00BHQK864 COMMON STOCK 250 14,04956.26HEALTH CARE CN

SHENZHEN MTC CO LTD -A 0.00BD5CFV7 COMMON STOCK 68,048 52,5490.77CONSUMER DISCRETIONARY CN

SHENZHEN SALUBRIS PHARM-A 0.00BD5CM05 COMMON STOCK 19,621 87,0304.44HEALTH CARE CN

SHENZHOU INTERNATIONAL GROUP 0.00B0MP1B0 COMMON STOCK 560 10,56118.86CONSUMER DISCRETIONARY CN

SHENZHOU INTERNATIONAL GROUP 0.00B0MP1B0 COMMON STOCK 745 14,04218.86CONSUMER DISCRETIONARY CN

SHERWIN-WILLIAMS CO/THE 0.02824348106 COMMON STOCK 1,305 432,132331.24MATERIALS US

SHIJIAZHUANG YILING PHARMA-A 0.00BD5CHJ9 COMMON STOCK 19,853 53,4402.69HEALTH CARE CN

SHIMADZU CORP 0.006804369 COMMON STOCK 1,369 58,01142.36INFORMATION TECHNOLOGY JP

SHIMANO INC 0.016804820 COMMON STOCK 730 201,974276.54CONSUMER DISCRETIONARY JP

SHIN KONG FINANCIAL HOLDING 0.006452586 COMMON STOCK 67,412 25,5780.38FINANCIALS TW

SHIN POONG PHARMACEUTICAL CO 0.006806116 COMMON STOCK 739 20,47727.70HEALTH CARE KR

SHINHAN FINANCIAL GROUP LTD 0.006397502 COMMON STOCK 1,351 39,41229.17FINANCIALS KR

SHINSEGAE INC 0.006805049 COMMON STOCK 92 16,819183.10CONSUMER DISCRETIONARY KR

SHIONOGI & CO LTD 0.016804682 COMMON STOCK 2,556 178,37169.78HEALTH CARE JP

SHISEIDO CO LTD 0.016805265 COMMON STOCK 1,869 107,03157.27CONSUMER STAPLES JP

SHIZUOKA BANK LTD/THE 0.006805328 COMMON STOCK 10,524 74,1457.05FINANCIALS JP

SHOPIFY INC - CLASS A 0.0182509L107 COMMON STOCK 88 132,6141,513.12INFORMATION TECHNOLOGY CA

SHOPRITE HOLDINGS LTD 0.006801575 COMMON STOCK 3,932 48,38312.30CONSUMER STAPLES ZA

SHREE CEMENT LTD 0.006100357 COMMON STOCK 141 48,942347.32MATERIALS IN

SHRIRAM TRANSPORT FINANCE 0.006802608 COMMON STOCK 232 4,34018.72FINANCIALS IN

SIAM CEMENT PUB CO-FOR REG 0.006609906 COMMON STOCK 5,975 65,96511.04MATERIALS TH

SIAM CEMENT PUB CO-FOR REG 0.006609906 COMMON STOCK 1,249 13,78411.04MATERIALS TH

SIBANYE STILLWATER LTD 0.00BL0L913 COMMON STOCK 5,654 17,7993.15MATERIALS ZA

SIBANYE-STILLWATER LTD-ADR 0.0082575P107 AMERICAN DEPOSITORY RECEIPT 5,073 63,10612.44MATERIALS ZA

SIBANYE-STILLWATER LTD-ADR 0.0082575P107 AMERICAN DEPOSITORY RECEIPT 639 7,95512.44MATERIALS ZA

SICHUAN CHUANTOU ENERGY CO-A 0.01BP3R4Y4 COMMON STOCK 110,599 198,2431.79UTILITIES CN

SICHUAN CHUANTOU ENERGY CO-A 0.00BP3R4Y4 COMMON STOCK 5,423 9,7211.79UTILITIES CN

SICHUAN KELUN PHARMACEUTIC-A 0.00BD5CL08 COMMON STOCK 12,843 38,2992.98HEALTH CARE CN

SICHUAN SWELLFUN CO LTD-A 0.01BFB4JK8 COMMON STOCK 6,332 129,51320.45CONSUMER STAPLES CN

SIEMENS AG-REG 0.015727973 COMMON STOCK 727 115,565159.03INDUSTRIALS DE


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

66

SIEMENS GAMESA RENEWABLE ENE 0.00B01CP21 COMMON STOCK 2,549 67,51026.49INDUSTRIALS ES

SIEMENS HEALTHINEERS AG 0.01BD594Y4 COMMON STOCK 3,623 262,27072.40HEALTH CARE DE

SIEMENS LTD 0.00B15T569 COMMON STOCK 1,306 37,38628.63INDUSTRIALS IN

SIKA AG-REG 0.01BF2DSG3 COMMON STOCK 481 187,531389.78MATERIALS CH

SILERGY CORP 0.00BH4DMW9 COMMON STOCK 103 17,300168.68INFORMATION TECHNOLOGY CN

SILERGY CORP 0.00BH4DMW9 COMMON STOCK 60 10,079168.68INFORMATION TECHNOLOGY CN

SILVER FUTURE (CMX) MAR 2022 1.54SIMAR2022

SILVER FUTURE (CMX) 266 30,343,95022.82US

SIME DARBY BERHAD 0.00B29TTR1 COMMON STOCK 105,060 54,6320.52INDUSTRIALS MY

SIME DARBY BERHAD 0.00B29TTR1 COMMON STOCK 5,173 2,6900.52INDUSTRIALS MY

SIME DARBY PLANTATION BHD 0.00BF6RHY2 COMMON STOCK 33,088 28,9120.87CONSUMER STAPLES MY

SINGAPORE EXCHANGE LTD 0.006303866 COMMON STOCK 4,565 29,7296.51FINANCIALS SG

SINGAPORE TELECOMMUNICATIONS 0.07B02PY11 COMMON STOCK 844,383 1,453,3381.72COMMUNICATION SERVICES SG

SINO BIOPHARMACEUTICAL 0.00B00XSF9 COMMON STOCK 63,456 46,3150.73HEALTH CARE HK

SINOPAC FINANCIAL HOLDINGS 0.006525875 COMMON STOCK 45,115 24,8260.55FINANCIALS TW

SINOPAC FINANCIAL HOLDINGS 0.006525875 COMMON STOCK 4,876 2,6830.55FINANCIALS TW

SINOPEC SHANGHAI PETROCHE-A 0.00BP3R596 COMMON STOCK 39,867 28,7840.72MATERIALS CN

SINOPHARM GROUP CO-H 0.01B3ZVDV0 COMMON STOCK 110,834 240,8372.17HEALTH CARE CN

SINOTRANS LIMITED-A 0.00BHHLN72 COMMON STOCK 15,661 10,8160.69INDUSTRIALS CN

SINOTRUK HONG KONG LTD 0.00B296ZH4 COMMON STOCK 446 6611.48INDUSTRIALS CN

SJM HOLDINGS LTD 0.00B2NR3Y6 COMMON STOCK 108,640 77,3430.71CONSUMER DISCRETIONARY HK

SK BIOPHARMACEUTICALS CO LTD 0.00BLF9YV7 COMMON STOCK 843 67,61480.23HEALTH CARE KR

SK BIOSCIENCE CO LTD 0.00BMG75K3 COMMON STOCK 227 53,491236.13HEALTH CARE KR

SK CHEMICALS CO LTD/NEW 0.00BF2RZ42 COMMON STOCK 148 17,324117.01MATERIALS KR

SK HYNIX INC 0.016450267 COMMON STOCK 1,262 121,10995.97INFORMATION TECHNOLOGY KR

SK HYNIX INC 0.006450267 COMMON STOCK 482 46,21895.97INFORMATION TECHNOLOGY KR

SK INC 0.00B39Z8L3 COMMON STOCK 71 15,586218.45INDUSTRIALS KR

SK INNOVATION CO LTD 0.00B232R05 COMMON STOCK 77 12,558163.73ENERGY KR

SK SQUARE CO LTD 0.01BMG3GS6 COMMON STOCK 2,362 135,18957.24INFORMATION TECHNOLOGY KR

SK SQUARE CO LTD 0.00BMG3GS6 COMMON STOCK 135 7,70957.24INFORMATION TECHNOLOGY KR

SK TELECOM 0.016224871 COMMON STOCK 3,654 167,63945.88COMMUNICATION SERVICES KR

SK TELECOM 0.006224871 COMMON STOCK 208 9,53445.88COMMUNICATION SERVICES KR

SKANDINAVISKA ENSKILDA BAN-A 0.014813345 COMMON STOCK 8,520 123,64414.51FINANCIALS SE

SKYWORKS SOLUTIONS INC 0.0383088M102 COMMON STOCK 3,394 514,752151.66INFORMATION TECHNOLOGY US

SM INVESTMENTS CORP 0.01B068DB9 COMMON STOCK 5,698 110,82819.45INDUSTRIALS PH


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

67

SMITH & NEPHEW PLC 0.010922320 COMMON STOCK 11,362 183,00916.11HEALTH CARE GB

SMITH (A.O.) CORP 0.02831865209 COMMON STOCK 5,397 426,63679.05INDUSTRIALS US

SMITHS GROUP PLC 0.00B1WY233 COMMON STOCK 2,952 56,30919.08INDUSTRIALS GB

SMOORE INTERNATIONAL HOLDING 0.00BKWGSQ7 COMMON STOCK 5,351 31,9875.98CONSUMER STAPLES CN

SMURFIT KAPPA GROUP PLC 0.01B1RR828 COMMON STOCK 4,257 215,72650.67MATERIALS IE

SNAM SPA 0.007251470 COMMON STOCK 12,579 70,4305.60UTILITIES IT

SNAP-ON INC 0.02833034101 COMMON STOCK 1,575 324,381205.91INDUSTRIALS US

SODEXO SA 0.017062713 COMMON STOCK 1,538 128,20383.34CONSUMER DISCRETIONARY FR

SOFINA 0.014820301 COMMON STOCK 327 150,392460.15FINANCIALS BE

SOFTBANK CORP 0.01BF5M0K5 COMMON STOCK 20,906 287,69513.76COMMUNICATION SERVICES JP

SOFTBANK GROUP CORP 0.006770620 COMMON STOCK 1,258 66,81053.11COMMUNICATION SERVICES JP

SOHGO SECURITY SERVICES CO 0.016546359 COMMON STOCK 3,926 167,33642.63INDUSTRIALS JP

SOLVAY SA 0.014821100 COMMON STOCK 1,758 195,782111.34MATERIALS BE

SOMPO HOLDINGS INC 0.00B62G7K6 COMMON STOCK 1,917 78,92041.16FINANCIALS JP

SONIC HEALTHCARE LTD 0.016821120 COMMON STOCK 7,350 222,53730.28HEALTH CARE AU

SONOVA HOLDING AG-REG 0.017156036 COMMON STOCK 777 290,903374.43HEALTH CARE CH

SONY GROUP CORP 0.016821506 COMMON STOCK 1,004 122,274121.76CONSUMER DISCRETIONARY JP

SOUTHERN CALIFORNIA GAS CO 0.02842434CK6 CORPORATE BOND 375,000 424,861113.30US

SOUTHERN CO/THE 0.03842587107 COMMON STOCK 8,468 517,42161.10UTILITIES US

SOUTHERN COPPER CORP 0.0184265V105 COMMON STOCK 1,860 108,78258.50MATERIALS PE

SOUTHERN COPPER CORP 0.0084265V105 COMMON STOCK 66 3,86158.50MATERIALS PE

SOUTHSIDE BANCSHARES INC 0.0084470P109 COMMON STOCK 1,633 66,53540.75FINANCIALS US

SOUTHWEST AIRLINES CO 0.01844741108 COMMON STOCK 3,802 168,79244.40INDUSTRIALS US

SOYBEAN FUTURE JAN 2022 0.54S-JAN2022 SOYBEAN FUTURE 175 10,650,9381,217.25US

SOYBEAN FUTURE MAR 2022 0.06S-MAR2022

SOYBEAN FUTURE 19 1,165,1751,226.50US

SOYBEAN MEAL (CBT) JAN 2022 0.64SMJAN2022

SOYBEAN MEAL (CBT) 367 12,544,060341.80US

SOYBEAN MEAL (CBT) MAR 2022 0.01SMMAR2022

SOYBEAN MEAL (CBT) 8 272,880341.10US

SOYBEAN OIL FUTURE JAN 2022 0.42BOJAN2022

SOYBEAN OIL FUTURE 251 8,314,62655.21US

SOYBEAN OIL FUTURE MAR 2022 0.05BOMAR2022

SOYBEAN OIL FUTURE 28 929,37655.32US

SPAR GROUP LIMITED/THE 0.00B038WK4 COMMON STOCK 3,232 32,79710.15CONSUMER STAPLES ZA

SPARK NEW ZEALAND LTD 0.016881436 COMMON STOCK 35,776 111,6923.12COMMUNICATION SERVICES NZ

SPI 200 INDEX FUTURE DEC 2021 1.10YAPDEC2021

SPI 200 INDEX FUTURE 169 21,662,2885,127.17AU

SPS COMMERCE INC 0.0078463M107 COMMON STOCK 431 60,766140.99INFORMATION TECHNOLOGY US

SQUARE ENIX HOLDINGS CO LTD 0.016309262 COMMON STOCK 3,104 162,11052.23COMMUNICATION SERVICES JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

68

SRI TRANG GLOVES THA-FOREIGN 0.02BMGJNP0 COMMON STOCK 478,747 426,2160.89HEALTH CARE TH

SRISAWADCORP PCL - FOREIGN 0.00BF0F5S2 COMMON STOCK 12,486 22,2321.78FINANCIALS TH

SSE PLC 0.010790873 COMMON STOCK 11,533 236,81420.53UTILITIES GB

SSY GROUP LTD 0.00BYP9J68 COMMON STOCK 48,160 24,0930.50HEALTH CARE HK

STANDARD BANK GROUP LTD 0.00B030GJ7 COMMON STOCK 1,137 9,2008.09FINANCIALS ZA

STANDARD CHARTERED PLC 0.000408284 COMMON STOCK 5,211 28,6945.51FINANCIALS GB

STANDARD MOTOR PRODS 0.03853666105 COMMON STOCK 13,119 656,48750.04CONSUMER DISCRETIONARY US

STANLEY BLACK & DECKER INC 0.02854502101 COMMON STOCK 2,037 355,925174.76INDUSTRIALS US

STANLEY ELECTRIC CO LTD 0.006841106 COMMON STOCK 3,195 83,07326.00CONSUMER DISCRETIONARY JP

STARBUCKS CORP 0.01855244109 COMMON STOCK 2,100 230,195109.64CONSUMER DISCRETIONARY US

STARPOWER SEMICONDUCTOR LT-A 0.00BL58R37 COMMON STOCK 892 67,19275.34INFORMATION TECHNOLOGY CN

STATE STREET CORP 0.00857477103 COMMON STOCK 856 76,16388.97FINANCIALS US

STATOIL ASA COMPANY GUARNT 0.0585771PAG7


STELLANTIS NV 0.00BMD8KX7 COMMON STOCK 5,137 87,54617.04CONSUMER DISCRETIONARY NL

STEPAN CO 0.01858586100 COMMON STOCK 1,192 134,322112.71MATERIALS US

STMICROELECTRONICS NV 0.015962332 COMMON STOCK 2,851 138,39948.54INFORMATION TECHNOLOGY CH

STRAUMANN HOLDING AG-REG 0.017156832 COMMON STOCK 132 279,9462,114.76HEALTH CARE CH

STRYKER CORP 0.01863667101 COMMON STOCK 1,131 267,717236.63HEALTH CARE US

SUBARU CORP 0.016356406 COMMON STOCK 5,478 103,35918.87CONSUMER DISCRETIONARY JP

SUEZ 0.01B3B8D04 COMMON STOCK 11,426 253,80422.21UTILITIES FR

SUGAR #11 WORLD FUTURE (NYB) MAR 2022 0.70SBMAR2022

SUGAR #11 WORLD FUTURE (NYB) 660 13,749,12018.60US

SUMITOMO DAINIPPON PHARMA CO 0.006250865 COMMON STOCK 6,047 73,60512.17HEALTH CARE JP

SUMITOMO METAL MINING CO LTD 0.016858849 COMMON STOCK 3,013 112,31537.28MATERIALS JP

SUMITOMO REALTY & DEVELOPMEN 0.006858902 COMMON STOCK 2,648 82,51931.17REAL ESTATE JP

SUN HUNG KAI PROPERTIES 0.006859927 COMMON STOCK 6,391 77,71212.16REAL ESTATE HK

SUN LIFE FINANCIAL INC 0.00866796105 COMMON STOCK 1,662 87,90652.88FINANCIALS CA

SUN PHARMACEUTICAL INDUS 0.006582483 COMMON STOCK 3,457 34,66410.03HEALTH CARE IN

SUNNY OPTICAL TECH 0.01B1YBT08 COMMON STOCK 4,907 148,42130.25INFORMATION TECHNOLOGY CN

SUNNY OPTICAL TECH 0.00B1YBT08 COMMON STOCK 662 20,01630.25INFORMATION TECHNOLOGY CN

SUNTORY BEVERAGE & FOOD LTD 0.01BBD7Q84 COMMON STOCK 4,747 167,44935.27CONSUMER STAPLES JP

SUOFEIYA HOME COLLECTION C-A 0.00BD5CFM8 COMMON STOCK 12,334 32,7182.65CONSUMER DISCRETIONARY CN

SUPERMAX CORP BHD 0.00B1V7L36 COMMON STOCK 113,636 50,7270.45HEALTH CARE MY

SUZANO SA 0.00B02GKC7 COMMON STOCK 1,962 19,5079.94MATERIALS BR

SUZUKI MOTOR CORP 0.006865504 COMMON STOCK 1,278 51,61140.38CONSUMER DISCRETIONARY JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

69

SVB FINANCIAL GROUP 0.0278486Q101 COMMON STOCK 512 354,718692.33FINANCIALS US

SVENSK EXPORTKREDIT AB 0.0700254EMQ2

CORPORATE BOND 1,250,000 1,295,994103.06SE

SVENSK EXPORTKREDIT AB 0.0200254EMP4

CORPORATE BOND 375,000 379,572101.22SE

SVENSKA CELLULOSA AB SCA-B 0.01B1VVGZ5 COMMON STOCK 6,152 99,96616.25MATERIALS SE

SVENSKA HANDELSBANKEN-A SHS 0.00BXDZ9Q1 COMMON STOCK 8,848 93,44910.56FINANCIALS SE

SWATCH GROUP AG/THE-BR 0.017184725 COMMON STOCK 547 160,381293.28CONSUMER DISCRETIONARY CH

SWEDBANK AB - A SHARES 0.014846523 COMMON STOCK 5,213 104,74420.09FINANCIALS SE

SWEDISH MATCH AB 0.01BP09MR2 COMMON STOCK 19,409 140,8637.26CONSUMER STAPLES SE

SWIRE PROPERTIES LTD 0.00B67C2G0 COMMON STOCK 18,259 43,3762.38REAL ESTATE HK

SWISS LIFE HOLDING AG-REG 0.017437805 COMMON STOCK 319 182,412572.51FINANCIALS CH

SWISS PRIME SITE-REG 0.01B083BH4 COMMON STOCK 1,324 124,73894.23REAL ESTATE CH

SWISS RE AG 0.00B545MG5 COMMON STOCK 870 81,26993.41FINANCIALS CH

SWISSCOM AG-REG 0.115533976 COMMON STOCK 3,855 2,126,410551.55COMMUNICATION SERVICES CH

SYDNEY AIRPORT 0.01B70DWB2 STAPLED SECURITY 28,846 169,7655.89INDUSTRIALS AU

SYMRISE AG 0.01B1JB4K8 COMMON STOCK 1,851 259,331140.14MATERIALS DE

SYNCHRONY FINANCIAL 0.0187165B103 COMMON STOCK 4,595 205,80044.79FINANCIALS US

SYNNEX TECHNOLOGY INTL CORP 0.006868439 COMMON STOCK 45,039 94,5982.10INFORMATION TECHNOLOGY TW

SYNNEX TECHNOLOGY INTL CORP 0.006868439 COMMON STOCK 5,813 12,2102.10INFORMATION TECHNOLOGY TW

SYNOPSYS INC 0.01871607107 COMMON STOCK 510 173,780341.00INFORMATION TECHNOLOGY US

SYSMEX CORP 0.016883807 COMMON STOCK 1,892 235,901124.71HEALTH CARE JP

T ROWE PRICE GROUP INC 0.0274144T108 COMMON STOCK 2,113 422,541199.95FINANCIALS US

T&D HOLDINGS INC 0.006744294 COMMON STOCK 5,295 62,58311.82FINANCIALS JP

T-MOBILE US INC 0.02872590104 COMMON STOCK 3,942 428,932108.81COMMUNICATION SERVICES US

TAISHIN FINANCIAL HOLDING 0.006451680 COMMON STOCK 61,536 41,1650.67FINANCIALS TW

TAISHO PHARMACEUTICAL HOLDIN 0.01B3QX5G4 COMMON STOCK 3,104 152,54249.14HEALTH CARE JP

TAIWAN CEMENT 0.006869937 COMMON STOCK 806 1,3341.65MATERIALS TW

TAIWAN COOPERATIVE FINANCIAL 0.00B73XCZ3 COMMON STOCK 34,552 29,5140.85FINANCIALS TW

TAIWAN COOPERATIVE FINANCIAL 0.00B73XCZ3 COMMON STOCK 3,173 2,7100.85FINANCIALS TW

TAIWAN HIGH SPEED RAIL CORP 0.00B04BGQ6 COMMON STOCK 68,673 73,2311.07INDUSTRIALS TW

TAIWAN MOBILE CO LTD 0.046290496 COMMON STOCK 219,396 765,3953.49COMMUNICATION SERVICES TW

TAIWAN SEMICONDUCTOR-SP ADR 0.00874039100 AMERICAN DEPOSITORY RECEIPT 570 66,763117.15INFORMATION TECHNOLOGY TW

TAIWAN SEMICONDUCTOR-SP ADR 0.01874039100 AMERICAN DEPOSITORY RECEIPT 1,222 143,139117.15INFORMATION TECHNOLOGY TW

TAKE-TWO INTERACTIVE SOFTWRE 0.02874054109 COMMON STOCK 2,511 416,478165.88COMMUNICATION SERVICES US

TAKEDA PHARMACEUTICAL CO LTD 0.016870445 COMMON STOCK 3,898 104,06226.69HEALTH CARE JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

70

TAL EDUCATION GROUP- ADR 0.00874080104 AMERICAN DEPOSITORY RECEIPT 2,714 14,0585.18CONSUMER DISCRETIONARY CN

TAPESTRY INC 0.01876030107 COMMON STOCK 6,064 243,30340.12CONSUMER DISCRETIONARY US

TARGET CORP 0.0287612E106 COMMON STOCK 1,958 477,500243.84CONSUMER DISCRETIONARY US

TATA CONSULTANCY SVCS LTD 0.00B01NPJ1 COMMON STOCK 1,820 85,48046.96INFORMATION TECHNOLOGY IN

TATA MOTORS LTD-SPON ADR 0.00876568502 AMERICAN DEPOSITORY RECEIPT 1,001 30,56030.54CONSUMER DISCRETIONARY IN

TATA STEEL LTD 0.006101156 COMMON STOCK 841 11,98814.25MATERIALS IN

TATA STEEL LTD 0.006101156 COMMON STOCK 634 9,03814.25MATERIALS IN

TCS GROUP HOLDING-GDR REG S 0.00BK1K310 GLOBAL DEPOSITORY RECEIPTS 425 41,35097.40FINANCIALS CY

TCS GROUP HOLDING-GDR REG S 0.00BK1K310 GLOBAL DEPOSITORY RECEIPTS 120 11,64197.40FINANCIALS CY

TDK CORP 0.006869302 COMMON STOCK 1,660 65,77839.63INFORMATION TECHNOLOGY JP

TE CONNECTIVITY LTD 0.01H84989104 COMMON STOCK 1,508 232,109153.93INFORMATION TECHNOLOGY CH

TEAMVIEWER AG 0.00BJ7WGS1 COMMON STOCK 3,067 41,38713.50INFORMATION TECHNOLOGY DE

TECH MAHINDRA LTD 0.01BWFGD63 COMMON STOCK 10,964 224,87320.51INFORMATION TECHNOLOGY IN

TECH MAHINDRA LTD 0.00BWFGD63 COMMON STOCK 483 9,91520.51INFORMATION TECHNOLOGY IN

TECHTARGET 0.0087874R100 COMMON STOCK 457 44,16596.63COMMUNICATION SERVICES US

TECHTRONIC INDUSTRIES CO LTD 0.01B0190C7 COMMON STOCK 5,934 122,47620.64INDUSTRIALS HK

TECK RESOURCES LTD-CLS B 0.00878742204 COMMON STOCK 3,720 98,25526.41MATERIALS CA

TEGNA INC 0.0387901J105 COMMON STOCK 33,863 668,79619.75COMMUNICATION SERVICES US

TELE2 AB-B SHS 0.01B97C733 COMMON STOCK 19,012 270,47314.23COMMUNICATION SERVICES SE

TELECOM ITALIA SPA 0.007634394 COMMON STOCK 131,901 68,2950.52COMMUNICATION SERVICES IT

TELEDYNE TECHNOLOGIES INC 0.01879360105 COMMON STOCK 511 212,397415.29INFORMATION TECHNOLOGY US

TELEFONICA BRASIL S.A. 0.01B6XFBX3 COMMON STOCK 12,040 107,1928.90COMMUNICATION SERVICES BR

TELEFONICA DEUTSCHLAND HOLDI 0.01B7VG6L8 COMMON STOCK 64,857 172,1432.65COMMUNICATION SERVICES DE

TELEFONICA SA 0.005732524 COMMON STOCK 7,103 31,9514.50COMMUNICATION SERVICES ES

TELEKOM MALAYSIA BHD 0.006868398 COMMON STOCK 57,014 75,2691.32COMMUNICATION SERVICES MY

TELENOR ASA 0.004732495 COMMON STOCK 4,722 69,36514.69COMMUNICATION SERVICES NO

TELIA CO AB 0.015978384 COMMON STOCK 60,682 233,4403.85COMMUNICATION SERVICES SE

TELKOM INDONESIA PERSERO-ADR 0.00715684106 AMERICAN DEPOSITORY RECEIPT 1,235 34,67328.07COMMUNICATION SERVICES ID

TELSTRA CORP LTD 0.016087289 COMMON STOCK 92,561 267,1162.89COMMUNICATION SERVICES AU

TELUS CORP 0.0187971M103 COMMON STOCK 8,865 201,78522.76COMMUNICATION SERVICES CA

TEMENOS AG - REG 0.017147892 COMMON STOCK 1,051 133,820127.35INFORMATION TECHNOLOGY CH

TENAGA NASIONAL BHD 0.016904612 COMMON STOCK 49,676 108,9892.19UTILITIES MY

TENARIS SA 0.007538515 COMMON STOCK 7,920 77,2189.75ENERGY LU

TENCENT HOLDINGS LTD 0.00BMMV2K8 COMMON STOCK 624 36,78958.93COMMUNICATION SERVICES CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

71

TENCENT MUSIC ENTERTAINM-ADR 0.0088034P109 AMERICAN DEPOSITORY RECEIPT 4,368 31,4087.19COMMUNICATION SERVICES CN

TERADYNE INC 0.03880770102 COMMON STOCK 4,255 650,420152.87INFORMATION TECHNOLOGY US

TERNA-RETE ELETTRICA NAZIONA 0.00B01BN57 COMMON STOCK 13,264 98,1817.40UTILITIES IT

TERRENO REALTY CORP 0.0188146M101 REAL ESTATE INVESTMENT TRUST 2,054 156,39276.15REAL ESTATE US

TERUMO CORP 0.016885074 COMMON STOCK 4,930 200,93940.76HEALTH CARE JP

TESCO PLC 0.01BLGZ986 COMMON STOCK 36,427 133,3773.66CONSUMER STAPLES GB

TETRA TECH INC 0.0188162G103 COMMON STOCK 1,379 254,707184.68INDUSTRIALS US

TEVA PHARMACEUTICAL-SP ADR 0.01881624209 AMERICAN DEPOSITORY RECEIPT 27,020 222,9198.25HEALTH CARE IL

TEXAS INSTRUMENTS INC 0.03882508104 COMMON STOCK 3,299 634,687192.37INFORMATION TECHNOLOGY US

THAI OIL PCL-FOREIGN 0.00B0305J0 COMMON STOCK 14,270 19,6911.38ENERGY TH

THAI UNION GROUP PCL-F 0.01BYTBHT9 COMMON STOCK 199,686 116,7390.58CONSUMER STAPLES TH

THAI UNION GROUP PCL-F 0.00BYTBHT9 COMMON STOCK 4,192 2,4510.58CONSUMER STAPLES TH

THE SAUDI NATIONAL BANK 0.00BSHYYN1 COMMON STOCK 1,116 17,96316.10FINANCIALS SA

THERMO FISHER SCIENTIFIC INC 0.01883556102 COMMON STOCK 276 174,809632.83HEALTH CARE US

TIGER BRANDS LTD 0.00B0J4PP2 COMMON STOCK 2,490 27,85211.19CONSUMER STAPLES ZA

TIM SA-ADR 0.0088706T108 AMERICAN DEPOSITORY RECEIPT 1,074 13,04712.15COMMUNICATION SERVICES BR

TINGYI (CAYMAN ISLN) HLDG CO 0.006903556 COMMON STOCK 3,567 6,9101.94CONSUMER STAPLES CN

TIP 1/8 01/15/2022 0.06912828SA9 TREASURY INFLATIONARY PROTECTED 1,211,860 1,224,693101.01US

TIP 1/8 07/15/2022 10 0.14912828TE0 TREASURY INFLATIONARY PROTECTED 2,593,017 2,682,010103.38US

TIP 1 3/4 01/15/2028 0.24912810PV4 TREASURY INFLATIONARY PROTECTED 3,927,780 4,767,991120.73US

TIP 2 1/8 02/15/2040 0.40912810QF8 TREASURY INFLATIONARY PROTECTED 5,076,079 7,882,031154.65US

TIP 2 1/8 02/15/2041 0.35912810QP6 TREASURY INFLATIONARY PROTECTED 4,383,750 6,892,703156.61US

TIS INC 0.01B2Q4CR0 COMMON STOCK 4,565 141,10930.91INFORMATION TECHNOLOGY JP

TITAN CO LTD 0.016139340 COMMON STOCK 3,204 101,26131.61CONSUMER DISCRETIONARY IN

TITAN CO LTD 0.006139340 COMMON STOCK 224 7,07631.61CONSUMER DISCRETIONARY IN

TMX GROUP LTD 0.0187262K105 COMMON STOCK 1,442 139,31196.64FINANCIALS CA

TOBU RAILWAY CO LTD 0.016895169 COMMON STOCK 5,112 115,49222.59INDUSTRIALS JP

TOHO CO LTD 0.026895200 COMMON STOCK 6,794 302,17444.48COMMUNICATION SERVICES JP

TOHO GAS CO LTD 0.026895222 COMMON STOCK 10,950 309,07828.23UTILITIES JP

TOHOKU ELECTRIC POWER CO INC 0.046895266 COMMON STOCK 103,494 716,4256.92UTILITIES JP

TOKIO MARINE HOLDINGS INC 0.006513126 COMMON STOCK 1,831 92,06450.27FINANCIALS JP

TOKYO ELECTRIC POWER COMPANY 0.026895404 COMMON STOCK 121,096 323,1502.67UTILITIES JP

TOKYO ELECTRON LTD 0.006895675 COMMON STOCK 91 48,114527.02INFORMATION TECHNOLOGY JP

TOKYO GAS CO LTD 0.056895448 COMMON STOCK 59,265 1,015,19217.13UTILITIES JP


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

72

TOKYU CORP 0.006896548 COMMON STOCK 6,938 95,99913.84INDUSTRIALS JP

TOMPKINS FINANCIAL CORP 0.00890110109 COMMON STOCK 948 74,11078.16FINANCIALS US

TONGHUA DONGBAO PHARMACEUT-A 0.00BP3R808 COMMON STOCK 9,097 15,7631.73HEALTH CARE CN

TONGWEI CO LTD-A 0.00BP3RCK6 COMMON STOCK 178 1,2587.05CONSUMER STAPLES CN

TOOTSIE ROLL INDS 0.02890516107 COMMON STOCK 11,064 347,94731.45CONSUMER STAPLES US

TOP GLOVE CORP BHD 0.01B05L892 COMMON STOCK 186,130 129,4930.70HEALTH CARE MY

TOPIX INDEX FUTURE DEC 2021 0.95JTIDEC2021

TOPIX INDEX FUTURE 112 18,702,01216.70JP

TORAY INDUSTRIES INC 0.006897143 COMMON STOCK 14,151 82,3535.82MATERIALS JP

TORONTO-DOMINION BANK 0.01891160509 COMMON STOCK 2,102 147,69270.28FINANCIALS CA

TORONTO-DOMINION BANK/THE 0.0189114QCB2

CORPORATE BOND 125,000 131,436105.15CA

TORONTO-DOMINION BANK/THE 0.0289114QC48

CORPORATE BOND 375,000 397,478104.71CA

TORRENT PHARMACEUTICALS LTD 0.01B0XPSB8 COMMON STOCK 2,478 100,28840.48HEALTH CARE IN

TOSHIBA CORP 0.006897217 COMMON STOCK 1,552 61,87839.87INDUSTRIALS JP

TOSOH CORP 0.006900289 COMMON STOCK 4,565 65,56914.36MATERIALS JP

TOTALENERGIES SE 0.01B15C557 COMMON STOCK 5,514 252,05845.71ENERGY FR

TOTVS SA 0.00B10LQP6 COMMON STOCK 12,397 69,5485.61INFORMATION TECHNOLOGY BR

TOYO SUISAN KAISHA LTD 0.026899967 COMMON STOCK 10,283 416,60840.51CONSUMER STAPLES JP

TOYOTA INDUSTRIES CORP 0.006900546 COMMON STOCK 822 67,44382.08INDUSTRIALS JP

TOYOTA MOTOR CORP 0.016900643 COMMON STOCK 9,581 168,85217.62CONSUMER DISCRETIONARY JP

TOYOTA MOTOR CORP 0.05892331AC3 CORPORATE BOND 875,000 925,941104.58JP

TOYOTA MOTOR CREDIT CORP 0.0389233P7F7 CORPORATE BOND 500,000 511,275102.25US

TOYOTA MOTOR CREDIT CORP 0.0689236TDR3


TPG RE FINANCE TRUST INC 0.0087266M107 REAL ESTATE INVESTMENT TRUST 2,465 30,06912.20FINANCIALS US

TRACTOR SUPPLY COMPANY 0.02892356106 COMMON STOCK 1,791 403,660225.33CONSUMER DISCRETIONARY US

TRANE TECHNOLOGIES PLC 0.02G8994E103 COMMON STOCK 1,640 306,121186.65INDUSTRIALS IE

TRANSURBAN GROUP 0.016200882 STAPLED SECURITY 17,321 167,7699.69INDUSTRIALS AU

TRAVELERS COS INC/THE 0.0189417E109 COMMON STOCK 1,411 207,384146.95FINANCIALS US

TRAVELSKY TECHNOLOGY LTD-H 0.006321954 COMMON STOCK 8,919 14,7581.65INFORMATION TECHNOLOGY CN

TREASURY NOTES FUTURES, 10-YEAR - CBT MAR 2022 17.49TYMAR2022

TREASURY NOTES FUTURES, 10-YEAR - CBT 2,637 344,952,563130.81US

TREASURY NOTES FUTURES, 10-YEAR - CBT MAR 2022 2.19TYMAR2022

TREASURY NOTES FUTURES, 10-YEAR - CBT 330 43,168,125130.81US

TREASURY NOTES FUTURES, 2-YEAR - CBT MAR 2022 31.97TUMAR2022


TREASURY NOTES FUTURES, 5-YEAR - CBT MAR 2022 18.31FVMAR2022


TREASURY NOTES FUTURES, 5-YEAR - CBT MAR 2022 4.36FVMAR2022

TREASURY NOTES FUTURES, 5-YEAR - CBT 708 85,950,094121.40US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

73

TREASURY WINE ESTATES LTD 0.01B61JC67 COMMON STOCK 21,830 187,2958.58CONSUMER STAPLES AU

TREND MICRO INC 0.016125286 COMMON STOCK 3,104 179,05957.69INFORMATION TECHNOLOGY JP

TRIMAS CORP 0.01896215209 COMMON STOCK 7,410 245,42233.12MATERIALS US

TRUE CORP PCL-FOREIGN 0.00BYM8V06 COMMON STOCK 636,518 85,3790.13COMMUNICATION SERVICES TH

TRUIST FINANCIAL CORP 0.0189832Q109 COMMON STOCK 2,090 123,93059.31FINANCIALS US

TRUST FIBRA UNO 0.01B671GT8 REAL ESTATE INVESTMENT TRUST 123,259 112,9950.92REAL ESTATE MX

TRUSTMARK CORP 0.00898402102 COMMON STOCK 2,265 69,33830.61FINANCIALS US

TRYG A/S 0.01BXDZ972 COMMON STOCK 6,153 148,03024.06FINANCIALS DK

TSURUHA HOLDINGS INC 0.01B0MKZN5 COMMON STOCK 1,369 154,375112.73CONSUMER STAPLES JP

TSY 0 1/8% 2068 I/L GILT 0.30BDX8CX8 TREASURY INFLATIONARY PROTECTED 1,359,292 5,984,862440.26GB

TUFTS UNIVRSTY 5.017 21120415 0.02899043AA1 CORPORATE BOND 250,000 388,960154.94US

TUPRAS-TURKIYE PETROL RAFINE 0.00B03MYT9 COMMON STOCK 1,181 13,49111.43ENERGY TR

TURK SISE VE CAM FABRIKALARI 0.00B03MXR0 COMMON STOCK 60,332 57,0250.95INDUSTRIALS TR

TURKCELL ILETISIM HIZMET AS 0.01B03MYN3 COMMON STOCK 73,820 105,0771.42COMMUNICATION SERVICES TR

TWITTER INC 0.0190184L102 COMMON STOCK 4,494 197,44843.94COMMUNICATION SERVICES US

TYLER TECHNOLOGIES INC 0.01902252105 COMMON STOCK 263 136,263518.98INFORMATION TECHNOLOGY US

TYSON FOODS INC-CL A 0.02902494103 COMMON STOCK 4,413 348,47878.96CONSUMER STAPLES US

UBISOFT ENTERTAINMENT 0.01B1L3CS6 COMMON STOCK 3,798 193,69551.00COMMUNICATION SERVICES FR

UCB SA 0.025596991 COMMON STOCK 4,074 440,922108.22HEALTH CARE BE

UDR INC 0.01902653104 REAL ESTATE INVESTMENT TRUST 2,894 164,15556.73REAL ESTATE US

UFP TECHNOLOGIES INC 0.02902673102 COMMON STOCK 5,924 396,11566.87MATERIALS US

UK LONG GILT FUTURES MAR 2022 9.30FLGMAR2022

UK LONG GILT FUTURES 1,098 183,443,064167.07GB

UK TREASURY IDX-LKD STK 0.700898302 TREASURY INFLATIONARY PROTECTED 2,800,000 13,795,761488.98GB

UKGI 0.125 03/22/2029 0.23B3Y1JG8 TREASURY INFLATIONARY PROTECTED 2,599,280 4,503,224173.22GB

UKGI 0.125 03/22/2044 0.58B7RN0G6 TREASURY INFLATIONARY PROTECTED 4,582,152 11,366,366248.03GB

UKGI 0.375 03/22/2062 0.67B4PTCY7 TREASURY INFLATIONARY PROTECTED 3,401,867 13,295,366390.73GB

UKGI 0.500 03/22/2050 0.63B421JZ6 TREASURY INFLATIONARY PROTECTED 4,048,576 12,381,711305.70GB

UKGI 0.625 11/22/2042 0.42B3MYD34 TREASURY INFLATIONARY PROTECTED 3,195,038 8,381,217262.30GB

UKGI 0.750 03/22/2034 0.28B46CGH6 TREASURY INFLATIONARY PROTECTED 2,657,380 5,578,410209.73GB

UKGI 0.750 11/22/2047 0.32B24FFM1 TREASURY INFLATIONARY PROTECTED 2,079,182 6,278,165301.93GB

UKGI 1.250 11/22/2032 0.44B3D4VD9 TREASURY INFLATIONARY PROTECTED 4,121,104 8,737,279211.97GB

ULTA BEAUTY INC 0.0190384S303 COMMON STOCK 546 209,669383.95CONSUMER DISCRETIONARY US

ULTRATECH CEMENT LTD 0.01B01GZF6 COMMON STOCK 1,021 101,01098.92MATERIALS IN

UMICORE 0.00BF44466 COMMON STOCK 1,950 94,40748.41MATERIALS BE


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

74

UNDER ARMOUR INC-CLASS A 0.01904311107 COMMON STOCK 8,325 196,39423.59CONSUMER DISCRETIONARY US

UNDER ARMOUR INC-CLASS C 0.00904311206 COMMON STOCK 4,000 80,28720.07CONSUMER DISCRETIONARY US

UNI-PRESIDENT CHINA HOLDINGS 0.02B29MKF5 COMMON STOCK 476,408 467,4950.98CONSUMER STAPLES CN

UNI-PRESIDENT ENTERPRISES CO 0.016700393 COMMON STOCK 70,456 165,7232.35CONSUMER STAPLES TW

UNIBAIL-RODAMCO-WESTFIELD 0.00BFYM460 REAL ESTATE INVESTMENT TRUST 700 45,87265.51REAL ESTATE FR

UNICHARM CORP 0.016911485 COMMON STOCK 4,917 211,67743.05CONSUMER STAPLES JP

UNIFIRST CORP/MA 0.01904708104 COMMON STOCK 1,005 192,669191.65INDUSTRIALS US

UNILEVER INDONESIA TBK PT 0.006687184 COMMON STOCK 137,346 42,9610.31CONSUMER STAPLES ID

UNILEVER PLC 0.00B10RZP7 COMMON STOCK 1,339 68,37851.06CONSUMER STAPLES GB

UNION PACIFIC CORP 0.00907818108 COMMON STOCK 400 94,308235.64INDUSTRIALS US

UNIPER SE 0.03BZ6CZ43 COMMON STOCK 12,781 552,73543.25UTILITIES DE

UNITED INTERNET AG-REG SHARE 0.014354134 COMMON STOCK 4,582 170,97537.31COMMUNICATION SERVICES DE

UNITED KINGDOM (GOVERNMENT OF) 1.05B0CNHZ0 TREASURY INFLATIONARY PROTECTED 5,137,312 20,697,490402.84GB

UNITED KINGDOM (GOVERNMENT OF) 0.19B1L6W96 TREASURY INFLATIONARY PROTECTED 1,525,690 3,739,307245.05GB

UNITED KINGDOM (GOVERNMENT OF) 0.22B1Z5HQ1 TREASURY INFLATIONARY PROTECTED 3,000,700 4,282,043142.64GB

UNITED KINGDOM (GOVERNMENT) IDX-LKD 0.29B128DH6 TREASURY INFLATIONARY PROTECTED 3,179,940 5,640,595177.34GB

UNITED KINGDOM (GOVT OF) INX-LKD 0.433179082 TREASURY INFLATIONARY PROTECTED 2,000,000 8,514,375424.15GB

UNITED KINGDOM GILT INFLA REGS 0.64BD9MZZ7 TREASURY INFLATIONARY PROTECTED 3,080,454 12,541,244407.12GB

UNITED KINGDOM GILT INFLA REGS BONDS 3MO 0.41BP9DLZ6 TREASURY INFLATIONARY PROTECTED 2,411,680 8,139,065337.49GB

UNITED KINGDOM GILT INFLATION 0.28B85SFQ5 TREASURY INFLATIONARY PROTECTED 3,691,236 5,427,935147.02GB

UNITED KINGDOM GILT INFLATION 0.26B73ZYW0 TREASURY INFLATIONARY PROTECTED 1,657,214 5,037,808303.99GB

UNITED KINGDOM GILT INFLATION LINKED 0.80BZ13DV4 TREASURY INFLATIONARY PROTECTED 5,726,689 15,738,063274.77GB

UNITED KINGDOM GILT INFLATION LINKED 0.43BYY5F14 TREASURY INFLATIONARY PROTECTED 5,376,826 8,473,881157.60GB

UNITED KINGDOM GILT INFLATION LINKED 0.48BZ1NTB6 TREASURY INFLATIONARY PROTECTED 5,525,152 9,435,147170.72GB

UNITED KINGDOM TSY I/L GILT 0.26B3LZBF6 TREASURY INFLATIONARY PROTECTED 2,137,604 5,224,138244.23GB

UNITED MICROELECTRONICS CORP 0.006916628 COMMON STOCK 5,434 12,4492.29INFORMATION TECHNOLOGY TW

UNITED MICROELECTRONICS CORP 0.006916628 COMMON STOCK 11,167 25,5832.29INFORMATION TECHNOLOGY TW

UNITED PARCEL SERVICE-CL B 0.01911312106 COMMON STOCK 1,062 210,686198.37INDUSTRIALS US

UNITED RENTALS INC 0.02911363109 COMMON STOCK 1,249 423,078338.74INDUSTRIALS US

UNITED SPIRITS LTD 0.01BYWFSB7 COMMON STOCK 10,938 128,50511.75CONSUMER STAPLES IN

UNITED STATES LIME & MINERAL 0.01911922102 COMMON STOCK 1,717 204,576119.15MATERIALS US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.04912810SM1

TREASURY INFLATIONARY PROTECTED 640,116 783,292122.37US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12912810SG4 TREASURY INFLATIONARY PROTECTED 1,635,015 2,353,887143.67US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.389128283R9 TREASURY INFLATIONARY PROTECTED 6,671,820 7,518,791112.51US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

75

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.93912828Z37 TREASURY INFLATIONARY PROTECTED 16,524,240 18,402,635111.32US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.41912828S50 TREASURY INFLATIONARY PROTECTED 7,437,820 8,120,613109.13US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.499128287D6 TREASURY INFLATIONARY PROTECTED 8,578,321 9,651,840112.42US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.58912828YL8 TREASURY INFLATIONARY PROTECTED 10,690,702 11,487,965107.44US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.9391282CBF7 TREASURY INFLATIONARY PROTECTED 16,331,733 18,271,504111.83US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.7591282CAQ4

TREASURY INFLATIONARY PROTECTED 13,742,300 14,894,364108.37US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.29912828V49 TREASURY INFLATIONARY PROTECTED 5,109,660 5,656,473110.56US

UNITED STATES TREASURY INFLATION INDEXED BONDS 0.6691282CCA7


UNITED URBAN INVESTMENT CORP 0.006723839 REAL ESTATE INVESTMENT TRUST 39 49,9931,273.50REAL ESTATE JP

UNITED UTILITIES GROUP PLC 0.02B39J2M4 COMMON STOCK 22,644 324,89514.35UTILITIES GB

UNITEDHEALTH GROUP INC 0.0191324P102 COMMON STOCK 562 249,872444.22HEALTH CARE US

UNITIL CORP 0.02913259107 COMMON STOCK 10,534 436,54141.44UTILITIES US

UNIVERSAL CORP/VA 0.02913456109 COMMON STOCK 7,143 332,67146.57CONSUMER STAPLES US

UNIVERSAL HEALTH SERVICES-B 0.02913903100 COMMON STOCK 4,136 491,092118.73HEALTH CARE US

UNIVERSAL MUSIC GROUP NV 0.01BNZGVV1 COMMON STOCK 5,805 165,36528.49COMMUNICATION SERVICES NL

UNIVERSAL ROBINA CORP 0.006919519 COMMON STOCK 9,364 24,7192.64CONSUMER STAPLES PH

UOL GROUP LTD 0.016916844 COMMON STOCK 21,089 105,8185.02REAL ESTATE SG

UP FINTECH HOLDING LTD - ADR 0.0091531W106

AMERICAN DEPOSITORY RECEIPT 1,519 9,1746.04FINANCIALS CN

UPL LTD 0.00B0L0W35 COMMON STOCK 2,054 18,6319.07MATERIALS IN

UPM-KYMMENE OYJ 0.005051252 COMMON STOCK 2,046 73,80836.08MATERIALS FI

US CELLULAR CORP 0.03911684108 COMMON STOCK 19,255 560,52529.11COMMUNICATION SERVICES US

US LONG BOND(CBT) MAR 2022 9.32USMAR2022

US LONG BOND(CBT) 1,134 183,849,750162.13US

US TREAS-CPI INFLAT 0.55912810PS1 TREASURY INFLATIONARY PROTECTED 8,840,715 10,825,781121.56US

US TREAS-CPI INFLATION INDEX 0.47912810PZ5 TREASURY INFLATIONARY PROTECTED 7,154,169 9,280,781128.78US

US TREASURY INFLATION INDEXED BONDS 0.42912810FH6 TREASURY INFLATIONARY PROTECTED 5,839,645 8,222,170140.30US

US TREASURY INFLATION INDEXED BONDS 0.38912810FR4 TREASURY INFLATIONARY PROTECTED 6,548,040 7,579,650114.86US

US TREASURY INFLATION INDEXED BONDS 0.33912810FS2 TREASURY INFLATIONARY PROTECTED 5,527,800 6,482,939116.52US

US TREASURY INFLATION INDEXED BONDS 0.27912810RA8 TREASURY INFLATIONARY PROTECTED 4,175,535 5,260,269125.79US

US TREASURY INFLATION INDEXED BONDS 0.26912810RF7 TREASURY INFLATIONARY PROTECTED 3,530,670 5,113,859144.44US

US TREASURY INFLATION INDEXED BONDS 0.25912810RL4 TREASURY INFLATIONARY PROTECTED 3,785,535 4,946,532130.45US

US TREASURY INFLATION INDEXED BONDS 0.50912810FQ6 TREASURY INFLATIONARY PROTECTED 6,644,661 9,903,288148.61US

US TREASURY INFLATION INDEXED BONDS 0.13912810QV3 TREASURY INFLATIONARY PROTECTED 1,942,176 2,488,060127.89US

US TREASURY INFLATION INDEXED BONDS 0.31912828UH1 TREASURY INFLATIONARY PROTECTED 5,941,501 6,192,411104.18US

US TREASURY INFLATION INDEXED BONDS 0.19912828VM9



HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

76

US TREASURY INFLATION INDEXED BONDS 1% 2/15/2046 0.17912810RR1 TREASURY INFLATIONARY PROTECTED 2,430,939 3,368,335138.27US

US TREASURY INFLATION INDEXED NOTES 0.19912828N71 TREASURY INFLATIONARY PROTECTED 3,463,020 3,832,378110.43US

US TREASURY INFLATION INDEXED NOTES 0.71912828XL9 TREASURY INFLATIONARY PROTECTED 12,722,819 13,919,940109.27US

US TREASURY INFLATION INDEXED NOTES 0.35912828H45 TREASURY INFLATIONARY PROTECTED 6,369,165 6,872,898107.81US

US TREASURY INFLATION INDEXED NOTES 0.38912828WU0


US TREASURY INFLATION INDEXED NOTES 0.13912828B25 TREASURY INFLATIONARY PROTECTED 2,351,040 2,526,718107.24US

US TREASURY INFLATION INDEXED NOTES 0.52912810FD5 TREASURY INFLATIONARY PROTECTED 7,631,280 10,261,184133.99US

US TREASURY ULTRA LONG BOND FUTURE MAR 2022 1.12WNMAR2022

US Treasury Ultra Long Bond future 110 22,061,875200.56US

USS CO LTD 0.006171494 COMMON STOCK 5,569 81,71114.67CONSUMER DISCRETIONARY JP

UTAH MEDICAL PRODUCTS INC 0.03917488108 COMMON STOCK 4,969 554,393111.56HEALTH CARE US

VALE SA-SP ADR 0.0091912E105 AMERICAN DEPOSITORY RECEIPT 1,449 17,92712.37MATERIALS BR

VALE SA-SP ADR 0.0091912E105 AMERICAN DEPOSITORY RECEIPT 2,985 36,92512.37MATERIALS BR

VALERO ENERGY CORP 0.0191913Y100 COMMON STOCK 3,044 203,76866.94ENERGY US

VANGUARD INTERNATIONAL SEMI 0.016109677 COMMON STOCK 21,404 119,3225.57INFORMATION TECHNOLOGY TW

VANGUARD INTERNATIONAL SEMI 0.006109677 COMMON STOCK 722 4,0275.57INFORMATION TECHNOLOGY TW

VECTOR GROUP LTD 0.0292240M108 COMMON STOCK 29,217 454,03815.54CONSUMER STAPLES US

VEDANTA LTD 0.006136040 COMMON STOCK 1,587 7,1544.51MATERIALS IN

VENTAS INC 0.0092276F100 REAL ESTATE INVESTMENT TRUST 1,254 58,85946.92REAL ESTATE US

VENTURE CORP LTD 0.016927374 COMMON STOCK 11,558 156,02713.50INFORMATION TECHNOLOGY SG

VENUS MEDTECH HANGZHOU INC-H 0.00BL6V047 COMMON STOCK 8,027 39,8464.96HEALTH CARE CN

VEOLIA ENVIRONNEMENT 0.014031879 COMMON STOCK 8,348 266,86131.97UTILITIES FR

VERBUND AG 0.004661607 COMMON STOCK 881 91,728104.12UTILITIES AT

VERISIGN INC 0.0292343E102 COMMON STOCK 1,305 313,202239.91INFORMATION TECHNOLOGY US

VERISK ANALYTICS INC 0.0192345Y106 COMMON STOCK 572 128,538224.87INDUSTRIALS US

VERIZON COMMUNICATIONS INC 0.0292343V104 COMMON STOCK 9,395 472,27050.27COMMUNICATION SERVICES US

VERRA MOBILITY CORP 0.0092511U102 COMMON STOCK 6,187 89,03514.39INFORMATION TECHNOLOGY US

VERTEX PHARMACEUTICALS INC 0.0192532F100 COMMON STOCK 1,058 197,694186.94HEALTH CARE US

VIA S/A 0.00BKSF0G2 COMMON STOCK 7,313 7,3411.00CONSUMER DISCRETIONARY BR

VIACOMCBS INC - CLASS B 0.0392556H206 COMMON STOCK 21,447 663,78030.95COMMUNICATION SERVICES US

VIATRIS INC 0.0192556V106 COMMON STOCK 9,538 117,41012.31HEALTH CARE US

VIAVI SOLUTIONS INC 0.01925550105 COMMON STOCK 12,140 179,79314.81INFORMATION TECHNOLOGY US

VIBRA ENERGIA SA 0.01BPBLV81 COMMON STOCK 51,064 196,7113.85CONSUMER DISCRETIONARY BR

VIBRA ENERGIA SA 0.00BPBLV81 COMMON STOCK 1,516 5,8413.85CONSUMER DISCRETIONARY BR

VICINITY CENTRES 0.01BY7QXS7 REAL ESTATE INVESTMENT TRUST 82,933 99,6731.20REAL ESTATE AU


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

77

VIFOR PHARMA AG 0.01BZ12TW4 COMMON STOCK 962 107,309111.52HEALTH CARE CH

VIPSHOP HOLDINGS LTD - ADR 0.0092763W103

AMERICAN DEPOSITORY RECEIPT 3,687 36,0219.77CONSUMER DISCRETIONARY CN

VISA INC 0.0592826CAD4


VISA INC 0.0192826CAE2


VISA INC 0.0192826CAG7


VISHAY INTERTECHNOLOGY INC 0.00928298108 COMMON STOCK 3,711 75,58420.37INFORMATION TECHNOLOGY US

VISHAY PRECISION GROUP 0.0092835K103 COMMON STOCK 2,747 94,31634.33INFORMATION TECHNOLOGY US

VIVENDI SE 0.004834777 COMMON STOCK 5,805 73,50312.66COMMUNICATION SERVICES FR

VNET GROUP INC-ADR 0.0090138A103 AMERICAN DEPOSITORY RECEIPT 2,007 19,5059.72INFORMATION TECHNOLOGY CN

VODACOM GROUP LTD 0.00B65B4D0 COMMON STOCK 7,314 60,9418.33COMMUNICATION SERVICES ZA

VODAFONE GROUP PLC 0.00BH4HKS3 COMMON STOCK 51,845 74,9981.45COMMUNICATION SERVICES GB

VOLKSWAGEN AG 0.005497102 COMMON STOCK 258 71,657277.35CONSUMER DISCRETIONARY DE

VONAGE HOLDINGS CORP 0.0092886T201 COMMON STOCK 2,051 42,28620.62INFORMATION TECHNOLOGY US

VONOVIA SE 0.01BBJPFY1 COMMON STOCK 1,911 105,38955.15REAL ESTATE DE

VOPAK 0.005809428 COMMON STOCK 1,424 53,79937.78ENERGY NL

VTB BANK PJSC 0.00B5B1TP4 COMMON STOCK 66,069,690 42,4940.00FINANCIALS RU

VTB BANK PJSC 0.00B5B1TP4 COMMON STOCK 3,512,959 2,2590.00FINANCIALS RU

VULCAN MATERIALS CO 0.01929160109 COMMON STOCK 1,345 257,699191.64MATERIALS US

WAL-MART STORES INC 0.02931142BF9 CORPORATE BOND 250,000 358,859143.54US

WALGREENS BOOTS ALLIANCE INC 0.01931427108 COMMON STOCK 5,418 242,72744.80CONSUMER STAPLES US

WALMART DE MEXICO SAB DE CV 0.01BW1YVH8 COMMON STOCK 46,466 145,6923.14CONSUMER STAPLES MX

WALMART DE MEXICO SAB DE CV 0.00BW1YVH8 COMMON STOCK 3,121 9,7873.14CONSUMER STAPLES MX

WALMART INC 0.02931142103 COMMON STOCK 2,497 351,159140.63CONSUMER STAPLES US

WALSIN TECHNOLOGY CORP 0.006089694 COMMON STOCK 2,431 15,1716.24INFORMATION TECHNOLOGY TW

WALT DISNEY CO/THE 0.01254687106 COMMON STOCK 2,014 291,808144.90COMMUNICATION SERVICES US

WALVAX BIOTECHNOLOGY CO-A 0.00BD5CG36 COMMON STOCK 3,746 40,45010.80HEALTH CARE CN

WAN HAI LINES LTD 0.016932334 COMMON STOCK 40,133 225,8945.63INDUSTRIALS TW

WARTSILA OYJ ABP 0.014525189 COMMON STOCK 8,182 113,13913.83INDUSTRIALS FI

WASHINGTON H. SOUL PATTINSON 0.006821807 COMMON STOCK 3,878 85,46522.04ENERGY AU

WASHINGTON REIT 0.00939653101 REAL ESTATE INVESTMENT TRUST 1,266 31,90125.20REAL ESTATE US

WATERS CORP 0.01941848103 COMMON STOCK 414 135,786328.07HEALTH CARE US

WATERSTONE FINANCIAL INC 0.0194188P101 COMMON STOCK 7,642 158,56420.75FINANCIALS US

WATTS WATER TECHNOLOGIES-A 0.01942749102 COMMON STOCK 1,341 253,077188.71INDUSTRIALS US

WEBER INC - CLASS A 0.0294770D102 COMMON STOCK 27,235 366,58013.46CONSUMER DISCRETIONARY US


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

78

WEC ENERGY GROUP INC 0.0392939U106 COMMON STOCK 5,702 495,71386.93UTILITIES US

WEG SA 0.002945422 COMMON STOCK 4,459 25,4445.71INDUSTRIALS BR

WEIBO CORP-SPON ADR 0.00948596101 AMERICAN DEPOSITORY RECEIPT 921 36,67639.81COMMUNICATION SERVICES CN

WEICHAI POWER CO LTD-A 0.00BD5CQ03 COMMON STOCK 24,526 59,3982.42INDUSTRIALS CN

WEICHAI POWER CO LTD-H 0.006743956 COMMON STOCK 28,007 49,7931.78INDUSTRIALS CN

WEIFU HIGH-TECHNOLOGY GRP-A 0.01BD5CJP9 COMMON STOCK 38,166 125,9193.30CONSUMER DISCRETIONARY CN

WEIFU HIGH-TECHNOLOGY GRP-A 0.00BD5CJP9 COMMON STOCK 3,133 10,3373.30CONSUMER DISCRETIONARY CN

WEIMOB INC 0.00BGHWHF4 COMMON STOCK 19,621 23,8091.21INFORMATION TECHNOLOGY CN

WEIS MARKETS INC 0.02948849104 COMMON STOCK 5,708 359,32962.95CONSUMER STAPLES US

WELCIA HOLDINGS CO LTD 0.01B3CF1G6 COMMON STOCK 5,386 190,93935.45CONSUMER STAPLES JP

WENDEL 0.007390113 COMMON STOCK 348 39,583113.80FINANCIALS FR

WERNER ENTERPRISES INC 0.01950755108 COMMON STOCK 3,219 145,22845.11INDUSTRIALS US

WESFARMERS LTD 0.016948836 COMMON STOCK 2,830 114,10240.32CONSUMER DISCRETIONARY AU

WEST JAPAN RAILWAY CO 0.006957995 COMMON STOCK 1,826 78,76443.14INDUSTRIALS JP

WEST PHARMACEUTICAL SERVICES 0.02955306105 COMMON STOCK 719 318,406442.66HEALTH CARE US

WESTAMERICA BANCORPORATION 0.01957090103 COMMON STOCK 2,434 130,88053.78FINANCIALS US

WESTERN DIGITAL CORP 0.01958102105 COMMON STOCK 2,162 125,07757.84INFORMATION TECHNOLOGY US

WESTERN UNION CO 0.01959802109 COMMON STOCK 10,336 163,50815.82INFORMATION TECHNOLOGY US

WESTON (GEORGE) LTD 0.01961148509 COMMON STOCK 1,629 171,173105.10CONSUMER STAPLES CA

WESTPAC BANKING CORP 0.016076146 COMMON STOCK 7,004 101,90814.55FINANCIALS AU

WESTPORTS HOLDINGS BHD 0.00BDFM1K8 COMMON STOCK 39,063 37,5650.96INDUSTRIALS MY

WESTPORTS HOLDINGS BHD 0.00BDFM1K8 COMMON STOCK 3,478 3,3450.96INDUSTRIALS MY

WESTROCK CO 0.0196145D105 COMMON STOCK 4,847 210,32543.39MATERIALS US

WH GROUP LTD 0.00BLLHKZ1 COMMON STOCK 145,976 91,5650.63CONSUMER STAPLES HK

WHARF HOLDINGS LTD 0.006435576 COMMON STOCK 1,784 6,2353.50REAL ESTATE HK

WHARF REAL ESTATE INVESTMENT 0.00BF0GWS4 COMMON STOCK 19,172 97,1405.07REAL ESTATE HK

WHEAT FUTURES(CBT) MAR 2022 0.82WMAR2022

WHEAT FUTURES(CBT) 413 16,256,713787.25US

WHEATON PRECIOUS METALS CORP 0.01962879102 COMMON STOCK 4,502 187,46741.64MATERIALS CA

WHIRLPOOL CORP 0.02963320106 COMMON STOCK 1,377 299,743217.74CONSUMER DISCRETIONARY US

WHITBREAD PLC 0.00B1KJJ40 COMMON STOCK 1,853 68,72737.08CONSUMER DISCRETIONARY GB

WILEY (JOHN) & SONS-CLASS A 0.02968223206 COMMON STOCK 8,569 445,40451.98COMMUNICATION SERVICES US

WILLIAMS COS INC 0.02969457100 COMMON STOCK 11,192 299,82226.79ENERGY US

WILLIS TOWERS WATSON PLC 0.01G96629103 COMMON STOCK 598 135,064225.84FINANCIALS GB

WILMAR INTERNATIONAL LTD 0.01B17KC69 COMMON STOCK 60,921 182,6093.00CONSUMER STAPLES SG


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

79

WIN SEMICONDUCTORS CORP 0.00B56LHP5 COMMON STOCK 3,567 46,51013.04INFORMATION TECHNOLOGY TW

WINBOND ELECTRONICS CORP 0.006966515 COMMON STOCK 22,296 25,7011.15INFORMATION TECHNOLOGY TW

WINMARK CORP 0.05974250102 COMMON STOCK 3,873 976,365252.10CONSUMER DISCRETIONARY US

WINNING HEALTH TECHNOLOGY-A 0.00BD5CKZ6 COMMON STOCK 12,299 30,3452.47HEALTH CARE CN

WIPRO LTD-ADR 0.0097651M109 AMERICAN DEPOSITORY RECEIPT 10,152 86,6988.54INFORMATION TECHNOLOGY IN

WISETECH GLOBAL LTD 0.02BZ8GX83 COMMON STOCK 8,489 315,84337.20INFORMATION TECHNOLOGY AU

WISTRON CORP 0.006672481 COMMON STOCK 49,575 50,9931.03INFORMATION TECHNOLOGY TW

WIWYNN CORP 0.00BF4QXG5 COMMON STOCK 729 27,51637.76INFORMATION TECHNOLOGY TW

WIX.COM LTD 0.01M98068105 COMMON STOCK 1,026 156,796152.80INFORMATION TECHNOLOGY IL

WOLTERS KLUWER 0.025671519 COMMON STOCK 2,759 308,248111.73INDUSTRIALS NL

WOODSIDE PETROLEUM LTD 0.006979728 COMMON STOCK 3,459 52,56215.20ENERGY AU

WOOLWORTHS GROUP LTD 0.016981239 COMMON STOCK 7,216 208,85528.94CONSUMER STAPLES AU

WOOLWORTHS HOLDINGS LTD 0.00B06KZ97 COMMON STOCK 7,954 25,6153.22CONSUMER DISCRETIONARY ZA

WOOLWORTHS HOLDINGS LTD 0.00B06KZ97 COMMON STOCK 888 2,8603.22CONSUMER DISCRETIONARY ZA

WORLD BANK 7.625 20230119 0.06459056LD7 CORPORATE BOND 1,125,000 1,248,402108.17US

WORLD FUEL SERVICES CORP 0.00981475106 COMMON STOCK 3,065 76,59624.99ENERGY US

WORLDLINE SA 0.00BNFWR44 COMMON STOCK 1,223 63,87252.21INFORMATION TECHNOLOGY FR

WPG HOLDINGS LTD 0.00B0P6L87 COMMON STOCK 34,461 62,3421.81INFORMATION TECHNOLOGY TW

WPG HOLDINGS LTD 0.00B0P6L87 COMMON STOCK 7,135 12,9071.81INFORMATION TECHNOLOGY TW

WPP PLC 0.01B8KF9B4 COMMON STOCK 14,320 197,40613.79COMMUNICATION SERVICES GB

WTI CRUDE FUTURE FEB 2022 0.58CLFEB2022

WTI CRUDE FUTURE 174 11,457,90065.85US

WUHU SANQI INTERACTIVE ENT-A 0.00BD5CMH2 COMMON STOCK 13,553 50,1803.70COMMUNICATION SERVICES CN

WULIANGYE YIBIN CO LTD-A 0.00BD5CPG2 COMMON STOCK 1,338 45,77434.22CONSUMER STAPLES CN

WULIANGYE YIBIN CO LTD-A 0.00BD5CPG2 COMMON STOCK 107 3,66234.22CONSUMER STAPLES CN

WUS PRINTED CIRCUIT KUNSHA-A 0.00BD5C7Z5 COMMON STOCK 2,943 7,0032.38INFORMATION TECHNOLOGY CN

WUXI APPTEC CO LTD-H 0.00BGHH0L6 COMMON STOCK 2,066 46,02222.28HEALTH CARE CN

WUXI BIOLOGICS CAYMAN INC 0.00BL6B9P1 COMMON STOCK 3,242 44,16313.62HEALTH CARE CN

WUXI LEAD INTELLIGENT EQUI-A 0.00BD6QWJ5 COMMON STOCK 3,768 46,88312.44INFORMATION TECHNOLOGY CN

WW GRAINGER INC 0.03384802104 COMMON STOCK 1,183 569,670481.41INDUSTRIALS US

X 5 RETAIL GROUP NV-REGS GDR 0.00B07T3T9 GLOBAL DEPOSITORY RECEIPTS 630 17,46627.74CONSUMER STAPLES RU

XCEL ENERGY INC 0.0398389B100 COMMON STOCK 8,821 562,17863.73UTILITIES US

XERO LTD 0.01B8P4LP4 COMMON STOCK 1,618 166,141102.70INFORMATION TECHNOLOGY NZ

XIAMEN C & D INC-A 0.00BP3R6L5 COMMON STOCK 3,881 4,9161.27INDUSTRIALS CN

XIAMEN INTRETECH INC-A 0.00BDC41P2 COMMON STOCK 14,403 75,5545.25CONSUMER DISCRETIONARY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

80

XILINX INC 0.02983919101 COMMON STOCK 1,629 372,177228.45INFORMATION TECHNOLOGY US

XINJIANG GOLDWIND SCI&TEC-H 0.00B59GZJ7 COMMON STOCK 6,065 13,3802.21INDUSTRIALS CN

XINYI GLASS HOLDINGS LTD 0.00B05NXN7 COMMON STOCK 40,170 98,0042.44INDUSTRIALS HK

XINYI SOLAR HOLDINGS LTD 0.01BGQYNN1 COMMON STOCK 57,527 105,5231.83INFORMATION TECHNOLOGY CN

XINYI SOLAR HOLDINGS LTD 0.00BGQYNN1 COMMON STOCK 4,979 9,1331.83INFORMATION TECHNOLOGY CN

XPENG INC - ADR 0.0098422D105 AMERICAN DEPOSITORY RECEIPT 957 52,63355.00CONSUMER DISCRETIONARY CN

XPONENTIAL FITNESS INC-A 0.0598422X101 COMMON STOCK 47,622 926,24419.45CONSUMER DISCRETIONARY US

XYLEM INC 0.0198419M100 COMMON STOCK 2,222 269,072121.11INDUSTRIALS US

YADEA GROUP HOLDINGS LTD 0.00BZ04KX9 COMMON STOCK 23,188 41,5831.79CONSUMER DISCRETIONARY CN

YADEA GROUP HOLDINGS LTD 0.00BZ04KX9 COMMON STOCK 846 1,5181.79CONSUMER DISCRETIONARY CN

YAGEO CORPORATION 0.006984380 COMMON STOCK 735 12,06616.42INFORMATION TECHNOLOGY TW

YAGEO CORPORATION 0.006984380 COMMON STOCK 386 6,34016.42INFORMATION TECHNOLOGY TW

YAKULT HONSHA CO LTD 0.026985112 COMMON STOCK 8,176 408,29549.94CONSUMER STAPLES JP

YAMADA HOLDINGS CO LTD 0.006985026 COMMON STOCK 21,454 74,8243.49CONSUMER DISCRETIONARY JP

YAMAHA CORP 0.006642387 COMMON STOCK 1,516 77,72751.26CONSUMER DISCRETIONARY JP

YAMANA GOLD INC 0.0198462Y100 COMMON STOCK 30,002 119,2793.98MATERIALS CA

YAMATO HOLDINGS CO LTD 0.006985565 COMMON STOCK 2,830 62,41322.05INDUSTRIALS JP

YANG MING MARINE TRANSPORT 0.016987583 COMMON STOCK 63,322 263,0384.15INDUSTRIALS TW

YANKUANG ENERGY GROUP CO-A 0.02BP3R5S5 COMMON STOCK 86,569 308,7103.57ENERGY CN

YANKUANG ENERGY GROUP CO-A 0.00BP3R5S5 COMMON STOCK 981 3,4983.57ENERGY CN

YANKUANG ENERGY GROUP CO-H 0.026109893 COMMON STOCK 246,152 386,4741.57ENERGY CN

YANTAI JEREH OILFIELD-A 0.01BD5CMC7 COMMON STOCK 16,232 99,4366.13ENERGY CN

YARA INTERNATIONAL ASA 0.007751259 COMMON STOCK 1,819 88,94048.91MATERIALS NO

YEALINK NETWORK TECHNOLOGY-A 0.00BFCCR07 COMMON STOCK 4,418 53,69612.15INFORMATION TECHNOLOGY CN

YES BANK LTD 0.00BL6CR27 COMMON STOCK 145,049 23,9330.16FINANCIALS IN

YIHAI INTERNATIONAL HOLDING 0.00BD9GZX7 COMMON STOCK 1,784 9,5645.36CONSUMER STAPLES CN

YINTAI GOLD CO LTD-A 0.00BD5CF40 COMMON STOCK 39,229 55,3541.41MATERIALS CN

YOKOGAWA ELECTRIC CORP 0.006986427 COMMON STOCK 3,560 66,94818.80INFORMATION TECHNOLOGY JP

YONGHUI SUPERSTORES CO LTD-A 0.00BP3R5Q3 COMMON STOCK 122,451 74,5720.61CONSUMER STAPLES CN

YORK WATER CO 0.04987184108 COMMON STOCK 15,920 745,99746.86UTILITIES US

YOUNGOR GROUP CO-A 0.00BP3R6R1 COMMON STOCK 4,816 4,9441.03REAL ESTATE CN

YUANTA FINANCIAL HOLDING CO 0.006424110 COMMON STOCK 64,545 55,0170.85FINANCIALS TW

YUANTA FINANCIAL HOLDING CO 0.006424110 COMMON STOCK 892 7600.85FINANCIALS TW

YUEXIU PROPERTY CO LTD 0.00BNR5PB4 COMMON STOCK 1,070 9990.93REAL ESTATE HK


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

81

YUHAN CORP 0.006988337 COMMON STOCK 1,058 51,46748.66HEALTH CARE KR

YUM CHINA HOLDINGS INC 0.0098850P109 COMMON STOCK 233 11,66250.10CONSUMER DISCRETIONARY CN

YUM! BRANDS INC 0.01988498101 COMMON STOCK 1,351 165,967122.84CONSUMER DISCRETIONARY US

YUNNAN BAIYAO GROUP CO LTD-A 0.00BD5CP95 COMMON STOCK 2,051 28,43913.86HEALTH CARE CN

Z HOLDINGS CORP 0.016084848 COMMON STOCK 27,206 180,1826.62COMMUNICATION SERVICES JP

ZAI LAB LTD-ADR 0.0098887Q104 AMERICAN DEPOSITORY RECEIPT 442 30,63369.25HEALTH CARE CN

ZHANGZHOU PIENTZEHUANG PHA-A 0.00BP3R7Z6 COMMON STOCK 89 6,25770.16HEALTH CARE CN

ZHAOJIN MINING INDUSTRY - H 0.00B1H5082 COMMON STOCK 90,523 94,5191.04MATERIALS CN

ZHEJIANG CENTURY HUATONG -A 0.01BD5CG58 COMMON STOCK 108,806 125,1811.15COMMUNICATION SERVICES CN

ZHEJIANG DAHUA TECHNOLOGY-A 0.00BD5CNJ1 COMMON STOCK 17,144 66,0613.85INFORMATION TECHNOLOGY CN

ZHEJIANG EXPRESSWAY CO-H 0.016990763 COMMON STOCK 115,941 109,3100.94INDUSTRIALS CN

ZHEJIANG EXPRESSWAY CO-H 0.006990763 COMMON STOCK 14,270 13,4540.94INDUSTRIALS CN

ZHEJIANG SEMIR GARMENT CO-A 0.00BD5CM83 COMMON STOCK 52,976 60,1171.13CONSUMER DISCRETIONARY CN

ZHEJIANG WEIXING NEW BUILD-A 0.01BD5LYB7 COMMON STOCK 34,604 100,6972.91INDUSTRIALS CN

ZHEN DING TECHNOLOGY HOLDING 0.00B734XQ4 COMMON STOCK 12,022 42,3743.52INFORMATION TECHNOLOGY TW

ZHENRO PROPERTIES GROUP LTD 0.00BDRHD05 COMMON STOCK 112,374 63,4240.56REAL ESTATE CN

ZHONGJIN GOLD CORP-A 0.01BP3R585 COMMON STOCK 96,944 126,7511.31MATERIALS CN

ZHONGSHENG GROUP HOLDINGS 0.00B633D97 COMMON STOCK 8,473 69,7198.23CONSUMER DISCRETIONARY CN

ZHONGSHENG GROUP HOLDINGS 0.00B633D97 COMMON STOCK 446 3,6698.23CONSUMER DISCRETIONARY CN

ZIFF DAVIS INC 0.0248123V102 COMMON STOCK 3,036 345,709113.87COMMUNICATION SERVICES US

ZIJIN MINING GROUP CO LTD-A 0.00BP3R400 COMMON STOCK 1,310 2,0871.59MATERIALS CN

ZIJIN MINING GROUP CO LTD-H 0.006725299 COMMON STOCK 3,567 4,7411.33MATERIALS CN

ZIMMER BIOMET HOLDINGS INC 0.0198956P102 COMMON STOCK 944 112,960119.60HEALTH CARE US

ZIONS BANCORP NA 0.01989701107 COMMON STOCK 2,534 159,87163.08FINANCIALS US

ZOETIS INC 0.0198978V103 COMMON STOCK 572 126,921222.04HEALTH CARE US

ZOOMLION HEAVY INDUSTRY - H 0.00B544N70 COMMON STOCK 14,805 9,7230.66INDUSTRIALS CN

ZOOMLION HEAVY INDUSTRY - H 0.00B544N70 COMMON STOCK 1,427 9370.66INDUSTRIALS CN

ZOOMLION HEAVY INDUSTRY S-A 0.00BD5CPZ1 COMMON STOCK 51,728 56,6711.10INDUSTRIALS CN

ZOOMLION HEAVY INDUSTRY S-A 0.00BD5CPZ1 COMMON STOCK 1,070 1,1731.10INDUSTRIALS CN

ZOZO INC 0.00B292RC1 COMMON STOCK 2,465 78,47831.84CONSUMER DISCRETIONARY JP

ZTE CORP-A 0.00BD5CPY0 COMMON STOCK 8,116 39,0824.82INFORMATION TECHNOLOGY CN

ZTE CORP-H 0.00B04KP88 COMMON STOCK 2,683 7,2782.71INFORMATION TECHNOLOGY CN


HOLDINGS 30 DAY LAG




USDBase Currency:


November 30, 2021

82

Trade Secrets are considered by PanAgora to be confidential, and are not subject to disclosure under any federal or state freedom of information law or regulation. A “Trade Secret” is generally regarded as:1. information used in a company's business that is not known or available to the public,2. information the provides the company with an economic advantage over its competitors in the marketplace3. information that the company actively protects from disclosure through reasonable efforts to maintain its status as a "secret".

The information provided is only available to those who PanAgora has deemed appropriate to receive this material, and is not available to the public. PanAgora believes that information pertaining its proprietary investmentstrategies, processes, and holdings are commercially valuable and a result of PanAgora’s exhaustive research. As the recipient of this material, you agree not to disclose information provided to any third parties, or to anyemployees, representatives, consultants, or agents, except those who have a need to know with respect to an investment, or prospective investment, with PanAgora.

DISCLOSURES

83

Executive SummaryBase Currency: US Dollar

Portfolio Characteristics

Total Rate of Return (%)

Sector Allocation Highlights

-0.3

0

-0.0

1

-0.8

0

5.7

3

4.3

8

4.0

9

5.8

0

-0.3

3

-0.0

9

-1.1

2

5.3

8

4.0

2

3.7

6

5.4

7

-0.2

6

0.0

1

-1.5

4

4.7

9

3.5

7

2.9

0

4.7

7

December Latest 3-Months 1 Year 3 Years 5 Years 10 Years Annualized S.I.

TCW (Gross) TCW (Net) Bloomberg Aggregate

IndexPortfolio

Yield To Worst 1.98% 1.75%

Duration 6.32 yrs 6.78 yrs

Spread Duration 4.08 yrs 4.03 yrs

Quality AA AA+

Portfolio Index

Mortgage Backed 37.94% 29.42%

Agency MBS 29.84% 27.42%

Non-Agency MBS 4.81% 0.00%

CMBS 3.29% 2.00%

Credit 26.19% 29.67%

24.77% 25.29%Corporate Credit

Investment Grade 24.08% 25.29%

HY / Bank Loans 0.69% 0.00%

Non Corp Credit 0.95% 2.99%

Emerging Markets 0.47% 1.39%

Other 0.00% 0.00%

32,142,629.25

Ending Market Value

40.14%Government 40.61%

26.19%Credit 29.67%

37.94%Mortgage Backed 29.42%

5.35%Asset Backed 0.30%

(9.62)%Cash and Equivalents 0.00%

0.00%Other 0.00%

Pasadena Fire and Police Retirement System

As of 12/31/2021

Core Fixed Income (Account #: SMS650)Benchmark: Bloomberg Aggregate

Inception Date: 07/24/2000- Trade date basis- Returns are annualized for periods greater than one year.

1

Item: 6gDate: 02/16/22

Duration BreakdownQuality Breakdown

Maturity BreakdownBase Currency: US Dollar

Characteristics Summary

IndexPortfolio

Yield to Worst 1.98% 1.75%

Spread Duration 4.08 yrs 4.03 yrs

Effective Duration 6.32 yrs 6.78 yrs

Duration Difference -0.46 yrs

Average Maturity 8.48 yrs 8.63 yrs

Average Credit Quality AA AA+

Average Coupon 2.30% 2.43%

Current Yield 2.25% 2.33%

Average Convexity 0.26 yrs 0.43 yrs

Index

Market Value %

PortfolioMarket Value Portfolio Index

Duration %

-1,944,3240 - 1 Years -6.05% 0.21% 0.67% 0.03%

8,282,6321 -3 Years 25.77% 19.64% 6.55% 5.64%

8,644,5243 -5 Years 26.89% 20.15% 16.93% 11.20%

4,740,7305 -7 Years 14.75% 22.62% 8.32% 16.76%

7,121,5487 - 10 Years 22.16% 17.65% 21.60% 18.11%

1,867,31810 - 20 Years 5.81% 6.49% 10.65% 12.35%

3,430,20020+ Years 10.67% 13.24% 35.28% 35.91%

TOTAL 32,142,629 100%100% 100% 100%

Index

Market Value %


Duration %

45,119< 0 Yrs 0.14% 0.00% 0.00% 0.00%

1,272,2000 - 1 Yrs 3.96% 0.23% 0.97% 0.03%

6,047,8781 - 2 Yrs 18.82% 10.72% 5.02% 2.41%

1,392,2542 - 3 Yrs 4.33% 10.26% 1.69% 3.80%

10,373,6023 - 5 Yrs 32.27% 29.46% 22.07% 17.39%

6,511,5475 - 7 Yrs 20.26% 22.54% 19.07% 19.67%

1,985,2147 - 10 Yrs 6.18% 7.96% 8.43% 9.62%

4,514,81410+ Yrs 14.05% 18.83% 42.75% 47.09%

TOTAL 32,142,629 100%100% 100% 100%

Index

Market Value %


Duration %

21,860,735AAA 68.01% 71.69% 70.56% 64.28%

1,044,128AA 3.25% 3.26% 3.63% 4.09%

3,336,318A 10.38% 11.17% 5.90% 13.82%

5,068,453BBB 15.77% 13.88% 18.34% 17.81%

323,311BB 1.01% 0.00% 1.52% 0.00%

384,876B 1.20% 0.00% 0.03% 0.00%

124,810CCC & Below 0.39% 0.00% 0.01% 0.00%

0Not Rated 0.00% 0.00% 0.00% 0.00%

TOTAL 32,142,629 100%100% 100% 100%


Core Fixed Income (Account #: SMS650)

As of 12/31/2021

Benchmark: Bloomberg Aggregate

All market values include accrued interestAll securities unrated by NRSROs will defer to the manager determined rating where applicable and permitted 2

Base Currency: US Dollar

Sector Allocations

Market Value Portfolio Index

% Market Value

Portfolio Index Portfolio Index

Duration % Duration

Mortgage Backed 37.94%12,196,032 26.34% 20.78%29.42% 4.39 4.79

Agency MBS 9,592,957 29.84% 27.42% 5.01 19.27%4.76 23.64%

0.00ARM 0.00% 0.00%0 0.00%0.00% 0.00

4.76Pass Through 29.17% 23.11%9,377,133 19.27%27.42% 5.01

0.00CMO 0.67% 0.53%215,824 0.00%0.00% 4.95

0.00Other 0.00% 0.00%0 0.00%0.00% 0.00

Non Agency MBS 1,545,243 4.81% 0.00% 0.43 0.00%0.00 0.33%

0.00Prime 0.31% 0.01%98,952 0.00%0.00% 0.20

0.00Alt-A 1.11% 0.19%357,194 0.00%0.00% 1.06

0.00Subprime 1.52% 0.05%489,852 0.00%0.00% 0.20

0.00Option ARM 1.74% 0.06%560,052 0.00%0.00% 0.20

0.00Other 0.12% 0.03%39,193 0.00%0.00% 1.37

CMBS 1,057,832 3.29% 2.00% 4.57 1.50%5.09 2.38%

5.77Agency CMBS 0.71% 1.07%228,837 0.76%0.89% 9.46

4.54Non Agency CMBS 2.58% 1.31%828,995 0.74%1.11% 3.21

Other 0 0.00% 0.00% 0.00 0.00%0.00 0.00%

Asset Backed 5.35%1,719,704 0.48% 0.10%0.30% 0.57 2.33

0.00Student Loan 2.30% 0.04%738,879 0.00%0.00% 0.12

0.00CLO 2.65% 0.06%850,733 0.00%0.00% 0.14

1.95Automobile 0.00% 0.00%0 0.06%0.19% 0.00

3.42Credit Card 0.00% 0.00%0 0.04%0.07% 0.00

2.10Other 0.40% 0.38%130,092 0.01%0.03% 5.89

Other 0.00%0 1.40% 0.00%0.00% 7.21 0.00

0.00Futures 0.00% 1.40%0 0.00%0.00% 7.21

0.00Swaps and Options 0.00% 0.00%0 0.00%0.00% 0.00

0.00Other 0.00% 0.00%0 0.00%0.00% 0.00

TOTAL ACCOUNT 6.3232,142,629 6.78100% 100% 100% 100%

Market Value Portfolio Index

% Market Value

Portfolio Index Portfolio Index

Duration % Duration

Cash and Equivalents (9.62)%(3,092,655) 0.38% 0.00%0.00% 0.30 0.00

0.00Cash (18.10)% (0.03)%(5,817,809) 0.00%0.00% 0.00

0.00T-Bill 8.35% 0.41%2,684,154 0.00%0.00% 0.31

0.00Agency Discount Note 0.00% 0.00%0 0.00%0.00% 0.00

0.00UST Cash Equivalent 0.00% 0.00%0 0.00%0.00% 0.00

0.00TIPS Cash Equivalent 0.00% 0.00%0 0.00%0.00% 0.00

0.00Agency Cash Equiv 0.00% 0.00%0 0.00%0.00% 0.00

0.00Other Cash Equiv 0.13% 0.00%41,000 0.00%0.00% 0.01

Government 40.14%12,902,365 41.71% 42.19%40.61% 6.57 7.04

7.14U.S. Treasury 38.86% 40.32%12,489,135 41.20%39.10% 6.56

0.00U.S. TIPs 0.27% 1.25%88,278 0.00%0.00% 28.72

3.88U.S. Agency 1.01% 0.14%324,952 0.77%1.35% 0.88

9.00Dev Mkts Sovereigns 0.00% 0.00%0 0.22%0.16% 0.00

Credit 26.19%8,417,183 29.69% 36.93%29.67% 7.17 8.44

24.77% 25.29%7,962,714Corporate Credit 32.46%27.20%6.94 8.70

9.58Industrial 11.42% 16.98%3,670,249 21.39%15.14% 9.40

10.85Utility 1.95% 1.95%626,006 3.37%2.11% 6.34

6.48Financial 11.41% 8.26%3,666,459 7.69%8.05% 4.58

0.95% 2.99%304,950Non Corporate Credit 2.49%1.79%11.91 5.64

3.97Foreign Agency 0.00% 0.00%0 0.38%0.65% 0.00

3.78Supranational 0.00% 0.00%0 0.77%1.37% 0.00

9.38Municipal 0.95% 1.79%304,950 1.35%0.97% 11.91

0.00% 0.00%0Bank Loan 0.00%0.00%0.00 0.00

0.47% 1.39%149,519Emerging Markets 1.98%0.70%9.55 9.67

0.00% 0.00%0Other 0.00%0.00%0.00 0.00



As of 12/31/2021


All market values include accrued interest3

Cusip Security Name Coupon Maturity PriceParOriginal

CostCostPrice Principal Accrued

% ofPortfolio Dur S&PMoodys Fitch

CreditQuality

CASH AND EQUIVALENTS

CASH

USD US DOLLAR (5,817,808.65)1.000 (5,817,808.65) 0.00 (18.10)% 0.01 AAA

TOTAL CASH (5,817,808.65) (5,817,808.65) 0.00 (18.10)% 0.00

T-BILL

912796L72 US TREASURY BILL2/10/2022

0.000 02/10/22 99.997895,000.00 894,797.8899.977 894,974.02 0.00 2.78% 0.11 AAA Aaa AA+ AAA

912796K99 US TREASURY BILL2/3/2022

0.000 02/03/22 99.998110,000.00 109,976.5099.979 109,997.63 0.00 0.34% 0.09 AAA Aaa AA+ AAA

912796Q36 US TREASURY BILL5/26/2022

0.000 05/26/22 99.9641,125,000.00 1,124,598.8899.964 1,124,597.81 0.00 3.50% 0.41 AAA Aaa AA+ AAA

912796J42 US TREASURY BILL6/16/2022

0.000 06/16/22 99.932330,000.00 329,798.1399.939 329,774.49 0.00 1.03% 0.46 AAA Aaa AA+ AAA

912796R43 US TREASURY BILL6/23/2022

0.000 06/23/22 99.915225,000.00 224,811.9499.916 224,809.70 0.00 0.70% 0.48 AAA Aaa AA+ AAA

TOTAL T-BILL 2,683,983.33 2,684,153.65 0.00 8.35% 0.31

OTHER CASH EQUIV

FUTURECOL FUTURES USD CASHCOLLATERAL

0.000 01/01/50 100.00041,000.00 41,000.00100.000 41,000.00 0.00 0.13% 0.01 AA

TOTAL OTHER CASH EQUIV 41,000.00 41,000.00 0.00 0.13% 0.01

(3,092,825.32) (3,092,655.00) 0.00 (9.62)%TOTAL CASH AND EQUIVALENTS 0.30

GOVERNMENT

U.S. TREASURY

912810SY5 US TREASURY N/B 2.250 05/15/41 105.035373,000.00 400,131.58107.274 391,779.32 1,089.63 1.22% 16.18 AAA Aaa AA+ AAA

912810TA6 US TREASURY N/B 1.750 08/15/41 96.93740,000.00 38,604.6996.512 38,774.84 264.40 0.12% 16.89 AAA Aaa AA+ AAA

912810TB4 US TREASURY N/B 1.875 11/15/51 99.2341,630,000.00 1,604,552.4498.439 1,617,520.31 3,968.06 5.04% 23.04 AAA Aaa AA+ AAA

912810TC2 US TREASURY N/B 2.000 11/15/41 101.04460,000.00 61,518.07102.530 60,626.37 155.80 0.19% 16.83 AAA Aaa AA+ AAA

91282CCZ2 US TREASURY N/B 0.875 09/30/26 98.283139,000.00 137,042.6998.592 136,612.81 310.75 0.43% 4.65 AAA Aaa AA+ AAA



As of 12/31/2021


Account Holdings Detail


4



As of 12/31/2021


Account Holdings Detail (continued)





CreditQuality

U.S. TREASURY

91282CDA6 US TREASURY N/B 0.250 09/30/23 99.305120,000.00 119,545.3199.621 119,165.63 76.65 0.37% 1.74 AAA Aaa AA+ AAA

91282CDD0 US TREASURY N/B 0.375 10/31/23 99.4301,770,000.00 1,765,661.2199.755 1,759,905.48 1,136.81 5.48% 1.82 AAA Aaa AA+ AAA

91282CDG3 US TREASURY N/B 1.125 10/31/26 99.3951,275,000.00 1,274,771.2399.982 1,267,290.84 2,456.66 3.95% 4.71 AAA Aaa AA+ AAA

91282CDJ7 US TREASURY N/B 1.375 11/15/31 98.766530,000.00 523,337.3998.743 523,457.81 946.17 1.63% 9.23 AAA Aaa AA+ AAA

91282CDK4 US TREASURY N/B 1.250 11/30/26 100.0002,010,000.00 2,008,320.5299.916 2,010,000.00 2,208.79 6.26% 4.78 AAA Aaa AA+ AAA

91282CDM0 US TREASURY N/B 0.500 11/30/23 99.6272,625,000.00 2,618,200.9099.741 2,615,207.52 1,153.85 8.14% 1.90 AAA Aaa AA+ AAA

91282CDQ1 US TREASURY N/B 1.250 12/31/26 99.9761,120,000.00 1,119,322.6599.940 1,119,732.32 38.67 3.48% 4.86 AAA Aaa AA+ AAA

91282CDR9 US TREASURY N/B 0.750 12/31/23 100.029815,000.00 814,971.4399.997 815,238.77 16.89 2.54% 1.98 AAA Aaa AA+ AAA

TOTAL U.S. TREASURY 12,485,980.11 12,475,312.02 13,823.13 38.86% 6.56

U.S. TIPS

912810SV1 TSY INFL IX N/B 0.125 02/15/51 118.69274,346.30 82,264.46113.045 88,242.90 35.12 0.27% 28.72 AAA Aaa AA+ AAA

TOTAL U.S. TIPS 82,264.46 88,242.90 35.12 0.27% 28.72

U.S. AGENCY

3130APYA7 FEDERAL HOME LOANBANK

1.040 06/14/24 99.936325,000.00 325,000.00100.000 324,792.63 159.61 1.01% 0.88 AAA Aaa AA+ AAA

TOTAL U.S. AGENCY 325,000.00 324,792.63 159.61 1.01% 0.88

12,893,244.57 12,888,347.55 14,017.86 40.14%TOTAL GOVERNMENT 6.57

CREDIT

CORPORATE CREDIT

INDUSTRIAL

00287YAR0 ABBVIE INC 4.500 05/14/35 119.81455,000.00 67,468.65122.670 65,897.60 323.13 0.21% 10.19 BBB+ Baa2 BBB+

00287YAW9 ABBVIE INC 4.450 05/14/46 121.09410,000.00 8,761.8087.618 12,109.40 58.10 0.04% 15.83 BBB+ Baa2 BBB+

00287YDA4 ABBVIE INC 4.850 06/15/44 125.60225,000.00 30,019.50120.078 31,400.45 53.89 0.10% 14.77 BBB+ Baa2 BBB+

023135CA2 AMAZON.COM INC 2.875 05/12/41 104.04135,000.00 34,405.3598.301 36,414.26 136.96 0.11% 15.08 AA- A1 AA AA-

5



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

INDUSTRIAL

03522AAH3 ANHEUSER-BUSCHCO/INBEV

4.700 02/01/36 120.99213,000.00 14,849.64114.228 15,728.96 254.58 0.05% 10.43 BBB+ Baa1 BBB+ BBB

03522AAJ9 ANHEUSER-BUSCHCO/INBEV

4.900 02/01/46 126.68570,000.00 89,035.10127.193 88,679.25 1,429.17 0.28% 15.16 BBB+ Baa1 BBB+ BBB

037833AL4 APPLE INC 3.850 05/04/43 117.1545,000.00 5,867.80117.356 5,857.71 30.48 0.02% 15.37 AAA Aaa AA+

037833BX7 APPLE INC 4.650 02/23/46 132.74325,000.00 24,855.7599.423 33,185.71 413.33 0.10% 15.80 AAA Aaa AA+

00206RBH4 AT&T INC 4.300 12/15/42 111.67430,000.00 30,516.30101.721 33,502.28 57.33 0.10% 14.33 BBB Baa2 BBB BBB+

00206RCQ3 AT&T INC 4.750 05/15/46 121.05620,000.00 23,401.05117.005 24,211.20 121.39 0.08% 15.40 BBB Baa2 BBB BBB+

00206RDR0 AT&T INC 5.250 03/01/37 123.83770,000.00 69,670.3099.529 86,685.90 1,225.00 0.27% 10.78 BBB Baa2 BBB BBB+

00206RKJ0 AT&T INC 3.500 09/15/53 101.30316,000.00 15,897.6199.360 16,208.48 164.89 0.05% 19.00 BBB Baa2 BBB BBB+

00206RMM1 AT&T INC 2.550 12/01/33 97.91799,000.00 100,422.22101.437 96,937.49 210.38 0.30% 10.15 BBB Baa2 BBB BBB+

00206RMN9 AT&T INC 3.800 12/01/57 104.46366,000.00 68,268.06103.437 68,945.60 209.00 0.22% 19.79 BBB Baa2 BBB BBB+

067316AE9 BACARDI LTD 4.450 05/15/25 108.44745,000.00 50,199.30111.554 48,801.21 255.88 0.15% 3.03 BBB- Baa3 BBB- BBB-

05526DBB0 BAT CAPITAL CORP 3.557 08/15/27 105.04710,000.00 11,142.70111.427 10,504.70 134.38 0.03% 4.94 BBB Baa2 BBB+ BBB

05526DBD6 BAT CAPITAL CORP 4.390 08/15/37 105.54330,000.00 31,216.20104.054 31,663.03 497.53 0.10% 11.23 BBB Baa2 BBB+ BBB

05526DBF1 BAT CAPITAL CORP 4.540 08/15/47 104.82535,000.00 34,521.7598.634 36,688.73 600.29 0.12% 15.17 BBB Baa2 BBB+ BBB

05526DBS3 BAT CAPITAL CORP 2.726 03/25/31 97.17015,000.00 15,000.00100.000 14,575.50 109.04 0.05% 7.98 BBB Baa2 BBB+ BBB

07274NAJ2 BAYER US FINANCE II LLC 4.250 12/15/25 108.25660,000.00 60,110.40100.184 64,953.73 113.33 0.20% 3.56 BBB Baa2 BBB BBB+

07274NAL7 BAYER US FINANCE II LLC 4.375 12/15/28 111.79430,000.00 32,357.10107.857 33,538.13 58.33 0.10% 5.96 BBB Baa2 BBB BBB+

07274NAN3 BAYER US FINANCE II LLC 4.625 06/25/38 116.9735,000.00 5,457.05109.141 5,848.65 3.85 0.02% 11.96 BBB Baa2 BBB BBB+

07274NAQ6 BAYER US FINANCE II LLC 4.875 06/25/48 123.19965,000.00 70,726.05108.809 80,079.14 52.81 0.25% 16.10 BBB Baa2 BBB BBB+

075887BV0 BECTON DICKINSON ANDCO

3.363 06/06/24 104.71914,000.00 13,462.8296.163 14,660.59 32.70 0.05% 2.22 BBB- Baa3 BBB BBB-

08576PAH4 BERRY GLOBAL INC 1.570 01/15/26 97.93775,000.00 74,188.2098.918 73,452.75 542.96 0.23% 3.86 BBB- Ba1 BBB- BBB-

097023CT0 BOEING CO 4.875 05/01/25 109.53615,000.00 16,804.35112.029 16,430.40 121.88 0.05% 3.03 BBB- Baa2 BBB- BBB-

097023DE2 BOEING CO 1.433 02/04/24 99.93850,000.00 50,164.50100.329 49,969.00 292.57 0.16% 1.05 BBB- Baa2 BBB- BBB-

11135FAS0 BROADCOM INC 4.300 11/15/32 112.79715,000.00 16,856.55112.377 16,919.53 82.42 0.05% 8.70 BBB- Baa3 BBB- BBB-

14987BAE3 CC HOLDINGS GS VLLC/CRO

3.849 04/15/23 103.51410,000.00 10,479.60104.796 10,351.40 81.26 0.03% 1.25 BBB Baa2 BBB- BBB+

6



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

INDUSTRIAL

161175BJ2 CHARTER COMM OPTLLC/CAP

3.750 02/15/28 107.21690,000.00 82,649.7091.833 96,493.97 1,275.00 0.30% 5.33 BBB- Ba1 BBB- BBB-

161175BL7 CHARTER COMM OPTLLC/CAP

5.375 05/01/47 119.86415,000.00 17,391.15115.941 17,979.60 134.38 0.06% 14.77 BBB- Ba1 BBB- BBB-

161175BT0 CHARTER COMM OPTLLC/CAP

4.800 03/01/50 112.70725,000.00 27,626.00110.504 28,176.65 400.00 0.09% 15.96 BBB- Ba1 BBB- BBB-

125523AG5 CIGNA CORP 4.125 11/15/25 109.44235,000.00 34,970.9599.917 38,304.75 184.48 0.12% 3.49 BBB+ Baa1 A- BBB

125523CQ1 CIGNA CORP 3.400 03/15/51 105.4115,000.00 5,004.60100.092 5,270.55 50.06 0.02% 18.66 BBB+ Baa1 A- BBB

20268JAB9 COMMONSPIRIT HEALTH 3.347 10/01/29 106.35215,000.00 15,795.27105.302 15,952.84 125.51 0.05% 6.60 BBB+ Baa1 A- BBB+

20268JAF0 COMMONSPIRIT HEALTH 2.782 10/01/30 102.61435,000.00 35,847.65102.422 35,914.90 243.43 0.11% 7.52 BBB+ Baa1 A- BBB+

126650CN8 CVS HEALTH CORP 5.125 07/20/45 130.29320,000.00 23,107.40115.537 26,058.51 458.40 0.08% 14.80 BBB Baa2 BBB

126650CZ1 CVS HEALTH CORP 5.050 03/25/48 130.92560,000.00 64,554.85107.591 78,555.00 808.00 0.25% 15.96 BBB Baa2 BBB

29273RBF5 ENERGY TRANSFER LP 5.150 03/15/45 113.83455,000.00 54,874.6099.772 62,608.80 834.01 0.20% 14.04 BBB- Baa3 BBB- BBB-

29278NAR4 ENERGY TRANSFER LP 5.000 05/15/50 115.34661,000.00 64,985.71106.534 70,361.06 389.72 0.22% 15.97 BBB- Baa3 BBB- BBB-

30231GAZ5 EXXON MOBILCORPORATION

3.095 08/16/49 102.34325,000.00 25,263.95101.056 25,585.62 290.16 0.08% 18.50 AA Aa2 AA-

30231GBF8 EXXON MOBILCORPORATION

4.227 03/19/40 118.2705,000.00 5,000.00100.000 5,913.52 59.88 0.02% 13.17 AA Aa2 AA-

30231GBG6 EXXON MOBILCORPORATION

4.327 03/19/50 123.09210,000.00 10,000.00100.000 12,309.16 122.60 0.04% 17.40 AA Aa2 AA-

345397XA6 FORD MOTOR CREDIT COLLC

3.219 01/09/22 100.12730,000.00 30,248.10100.827 30,038.10 461.39 0.09% 0.02 BB+ Ba2 BB+ BB+

345397YJ6 FORD MOTOR CREDIT COLLC

1.490 03/28/22 99.9565,000.00 4,952.0099.040 4,997.78 0.62 0.02% 0.23 BB+ Ba2 BB+ BB+

345397YP2 FORD MOTOR CREDIT COLLC

1.221 08/03/22 100.30235,000.00 34,686.4099.104 35,105.63 70.03 0.11% 0.09 BB+ Ba2 BB+ BB+

35805BAC2 FRESENIUS MED CARE III 1.875 12/01/26 99.12035,000.00 35,148.75100.425 34,692.00 54.69 0.11% 4.66 BBB- Baa3 BBB BBB-

37045XAW6 GENERAL MOTORS FINLCO

3.450 04/10/22 100.3095,000.00 5,122.85102.457 5,015.45 38.81 0.02% 0.11 BBB- Baa3 BBB BBB-

37045XBY1 GENERAL MOTORS FINLCO

3.150 06/30/22 101.05730,000.00 30,593.60101.979 30,317.23 2.63 0.09% 0.41 BBB- Baa3 BBB BBB-

37045XCU8 GENERAL MOTORS FINLCO

3.550 07/08/22 101.46415,000.00 15,449.85102.999 15,219.55 255.90 0.05% 0.51 BBB- Baa3 BBB BBB-

7



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

INDUSTRIAL

37940XAF9 GLOBAL PAYMENTS INC 1.500 11/15/24 100.05950,000.00 49,965.0099.930 50,029.50 81.25 0.16% 2.78 BBB- Baa3 BBB-

361841AF6 GLP CAPITAL LP / FIN II 5.375 11/01/23 106.23015,000.00 16,401.15109.341 15,934.50 134.38 0.05% 1.53 BBB- Ba1 BBB- BBB-

361841AH2 GLP CAPITAL LP / FIN II 5.375 04/15/26 111.48750,000.00 51,687.55103.375 55,743.50 567.36 0.18% 3.69 BBB- Ba1 BBB- BBB-

361841AL3 GLP CAPITAL LP / FIN II 5.300 01/15/29 113.69850,000.00 52,172.00104.344 56,848.75 1,221.94 0.18% 5.74 BBB- Ba1 BBB- BBB-

404119BN8 HCA INC 5.000 03/15/24 107.60530,000.00 33,206.75110.689 32,281.50 441.67 0.10% 2.08 BBB- Baa3 BBB- BBB-

404119BQ1 HCA INC 5.250 04/15/25 110.70920,000.00 20,650.00103.250 22,141.77 221.67 0.07% 3.03 BBB- Baa3 BBB- BBB-

404119BT5 HCA INC 5.250 06/15/26 112.55825,000.00 28,490.00113.960 28,139.50 58.33 0.09% 3.70 BBB- Baa3 BBB- BBB-

404119BX6 HCA INC 4.125 06/15/29 110.37749,000.00 54,235.65110.685 54,084.73 89.83 0.17% 6.37 BBB- Baa3 BBB- BBB-

404119BY4 HCA INC 5.125 06/15/39 123.98815,000.00 14,862.9099.086 18,598.20 34.17 0.06% 12.22 BBB- Baa3 BBB- BBB-

404119BZ1 HCA INC 5.250 06/15/49 128.67420,000.00 20,210.40101.052 25,734.84 46.67 0.08% 16.08 BBB- Baa3 BBB- BBB-

404119CC1 HCA INC 2.375 07/15/31 98.52415,000.00 14,835.1598.901 14,778.60 179.11 0.05% 8.33 BBB- Baa3 BBB- BBB-

42809HAD9 HESS CORP 5.600 02/15/41 123.77220,000.00 24,336.80121.684 24,754.40 423.11 0.08% 12.52 BBB- Ba1 BBB- BBB-

44962LAC1 IHS MARKIT LTD 4.000 03/01/26 108.33320,000.00 22,613.00113.065 21,666.50 266.67 0.07% 3.67 BBB Ba1 BBB

44962LAF4 IHS MARKIT LTD 4.750 08/01/28 116.26545,000.00 44,832.6099.628 52,319.03 890.63 0.17% 5.54 BBB Ba1 BBB

44962LAH0 IHS MARKIT LTD 3.625 05/01/24 105.13420,000.00 21,541.40107.707 21,026.80 120.83 0.07% 2.17 BBB Ba1 BBB

45262BAA1 IMPERIAL BRANDS FINPLC

3.125 07/26/24 103.45380,000.00 85,327.20106.659 82,762.40 1,076.39 0.26% 2.39 BBB Baa3 BBB BBB

458140BW9 INTEL CORP 3.050 08/12/51 102.64246,000.00 45,856.4899.688 47,215.32 541.71 0.15% 19.44 A+ A1 A+ A+

459506AL5 INTL FLAVOR &FRAGRANCES

5.000 09/26/48 128.85940,000.00 42,208.00105.520 51,543.44 527.78 0.16% 16.10 BBB Baa3 BBB BBB

459506AQ4 INTL FLAVOR &FRAGRANCES

2.300 11/01/30 98.13410,000.00 10,040.20100.402 9,813.38 38.33 0.03% 7.86 BBB Baa3 BBB BBB

46590XAD8 JBS USA/FOOD/FINANCE 3.000 05/15/32 99.75035,000.00 34,548.1598.709 34,912.50 87.50 0.11% 8.79 BBB- Baa3 BB+ BBB-

50076QAE6 KRAFT HEINZ FOODS CO 5.000 06/04/42 124.66710,000.00 10,364.60103.646 12,466.65 37.50 0.04% 13.87 BB+ Baa3 BB+ BB+

50077LAM8 KRAFT HEINZ FOODS CO 5.200 07/15/45 127.44335,000.00 37,700.45107.716 44,604.96 839.22 0.14% 14.58 BB+ Baa3 BB+ BB+

50077LAZ9 KRAFT HEINZ FOODS CO 4.875 10/01/49 126.04035,000.00 34,915.8599.760 44,114.00 426.56 0.14% 16.49 BB+ Baa3 BB+ BB+

527298BP7 LEVEL 3 FINANCING INC 3.400 03/01/27 103.39410,000.00 10,655.40106.554 10,339.40 113.33 0.03% 4.63 BBB- Ba1 BBB- BBB-

527298BQ5 LEVEL 3 FINANCING INC 3.875 11/15/29 101.89470,000.00 73,813.10105.447 71,325.45 346.60 0.22% 6.67 BBB- Ba1 BBB- BBB-

8



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

INDUSTRIAL

68389XBX2 ORACLE CORP 3.600 04/01/50 98.10350,000.00 49,827.0099.654 49,051.37 450.00 0.15% 17.45 BBB+ Baa2 BBB+ BBB+

68389XCA1 ORACLE CORP 3.950 03/25/51 104.11250,000.00 49,912.5099.825 52,056.00 526.67 0.16% 17.39 BBB+ Baa2 BBB+ BBB+

761713BA3 REYNOLDS AMERICANINC

5.700 08/15/35 118.90335,000.00 42,020.65120.059 41,616.12 753.67 0.13% 9.56 BBB Baa2 BBB+ BBB

761713BB1 REYNOLDS AMERICANINC

5.850 08/15/45 121.7895,000.00 5,531.60110.632 6,089.45 110.50 0.02% 13.63 BBB Baa2 BBB+ BBB

77340RAM9 ROCKIES EXPRESSPIPELINE

6.875 04/15/40 113.29315,000.00 16,134.90107.566 16,993.95 217.71 0.05% 10.85 BB+ Ba2 BB+ BB+

77340RAR8 ROCKIES EXPRESSPIPELINE

4.950 07/15/29 107.48930,000.00 30,017.10100.057 32,246.70 684.75 0.10% 6.11 BB+ Ba2 BB+ BB+

822582AY8 SHELL INTERNATIONALFIN

4.550 08/12/43 125.27724,000.00 29,986.80124.945 30,066.48 421.63 0.09% 14.75 AA- Aa2 A+ AA-

85208NAD2 SPRINT SPECTRUM / SPECI

4.738 03/20/25 104.75248,750.00 52,583.99107.865 51,066.36 70.58 0.16% 1.50 A A2 BBB+

85208NAE0 SPRINT SPECTRUM / SPECI

5.152 03/20/28 110.398125,000.00 130,525.00104.420 137,996.86 196.78 0.43% 3.42 A A2 BBB+

87264AAX3 T-MOBILE USA INC 4.375 04/15/40 114.50540,000.00 39,210.0098.025 45,801.88 369.44 0.14% 12.99 BBB- Baa3 BBB- BBB-

87264ABD6 T-MOBILE USA INC 3.750 04/15/27 108.34830,000.00 32,856.30109.521 32,504.40 237.50 0.10% 4.72 BBB- Baa3 BBB- BBB-

87264ABF1 T-MOBILE USA INC 3.875 04/15/30 109.47380,000.00 85,129.65106.412 87,578.10 654.44 0.27% 7.00 BBB- Baa3 BBB- BBB-

87264ACB9 T-MOBILE USA INC 2.550 02/15/31 99.57717,000.00 17,390.95102.300 16,928.10 163.77 0.05% 7.97 BBB- Baa3 BBB- BBB-

90345WAA2 US AIRWAYS 2012-1A PTT 5.900 10/01/24 105.02791,094.20 92,916.08102.000 95,673.14 1,343.64 0.30% 2.10 BBB+ Ba1 BBB+ A

92343VGJ7 VERIZONCOMMUNICATIONS

2.550 03/21/31 101.11015,000.00 14,980.3599.869 15,166.50 106.25 0.05% 8.07 BBB+ Baa1 BBB+ A-

92343VGM0 VERIZONCOMMUNICATIONS

2.355 03/15/32 98.70595,000.00 94,751.9599.739 93,769.75 627.67 0.29% 8.91 BBB+ Baa1 BBB+ A-

92857WBS8 VODAFONE GROUP PLC 4.875 06/19/49 126.42672,000.00 77,483.28107.616 91,026.56 117.00 0.28% 16.67 BBB Baa2 BBB BBB

254687FZ4 WALT DISNEYCOMPANY/THE

3.600 01/13/51 113.38737,000.00 37,144.16100.390 41,953.16 621.60 0.13% 18.50 A- A2 BBB+ A-

TOTAL INDUSTRIAL 3,453,271.12 3,639,835.93 30,412.67 11.42% 9.40

UTILITY

00115AAH2 AEP TRANSMISSION COLLC

3.750 12/01/47 112.79135,000.00 38,351.95109.577 39,476.95 109.38 0.12% 17.21 A A2 A- A

9



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

UTILITY

030288AB0 AMERICANTRANSMISSION SY

5.000 09/01/44 128.63075,000.00 74,255.2599.007 96,472.63 1,250.00 0.30% 14.62 BBB A3 BBB BBB

25746UDE6 DOMINION ENERGY INC 3.300 03/15/25 104.71635,000.00 34,944.3599.841 36,650.76 340.08 0.12% 2.98 BBB Baa2 BBB BBB+

26442CAM6 DUKE ENERGY CAROLINAS 4.250 12/15/41 118.07850,000.00 49,936.5099.873 59,038.73 94.44 0.18% 14.15 AA- Aa3 A

26441CBL8 DUKE ENERGY CORP 2.550 06/15/31 100.08060,000.00 59,920.8099.868 60,048.00 68.00 0.19% 8.29 BBB Baa2 BBB

476556DD4 JERSEY CENTRAL PWR & LT 2.750 03/01/32 101.81820,000.00 19,945.2099.726 20,363.60 183.33 0.06% 8.71 BBB A3 BBB BBB

65339KBT6 NEXTERA ENERGYCAPITAL

0.430 02/22/23 99.87080,000.00 80,000.00100.000 79,896.00 38.19 0.25% 0.13 BBB+ Baa1 BBB+ A-

898813AL4 TUCSON ELECTRIC POWERCO

3.850 03/15/23 101.967225,000.00 224,268.7599.675 229,425.52 2,550.63 0.72% 0.96 A- A3 A-

TOTAL UTILITY 581,622.80 621,372.18 4,634.05 1.95% 6.34

FINANCIAL

00774MAD7 AERCAP IRELANDCAP/GLOBA

3.300 01/23/23 102.15520,000.00 20,640.80103.204 20,431.04 289.67 0.06% 0.96 BBB- Baa3 BBB BBB-

00774MAE5 AERCAP IRELANDCAP/GLOBA

3.875 01/23/28 106.30210,000.00 9,393.1093.931 10,630.18 170.07 0.03% 5.24 BBB- Baa3 BBB BBB-

00774MAF2 AERCAP IRELANDCAP/GLOBA

4.125 07/03/23 103.98925,000.00 26,575.00106.300 25,997.25 509.90 0.08% 1.37 BBB- Baa3 BBB BBB-

00774MAX3 AERCAP IRELANDCAP/GLOBA

3.300 01/30/32 102.01355,000.00 55,192.50100.350 56,107.15 312.58 0.18% 8.44 BBB- Baa3 BBB BBB-

00912XBE3 AIR LEASE CORP 3.500 01/15/22 100.08945,000.00 44,680.5099.290 45,039.95 726.25 0.14% 0.04 BBB BBB BBB

024836AD0 AMERICAN CAMPUSCMNTYS

3.625 11/15/27 106.81935,000.00 34,969.2099.912 37,386.79 162.12 0.12% 5.19 BBB Baa2 BBB

024836AH1 AMERICAN CAMPUSCMNTYS

2.250 01/15/29 99.00710,000.00 9,992.8099.928 9,900.70 52.50 0.03% 6.43 BBB Baa2 BBB

037389BE2 AON CORP 2.800 05/15/30 103.17850,000.00 51,466.00102.932 51,588.96 178.89 0.16% 7.36 BBB+ Baa2 A- BBB+

04316JAB5 ARTHUR J GALLAGHER &CO

3.050 03/09/52 97.19635,000.00 34,515.2598.615 34,018.72 154.19 0.11% 19.46 BBB Baa2 BBB BBB

04685A2X8 ATHENE GLOBALFUNDING

0.750 05/24/24 100.18545,000.00 45,000.00100.000 45,083.25 35.61 0.14% (0.01) A+ A+ A

04685A3C3 ATHENE GLOBALFUNDING

1.985 08/19/28 97.39735,000.00 34,786.8599.391 34,088.95 254.74 0.11% 6.17 A+ A+ A

05401AAF8 AVOLON HOLDINGSFNDG LTD

3.950 07/01/24 104.81110,000.00 10,459.90104.599 10,481.10 197.50 0.03% 2.33 BBB- Baa3 BBB- BBB-

10



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

FINANCIAL05401AAF8 AVOLON HOLDINGSFNDG LTD

3.950 07/01/24 104.81110,000.00 10,459.90104.599 10,481.10 197.50 0.03% 2.33 BBB- Baa3 BBB- BBB-

05401AAH4 AVOLON HOLDINGSFNDG LTD

2.875 02/15/25 102.21520,000.00 19,976.2099.881 20,443.00 217.22 0.06% 2.92 BBB- Baa3 BBB- BBB-

05401AAR2 AVOLON HOLDINGSFNDG LTD

2.528 11/18/27 97.20946,000.00 46,386.40100.840 44,715.95 138.90 0.14% 5.41 BBB- Baa3 BBB- BBB-

06051GHC6 BANK OF AMERICA CORP 3.004 12/20/23 102.090105,000.00 107,284.50102.176 107,194.40 96.38 0.33% 0.96 A A2 A- AA-

06051GHG7 BANK OF AMERICA CORP 3.970 03/05/29 109.70215,000.00 16,937.25112.915 16,455.36 191.88 0.05% 5.48 A A2 A- AA-

06051GHT9 BANK OF AMERICA CORP 3.559 04/23/27 106.99550,000.00 54,673.00109.346 53,497.44 336.13 0.17% 4.00 A A2 A- AA-

06051GHX0 BANK OF AMERICA CORP 2.884 10/22/30 103.35820,000.00 21,288.40106.442 20,671.69 110.55 0.06% 6.99 A A2 A- AA-

06051GJQ3 BANK OF AMERICA CORP 1.658 03/11/27 99.276125,000.00 125,551.65100.441 124,094.99 639.02 0.39% 4.03 A A2 A- AA-

06051GJZ3 BANK OF AMERICA CORP 2.087 06/14/29 99.46635,000.00 34,402.5598.293 34,813.10 36.52 0.11% 6.04 A A2 A- AA-

10112RBD5 BOSTON PROPERTIES LP 3.250 01/30/31 104.79420,000.00 19,970.0099.850 20,958.80 272.64 0.07% 7.70 BBB+ Baa1 BBB+

172967MP3 CITIGROUP INC 4.412 03/31/31 114.32130,000.00 34,138.50113.795 34,296.26 330.90 0.11% 6.99 A- A3 BBB+ A

172967NA5 CITIGROUP INC 1.462 06/09/27 98.25875,000.00 74,936.2599.915 73,693.50 70.05 0.23% 4.29 A- A3 BBB+ A

225401AC2 CREDIT SUISSE GROUP AG 4.282 01/09/28 108.80910,000.00 11,056.45110.565 10,880.90 204.58 0.03% 4.72 BBB+ Baa1 BBB+ A-

225401AQ1 CREDIT SUISSE GROUP AG 2.193 06/05/26 100.62495,000.00 97,179.55102.294 95,592.85 144.68 0.30% 3.30 BBB+ Baa1 BBB+ A-

225401AT5 CREDIT SUISSE GROUP AG 1.305 02/02/27 96.71560,000.00 58,616.8597.695 58,029.00 321.90 0.18% 3.95 BBB+ Baa1 BBB+ A-

22966RAH9 CUBESMART LP 2.250 12/15/28 100.38735,000.00 34,830.2599.515 35,135.45 67.81 0.11% 6.39 BBB Baa2 BBB

23283PAT1 CYRUSONE LP/CYRUSONEFIN

2.150 11/01/30 99.10155,000.00 54,130.8098.420 54,505.28 197.08 0.17% 7.92 BBB- Ba1 BBB- BBB-

23329PAF7 DNB BANK ASA 1.127 09/16/26 98.00450,000.00 49,432.5098.865 49,002.00 164.35 0.15% 3.62 A A2 A

30958PAA1 FARMERS EXCHANGE CAPII

6.151 11/01/53 126.59180,000.00 80,000.00100.000 101,272.77 820.13 0.32% 8.80 BBB+ Baa2 BBB+

38141GWQ3 GOLDMAN SACHS GROUPINC

3.272 09/29/25 104.80960,000.00 63,943.50106.573 62,885.43 501.71 0.20% 2.62 A A2 BBB+ A

38141GWT7 GOLDMAN SACHS GROUPINC

3.200 02/23/23 102.58330,000.00 30,785.40102.618 30,774.83 341.33 0.10% 1.04 A A2 BBB+ A

38141GXM1 GOLDMAN SACHS GROUPINC

1.093 12/09/26 97.49515,000.00 14,769.9098.466 14,624.25 10.47 0.05% 3.85 A A2 BBB+ A

38141GYA6 GOLDMAN SACHS GROUPINC

1.431 03/09/27 97.98885,000.00 85,000.00100.000 83,289.80 381.80 0.26% 4.04 A A2 BBB+ A

11



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

FINANCIAL

38141GYM0 GOLDMAN SACHS GROUPINC

1.948 10/21/27 99.70035,000.00 35,000.00100.000 34,895.00 134.47 0.11% 4.57 A A2 BBB+ A

38141GZE7 GOLDMAN SACHS GROUPINC

1.217 12/06/23 100.24780,000.00 80,000.00100.000 80,197.60 67.61 0.25% 1.44 A A2 BBB+ A

42225UAH7 HEALTHCARE TRUST OFAMER

2.000 03/15/31 94.74165,000.00 63,858.2098.243 61,581.51 382.78 0.19% 8.24 BBB Baa2 BBB

404280BX6 HSBC HOLDINGS PLC 4.292 09/12/26 107.97515,000.00 16,694.55111.297 16,196.30 194.93 0.05% 3.41 A- A3 A- A+

404280CL1 HSBC HOLDINGS PLC 2.013 09/22/28 97.97180,000.00 79,908.4099.886 78,376.80 447.33 0.25% 5.38 A- A3 A- A+

404280CM9 HSBC HOLDINGS PLC 1.589 05/24/27 97.85250,000.00 49,779.4099.559 48,926.15 83.86 0.15% 4.23 A- A3 A- A+

44409MAA4 HUDSON PACIFICPROPERTIE

3.950 11/01/27 107.23930,000.00 32,496.90108.323 32,171.65 197.50 0.10% 5.10 BBB- Baa2 BBB- BBB-

45866FAN4 INTERCONTINENTALEXCHANGE

1.850 09/15/32 96.01455,000.00 50,298.0591.451 52,807.80 299.60 0.17% 9.54 A- A3 A-

46647PBJ4 JPMORGAN CHASE & CO 4.493 03/24/31 115.85350,000.00 50,000.00100.000 57,926.67 611.55 0.18% 6.97 A A2 A- AA-

46647PBZ8 JPMORGAN CHASE & CO 0.697 03/16/24 99.87530,000.00 29,916.9099.723 29,962.50 61.57 0.09% 1.19 A A2 A- AA-

46647PCB0 JPMORGAN CHASE & CO 1.578 04/22/27 98.88950,000.00 50,000.00100.000 49,444.50 153.42 0.15% 4.15 A A2 A- AA-

46647PCK0 JPMORGAN CHASE & CO 0.969 06/23/25 99.11860,000.00 60,000.00100.000 59,470.80 14.53 0.19% 2.44 A A2 A- AA-

46647PCM6 JPMORGAN CHASE & CO 0.768 08/09/25 98.56830,000.00 30,000.00100.000 29,570.40 90.88 0.09% 2.56 A A2 A- AA-

46647PCT1 JPMORGAN CHASE & CO 1.561 12/10/25 100.21350,000.00 50,000.00100.000 50,106.50 47.70 0.16% 2.87 A A2 A- AA-

539439AP4 LLOYDS BANKING GROUPPLC

2.907 11/07/23 101.66215,000.00 15,282.45101.883 15,249.25 65.41 0.05% 0.84 A A2 BBB+ A

53944YAK9 LLOYDS BANKING GROUPPLC

2.858 03/17/23 100.39215,000.00 15,323.85102.159 15,058.81 123.85 0.05% 0.20 A A2 BBB+ A

53944YAL7 LLOYDS BANKING GROUPPLC

3.870 07/09/25 105.69895,000.00 95,000.00100.000 100,412.73 1,756.55 0.32% 2.37 A A2 BBB+ A

529537AA0 LXP INDUSTRIAL TRUST 2.375 10/01/31 95.95815,000.00 14,963.7099.758 14,393.70 119.74 0.05% 8.51 BBB Baa2 BBB- BBB

55608JAZ1 MACQUARIE GROUP LTD 2.871 01/14/33 99.78045,000.00 45,000.00100.000 44,900.78 276.33 0.14% 8.66 A- A3 BBB+ A-

55608JBA5 MACQUARIE GROUP LTD 1.201 10/14/25 99.18385,000.00 84,865.7099.842 84,305.36 215.51 0.26% 2.73 A- A3 BBB+ A-

61747YEA9 MORGAN STANLEY 0.790 05/30/25 98.74695,000.00 94,096.5599.049 93,808.67 62.54 0.29% 2.38 A A1 BBB+ A

61747YEG6 MORGAN STANLEY 1.164 10/21/25 99.19920,000.00 20,000.00100.000 19,839.80 47.21 0.06% 2.75 A A1 BBB+ A

61772BAB9 MORGAN STANLEY 1.593 05/04/27 99.01850,000.00 50,000.00100.000 49,509.00 128.33 0.15% 4.18 A A1 BBB+ A

12



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

FINANCIAL

63861VAA5 NATIONWIDE BLDGSOCIETY

3.766 03/08/24 103.028110,000.00 115,563.20105.058 113,330.71 1,300.32 0.36% 1.15 BBB+ Baa1 BBB+ A

63861VAC1 NATIONWIDE BLDGSOCIETY

4.363 08/01/24 104.76145,000.00 48,636.45108.081 47,142.44 818.06 0.15% 1.52 BBB+ Baa1 BBB+ A

638671AJ6 NATIONWIDE MUTUALINSURA

2.493 12/15/24 100.121105,000.00 105,000.00100.000 105,127.44 123.60 0.33% 0.08 A- A-

780097BK6 NATWEST GROUP PLC 4.269 03/22/25 105.93060,000.00 65,029.80108.383 63,558.00 704.39 0.20% 2.11 BBB+ Baa1 BBB A

64952GAT5 NEW YORK LIFEINSURANCE

3.750 05/15/50 114.10330,000.00 32,853.90109.513 34,230.90 143.75 0.11% 18.18 AA Aa2 AA- AA

70014LAB6 PARK AEROSPACEHOLDINGS

5.500 02/15/24 107.2885,000.00 5,533.00110.660 5,364.40 103.89 0.02% 1.98 BBB- Baa3 BBB- BBB-

70014LAC4 PARK AEROSPACEHOLDINGS

4.500 03/15/23 103.23925,000.00 25,981.15103.925 25,809.85 331.25 0.08% 1.09 BBB- Baa3 BBB- BBB-

754730AF6 RAYMOND JAMESFINANCIAL

4.950 07/15/46 128.42210,000.00 9,687.4096.874 12,842.20 228.25 0.04% 15.43 BBB+ Baa1 BBB+ A-

80281LAJ4 SANTANDER UK GROUPHLDGS

4.796 11/15/24 106.18260,000.00 65,676.25109.460 63,708.89 367.69 0.20% 1.80 BBB+ Baa1 BBB A

80281LAM7 SANTANDER UK GROUPHLDGS

1.532 08/21/26 98.45240,000.00 40,126.60100.317 39,380.95 221.29 0.12% 3.51 BBB+ Baa1 BBB A

80281LAQ8 SANTANDER UK GROUPHLDGS

1.673 06/14/27 98.08950,000.00 50,013.50100.027 49,044.50 41.83 0.15% 4.28 BBB+ Baa1 BBB A

80283LAA1 SANTANDER UK PLC 5.000 11/07/23 106.45310,000.00 10,820.20108.202 10,645.30 75.00 0.03% 1.77 BBB+ Baa1 BBB- BBB+

878091BF3 TEACHERS INSUR &ANNUITY

4.270 05/15/47 120.6955,000.00 5,926.50118.530 6,034.76 27.28 0.02% 16.46 AA- Aa3 AA- AA

878091BG1 TEACHERS INSUR &ANNUITY

3.300 05/15/50 104.56355,000.00 54,833.0099.696 57,509.80 231.92 0.18% 18.62 AA- Aa3 AA- AA

91324PEE8 UNITEDHEALTH GROUPINC

3.050 05/15/41 104.63835,000.00 34,849.5099.570 36,623.44 136.40 0.11% 14.88 A A3 A+ A

92277GAT4 VENTAS REALTY LP 2.650 01/15/25 103.34875,000.00 74,590.5099.454 77,511.00 916.46 0.24% 2.85 BBB+ Baa1 BBB+ BBB+

95000U2A0 WELLS FARGO &COMPANY

3.584 05/22/28 107.58215,000.00 16,243.20108.288 16,137.24 58.24 0.05% 4.93 A+ A1 BBB+ A+

95000U2N2 WELLS FARGO &COMPANY

2.188 04/30/26 101.843130,000.00 134,921.80103.786 132,395.84 474.07 0.41% 3.20 A+ A1 BBB+ A+

95000U2S1 WELLS FARGO &COMPANY

2.393 06/02/28 101.70635,000.00 35,000.00100.000 35,597.24 69.80 0.11% 5.09 A+ A1 BBB+ A+

970648AJ0 WILLIS NORTH AMERICAINC

2.950 09/15/29 102.47765,000.00 66,974.80103.038 66,609.71 564.60 0.21% 6.76 BBB Baa3 BBB BBB

13



As of 12/31/2021







CreditQuality

CORPORATE CREDIT

FINANCIAL970648AJ0 WILLIS NORTH AMERICAINC

2.950 09/15/29 102.47765,000.00 66,974.80103.038 66,609.71 564.60 0.21% 6.76 BBB Baa3 BBB BBB

TOTAL FINANCIAL 3,623,707.20 3,645,297.98 21,161.33 11.41% 4.58

TOTAL CORPORATE CREDIT 7,658,601.12 7,906,506.08 56,208.05 24.77% 6.94

NON CORPORATE CREDIT

MUNICIPAL

544525NZ7 LA DWP 6.008 07/01/39 132.696100,000.00 124,307.00124.307 132,696.16 3,004.00 0.42% 8.59 AA Aa2 AA+ AA

59261AG76 MET TRANSPRTN AUTHNY

5.175 11/15/49 136.4895,000.00 5,109.10102.182 6,824.46 33.06 0.02% 16.44 A- A3 BBB+ A-

64966QRP7 NYC -TXBL -REF -D 1.823 08/01/30 98.09830,000.00 30,000.00100.000 29,429.50 227.88 0.09% 7.89 AA Aa2 AA AA-

64971M4P4 NYC FIN AUTH 5.508 08/01/37 131.57550,000.00 63,200.50126.401 65,787.51 1,147.50 0.21% 9.61 AAA Aa1 AAA AAA

913366KC3 UNIV OF CALIFORNIA CA 3.256 05/15/60 109.25060,000.00 60,000.00100.000 65,550.18 249.63 0.20% 22.45 AA- Aa3 AA- AA-

TOTAL MUNICIPAL 282,616.60 300,287.80 4,662.06 0.95% 11.91

TOTAL NON CORPORATE CREDIT 282,616.60 300,287.80 4,662.06 0.95% 11.91

EMERGING MARKETS

71654QCC4 PETROLEOS MEXICANOS 6.750 09/21/47 88.948100,000.00 89,243.7589.244 88,947.50 1,875.00 0.28% 11.15 BB- Ba3 BBB BB-

71654QDF6 PETROLEOS MEXICANOS 6.950 01/28/60 88.87510,000.00 7,390.8573.909 8,887.50 295.38 0.03% 11.70 BB- Ba3 BBB BB-

88032WAN6 TENCENT HOLDINGS LTD 3.975 04/11/29 109.14645,000.00 49,070.70109.046 49,115.70 397.50 0.15% 6.22 A+ A1 A+ A+

TOTAL EMERGING MARKETS 145,705.30 146,950.70 2,567.88 0.47% 9.55

8,086,923.02 8,353,744.58 63,437.99 26.19%TOTAL CREDIT 7.17

MORTGAGE BACKED

AGENCY MBS

PASS THROUGH

14



As of 12/31/2021







CreditQuality

AGENCY MBS

PASS THROUGH

3128KRVU5 FG A61527 5.000 07/01/36 111.32212,166.25 12,424.78102.125 13,543.69 50.69 0.04% 3.60 AAA Aaa AA+ AAA

3128M8MJ0 FG G06361 4.000 03/01/41 111.22244,007.05 43,312.5798.422 48,945.64 146.69 0.15% 4.40 AAA Aaa AA+ AAA

3128MAD63 FG G07925 4.000 02/01/45 110.09834,563.27 36,500.37105.605 38,053.30 115.21 0.12% 4.70 AAA Aaa AA+ AAA

3128MJX47 FG G08698 3.500 03/01/46 106.4463,693.76 3,870.94104.797 3,931.86 10.77 0.01% 3.34 AAA Aaa AA+ AAA

3128MJYH7 FG G08711 3.500 06/01/46 106.64041,476.85 43,613.88105.152 44,230.89 120.97 0.14% 3.51 AAA Aaa AA+ AAA

3128MJYT1 FG G08721 3.000 09/01/46 104.78343,052.46 44,656.83103.727 45,111.61 107.63 0.14% 3.64 AAA Aaa AA+ AAA

3128MJYY0 FG G08726 3.000 10/01/46 104.78354,037.71 56,047.23103.719 56,622.27 135.09 0.18% 3.66 AAA Aaa AA+ AAA

3128MJZM5 FG G08747 3.000 02/01/47 104.78310,817.17 10,955.76101.281 11,334.54 27.04 0.04% 3.97 AAA Aaa AA+ AAA

3128MJZQ6 FG G08750 3.000 03/01/47 104.78317,283.59 17,348.40100.375 18,110.24 43.21 0.06% 3.76 AAA Aaa AA+ AAA

3128MJ3E8 FG G08796 3.500 01/01/48 106.03913,576.72 13,914.02102.484 14,396.63 39.60 0.04% 2.87 AAA Aaa AA+ AAA

3128MJ3J7 FG G08800 3.500 02/01/48 106.03916,195.41 16,042.3299.055 17,173.47 47.24 0.05% 3.03 AAA Aaa AA+ AAA

3128MJ4A5 FG G08816 3.500 06/01/48 105.62422,241.41 21,863.4898.301 23,492.22 64.87 0.07% 2.94 AAA Aaa AA+ AAA

3128MJ4T4 FG G08833 5.000 07/01/48 108.8567,579.66 8,006.61105.633 8,250.95 31.58 0.03% 3.37 AAA Aaa AA+ AAA

3128MJ5D8 FG G08843 4.500 10/01/48 107.3389,097.60 9,405.18103.381 9,765.20 34.12 0.03% 3.31 AAA Aaa AA+ AAA

3128MFVV7 FG G16728 2.500 11/01/31 103.73533,273.99 33,258.3999.953 34,516.82 69.32 0.11% 2.79 AAA Aaa AA+ AAA

3128MFWR5 FG G16756 3.500 01/01/34 106.15525,827.92 26,296.05101.813 27,417.67 75.33 0.09% 2.40 AAA Aaa AA+ AAA

3128MMYK3 FG G18713 3.500 11/01/33 105.30421,237.67 21,578.63101.605 22,364.13 61.94 0.07% 1.82 AAA Aaa AA+ AAA

31335AJX7 FG G60278 4.000 10/01/45 110.08437,627.02 40,460.80107.531 41,421.13 125.42 0.13% 4.71 AAA Aaa AA+ AAA

31335APZ5 FG G60440 3.500 03/01/46 107.669102,327.97 106,117.31103.703 110,175.25 298.46 0.34% 4.51 AAA Aaa AA+ AAA

31335AWU8 FG G60659 3.500 08/01/46 107.20026,138.54 27,049.31103.484 28,020.52 76.24 0.09% 4.22 AAA Aaa AA+ AAA

31335B6A9 FG G61765 4.000 02/01/48 107.12311,964.98 12,424.88103.844 12,817.28 39.88 0.04% 3.39 AAA Aaa AA+ AAA

3132XCRY3 FG G67703 3.500 04/01/47 107.45046,547.27 48,292.79103.750 50,015.04 135.76 0.16% 4.63 AAA Aaa AA+ AAA

3132XCR31 FG G67706 3.500 12/01/47 107.38865,512.47 66,435.14101.408 70,352.21 191.08 0.22% 4.46 AAA Aaa AA+ AAA





15



As of 12/31/2021







CreditQuality

AGENCY MBS

PASS THROUGH

3132XCSA4 FG G67713 4.000 06/01/48 108.66518,625.33 19,016.82102.102 20,239.23 62.08 0.06% 4.00 AAA Aaa AA+ AAA

3132XCSF3 FG G67718 4.000 01/01/49 108.20327,385.28 28,062.43102.473 29,631.62 91.28 0.09% 3.75 AAA Aaa AA+ AAA

3132GLQN7 FG Q05261 3.500 12/01/41 108.43041,957.24 43,094.67102.711 45,494.14 122.38 0.14% 4.46 AAA Aaa AA+ AAA

3132JMFT1 FG Q20178 3.500 07/01/43 109.45484,414.32 84,717.68100.359 92,395.19 246.21 0.29% 4.79 AAA Aaa AA+ AAA

31390TVV8 FN 655928 7.000 08/01/32 117.23817,765.79 18,942.78106.625 20,828.33 103.63 0.07% 3.09 AAA Aaa AA+ AAA

31416WYK2 FN AB1613 4.000 10/01/40 109.99449,454.50 50,381.77101.875 54,396.99 164.85 0.17% 4.30 AAA Aaa AA+ AAA

31418RHG9 FN AD3830 4.500 04/01/25 104.31113,830.52 14,401.02104.125 14,426.70 51.86 0.05% 1.17 AAA Aaa AA+ AAA

3140J86J7 FN BM4472 3.500 07/01/48 107.19823,948.29 25,063.38104.656 25,672.07 69.85 0.08% 4.58 AAA Aaa AA+ AAA

3140Q8J48 FN CA1182 3.500 02/01/48 106.97936,236.89 37,881.71104.539 38,765.93 105.69 0.12% 4.06 AAA Aaa AA+ AAA

3140Q8J97 FN CA1187 3.500 02/01/48 106.0045,722.69 5,748.84100.457 6,066.25 16.69 0.02% 3.24 AAA Aaa AA+ AAA

3140Q83U7 FN CA1710 4.500 05/01/48 107.45235,419.49 36,830.73103.984 38,058.81 132.82 0.12% 3.40 AAA Aaa AA+ AAA

3140Q83V5 FN CA1711 4.500 05/01/48 107.63817,119.63 17,678.69103.266 18,427.24 64.20 0.06% 3.45 AAA Aaa AA+ AAA

3140Q9N25 FN CA2208 4.500 08/01/48 107.43116,545.18 17,162.40103.731 17,774.62 62.04 0.06% 3.37 AAA Aaa AA+ AAA

3140QBBB3 FN CA3633 3.500 06/01/49 107.39579,564.11 84,760.64106.531 85,447.75 232.06 0.27% 4.41 AAA Aaa AA+ AAA

31418AXN3 FN MA1584 3.500 09/01/33 106.69520,004.25 20,685.65103.406 21,343.57 58.35 0.07% 2.76 AAA Aaa AA+ AAA

31418CDL5 FN MA2806 3.000 11/01/46 104.74227,987.80 28,092.75100.375 29,314.86 69.97 0.09% 3.78 AAA Aaa AA+ AAA

31418CKH6 FN MA2995 4.000 05/01/47 107.77813,746.83 14,461.56105.199 14,816.07 45.82 0.05% 3.27 AAA Aaa AA+ AAA

31418CLK8 FN MA3029 3.000 06/01/32 104.87616,496.59 16,912.87102.523 17,300.88 41.24 0.05% 2.35 AAA Aaa AA+ AAA

31418CNE0 FN MA3088 4.000 08/01/47 107.09038,700.12 40,845.26105.543 41,444.05 129.00 0.13% 3.17 AAA Aaa AA+ AAA

31418CR89 FN MA3210 3.500 12/01/47 106.05050,687.54 50,408.3699.449 53,754.08 147.84 0.17% 3.10 AAA Aaa AA+ AAA

31418CUV4 FN MA3295 3.500 02/01/28 105.26344,520.94 45,884.40103.063 46,863.97 129.85 0.15% 1.86 AAA Aaa AA+ AAA

31418DHY1 FN MA3846 3.000 11/01/49 101.45321,142.20 21,261.13100.563 21,449.41 52.86 0.07% 4.82 AAA Aaa AA+ AAA

31418DTJ1 FN MA4152 2.000 10/01/40 101.165127,598.53 131,755.46103.258 129,084.92 212.66 0.40% 4.27 AAA Aaa AA+ AAA

31418DUA8 FN MA4176 2.000 11/01/40 101.163114,810.18 118,366.61103.098 116,145.30 191.35 0.36% 4.27 AAA Aaa AA+ AAA

31418DY71 FN MA4333 2.000 05/01/41 101.19347,095.27 47,864.25101.633 47,657.03 78.49 0.15% 4.64 AAA Aaa AA+ AAA

3132DMHG3 FR SD0231 3.000 01/01/50 105.15498,682.55 104,510.98105.906 103,768.55 246.71 0.32% 4.75 AAA Aaa AA+ AAA

31329NU48 FR ZA5103 3.500 12/01/47 106.0134,830.56 5,109.08105.766 5,121.00 14.09 0.02% 3.01 AAA Aaa AA+ AAA

16



As of 12/31/2021







CreditQuality

AGENCY MBS

PASS THROUGH

3131XU6Q5 FR ZM1779 3.000 09/01/46 104.739110,099.14 116,395.44105.719 115,316.79 275.25 0.36% 3.95 AAA Aaa AA+ AAA

3132ADRY6 FR ZT1403 3.500 11/01/33 105.6706,717.27 6,906.20102.813 7,098.11 19.59 0.02% 2.10 AAA Aaa AA+ AAA

36179R4E6 G2 MA3521 3.500 03/20/46 105.57112,689.45 13,442.89105.938 13,396.33 37.01 0.04% 3.74 AAA Aaa AA+ AAA

36179SB71 G2 MA3662 3.000 05/20/46 104.57026,197.44 27,724.26105.828 27,394.69 65.49 0.09% 3.65 AAA Aaa AA+ AAA

36179SLS4 G2 MA3937 3.500 09/20/46 105.41461,878.72 63,860.77103.203 65,229.06 180.48 0.20% 3.58 AAA Aaa AA+ AAA

36179SQW0 G2 MA4069 3.500 11/20/46 105.41456,791.40 59,045.31103.969 59,866.30 165.64 0.19% 3.50 AAA Aaa AA+ AAA

36179SUU9 G2 MA4195 3.000 01/20/47 104.41276,972.53 77,828.76101.112 80,368.69 192.43 0.25% 3.58 AAA Aaa AA+ AAA

36179S2P1 G2 MA4382 3.500 04/20/47 105.22719,469.13 20,288.97104.211 20,486.76 56.79 0.06% 3.27 AAA Aaa AA+ AAA

36179TAK1 G2 MA4510 3.500 06/20/47 104.9885,615.49 5,844.94104.086 5,895.60 16.38 0.02% 3.27 AAA Aaa AA+ AAA

36179TCX1 G2 MA4586 3.500 07/20/47 105.0085,794.60 5,694.7898.277 6,084.81 16.90 0.02% 3.16 AAA Aaa AA+ AAA

36179TCZ6 G2 MA4588 4.500 07/20/47 107.64139,657.49 41,355.32104.281 42,687.71 148.72 0.13% 3.19 AAA Aaa AA+ AAA

36179TC29 G2 MA4589 5.000 07/20/47 109.28111,423.28 12,272.89107.438 12,483.45 47.60 0.04% 3.90 AAA Aaa AA+ AAA

36179TG41 G2 MA4719 3.500 09/20/47 105.0085,667.51 5,857.46103.352 5,951.35 16.53 0.02% 3.08 AAA Aaa AA+ AAA

36179TLR4 G2 MA4836 3.000 11/20/47 104.3827,625.13 7,428.5497.422 7,959.26 19.06 0.02% 3.32 AAA Aaa AA+ AAA

36179TLS2 G2 MA4837 3.500 11/20/47 104.98857,342.58 58,025.29101.191 60,202.83 167.25 0.19% 3.06 AAA Aaa AA+ AAA

36179TLT0 G2 MA4838 4.000 11/20/47 106.63213,850.08 14,544.21105.012 14,768.57 46.17 0.05% 3.18 AAA Aaa AA+ AAA

36179TSH9 G2 MA5020 4.000 02/20/48 106.62524,964.56 25,885.75103.690 26,618.41 83.22 0.08% 3.12 AAA Aaa AA+ AAA

36179UCB6 G2 MA5466 4.000 09/20/48 105.75517,231.15 17,692.18102.676 18,222.80 57.44 0.06% 3.34 AAA Aaa AA+ AAA

36179UD90 G2 MA5528 4.000 10/20/48 105.72428,262.31 29,036.21102.738 29,879.96 94.21 0.09% 3.36 AAA Aaa AA+ AAA

36179UGE6 G2 MA5597 5.000 11/20/48 106.96010,617.23 11,086.71104.422 11,356.23 44.24 0.04% 2.73 AAA Aaa AA+ AAA

36179U3S9 G2 MA6209 3.000 10/20/49 101.81018,262.04 18,370.47100.594 18,592.53 45.66 0.06% 2.00 AAA Aaa AA+ AAA

T200222BA G2SF 30 YR 2.0 TBA FEB 22 2.000 05/20/51 100.79675,000.00 75,632.81100.844 75,596.67 0.00 0.24% 5.03 AAA Aaa AA+ AAA

T200222CG G2SF 30 YR 2.0 TBA FEB 22 2.000 05/20/51 100.79650,000.00 50,406.25100.813 50,397.78 0.00 0.16% 5.03 AAA Aaa AA+ AAA

T200222FB G2SF 30 YR 2.0 TBA FEB 22 2.000 05/20/51 100.796100,000.00 100,800.78100.801 100,795.57 0.00 0.31% 5.03 AAA Aaa AA+ AAA

T200222GS G2SF 30 YR 2.0 TBA FEB 22 2.000 05/20/51 100.79675,000.00 75,509.77100.680 75,596.67 0.00 0.24% 5.03 AAA Aaa AA+ AAA

T250222CG G2SF 30 YR 2.5 TBA FEB 22 2.500 02/20/51 102.19125,000.00 25,590.82102.363 25,547.82 0.00 0.08% 4.49 AAA Aaa AA+ AAA

T250222GS G2SF 30 YR 2.5 TBA FEB 22 2.500 02/20/51 102.191100,000.00 102,296.88102.297 102,191.30 0.00 0.32% 4.49 AAA Aaa AA+ AAA

17



As of 12/31/2021







CreditQuality

AGENCY MBS

PASS THROUGH

T250122BA G2SF 30 YR 2.5 TBA JAN 22 2.500 02/20/51 102.414150,000.00 153,884.77102.590 153,620.93 0.00 0.48% 4.61 AAA Aaa AA+ AAA

T250122FB G2SF 30 YR 2.5 TBA JAN 22 2.500 02/20/51 102.414150,000.00 153,714.84102.477 153,620.93 0.00 0.48% 4.61 AAA Aaa AA+ AAA

36204QFC9 GN 376463 6.500 04/15/24 109.758412.91 394.3395.500 453.20 2.24 0.00% 0.95 AAA Aaa AA+ AAA

36225ABC3 GN 780035 6.500 07/15/24 109.759256.59 245.0495.499 281.63 1.39 0.00% 0.81 AAA Aaa AA+ AAA

36241LDX1 GN 782818 4.500 11/15/39 114.99467,575.58 69,270.25102.508 77,707.91 253.41 0.24% 4.93 AAA Aaa AA+ AAA

D150222BA UMBS 15 YR 1.5 TBA FEB22

1.500 08/25/36 100.26175,000.00 75,134.77100.180 75,195.71 0.00 0.23% 4.21 AAA Aaa AA+ AAA

D150222BC UMBS 15 YR 1.5 TBA FEB22

1.500 08/25/36 100.26150,000.00 50,081.05100.162 50,130.48 0.00 0.16% 4.21 AAA Aaa AA+ AAA

D150222CG UMBS 15 YR 1.5 TBA FEB22

1.500 08/25/36 100.26125,000.00 25,039.06100.156 25,065.24 0.00 0.08% 4.21 AAA Aaa AA+ AAA

D150222FB UMBS 15 YR 1.5 TBA FEB22

1.500 08/25/36 100.261100,000.00 100,048.83100.049 100,260.95 0.00 0.31% 4.21 AAA Aaa AA+ AAA

D200222BA UMBS 15 YR 2.0 TBA FEB22

2.000 04/25/36 102.271100,000.00 102,162.11102.162 102,270.78 0.00 0.32% 3.61 AAA Aaa AA+ AAA

D200222BC UMBS 15 YR 2.0 TBA FEB22

2.000 04/25/36 102.27175,000.00 76,655.27102.207 76,703.09 0.00 0.24% 3.61 AAA Aaa AA+ AAA

D200222CG UMBS 15 YR 2.0 TBA FEB22

2.000 04/25/36 102.27150,000.00 51,142.58102.285 51,135.39 0.00 0.16% 3.61 AAA Aaa AA+ AAA

D200222FB UMBS 15 YR 2.0 TBA FEB22

2.000 04/25/36 102.271100,000.00 102,130.86102.131 102,270.78 0.00 0.32% 3.61 AAA Aaa AA+ AAA

D200222GS UMBS 15 YR 2.0 TBA FEB22

2.000 04/25/36 102.27175,000.00 76,593.75102.125 76,703.09 0.00 0.24% 3.61 AAA Aaa AA+ AAA

F200222BA UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477175,000.00 174,402.3499.659 174,084.83 0.00 0.54% 6.32 AAA Aaa AA+ AAA

F200222BC UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477400,000.00 397,625.0099.406 397,908.18 0.00 1.24% 6.32 AAA Aaa AA+ AAA

F200222CG UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477250,000.00 248,789.0699.516 248,692.61 0.00 0.77% 6.32 AAA Aaa AA+ AAA

F200222FB UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477800,000.00 795,410.1599.426 795,816.36 0.00 2.48% 6.32 AAA Aaa AA+ AAA

F200222GS UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477400,000.00 397,785.1699.446 397,908.18 0.00 1.24% 6.32 AAA Aaa AA+ AAA

F200222JP UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477100,000.00 99,328.1399.328 99,477.05 0.00 0.31% 6.32 AAA Aaa AA+ AAA

18



As of 12/31/2021







CreditQuality

AGENCY MBS

PASS THROUGH

F200222MS UMBS 30 YR 2.0 TBA FEB22

2.000 07/25/51 99.477175,000.00 174,042.9799.453 174,084.83 0.00 0.54% 6.32 AAA Aaa AA+ AAA


2.500 07/25/51 101.853375,000.00 381,976.57101.860 381,947.14 0.00 1.19% 5.62 AAA Aaa AA+ AAA


2.500 07/25/51 101.853300,000.00 305,630.86101.877 305,557.71 0.00 0.95% 5.62 AAA Aaa AA+ AAA


2.500 07/25/51 101.853250,000.00 254,897.46101.959 254,631.43 0.00 0.79% 5.62 AAA Aaa AA+ AAA


2.500 07/25/51 101.853800,000.00 814,515.62101.815 814,820.56 0.00 2.54% 5.62 AAA Aaa AA+ AAA

F250222GS UMBS 30 YR 2.5 TBA FEB22

2.500 07/25/51 101.853300,000.00 305,546.88101.849 305,557.71 0.00 0.95% 5.62 AAA Aaa AA+ AAA

F250222JP UMBS 30 YR 2.5 TBA FEB22

2.500 07/25/51 101.853250,000.00 254,277.34101.711 254,631.43 0.00 0.79% 5.62 AAA Aaa AA+ AAA

F250222MS UMBS 30 YR 2.5 TBA FEB22

2.500 07/25/51 101.853175,000.00 178,281.25101.875 178,242.00 0.00 0.55% 5.62 AAA Aaa AA+ AAA


3.000 05/25/49 103.50450,000.00 51,732.42103.465 51,751.96 0.00 0.16% 3.89 AAA Aaa AA+ AAA


3.000 05/25/49 103.50475,000.00 77,575.20103.434 77,627.94 0.00 0.24% 3.89 AAA Aaa AA+ AAA


3.000 05/25/49 103.50450,000.00 51,791.02103.582 51,751.96 0.00 0.16% 3.89 AAA Aaa AA+ AAA


3.000 05/25/49 103.50450,000.00 51,777.34103.555 51,751.96 0.00 0.16% 3.89 AAA Aaa AA+ AAA

TOTAL PASS THROUGH 9,270,877.06 9,369,214.71 7,918.69 29.17% 5.01

CMO

31339GNQ0 FHR 2368 AS 20.645 10/15/31 144.8209,493.92 8,295.3187.375 13,749.06 87.11 0.04% 6.63 AAA Aaa AA+ AAA

3133TVPR1 FHR 2433 SA 20.645 02/15/32 149.9237,921.67 8,351.17105.422 11,876.37 72.68 0.04% 7.37 AAA Aaa AA+ AAA

31394L5S7 FHR 2684 ZN 4.000 10/15/33 107.86522,662.99 15,538.3168.563 24,445.46 75.54 0.08% 3.37 AAA Aaa AA+ AAA

3137FGVJ1 FHR 4818 CA 3.000 04/15/48 103.7749,294.78 8,860.5495.328 9,645.60 23.24 0.03% 3.67 AAA Aaa AA+ AAA

313921MN5 FNR 2001-52 YZ 6.500 10/25/31 110.10526,970.90 27,746.32102.875 29,696.24 146.09 0.09% 2.81 AAA Aaa AA+ AAA

3136B2ZR6 FNR 2018-57 QA 3.500 05/25/46 102.22519,242.40 19,284.49100.219 19,670.45 56.12 0.06% 0.15 AAA Aaa AA+ AAA

38376FLM2 GNR 2009-66 XS 6.693 07/16/39 11.06628,630.99 3,833.8713.391 3,168.43 79.84 0.01% 6.30 AAA Aaa AA+ AAA

19



As of 12/31/2021







CreditQuality

AGENCY MBS

CMO

38374TDP6 GNR 2009-8 PS 6.193 08/16/38 6.16028,495.04 3,268.0211.469 1,755.42 73.52 0.01% 4.45 AAA Aaa AA+ AAA

38380FAL0 GNR 2017-93 YE 3.000 07/20/46 104.85575,000.00 75,281.25100.375 78,641.55 187.50 0.25% 7.82 AAA Aaa AA+ AAA

38380Y2X2 GNR 2018-124 NW 3.500 09/20/48 106.04111,909.83 11,798.1799.063 12,629.27 34.74 0.04% 2.46 AAA Aaa AA+ AAA

38381TVA0 GNR 2019-44 CA 3.500 12/20/48 102.3629,458.67 9,680.36102.344 9,682.09 27.59 0.03% 0.68 AAA Aaa AA+ AAA

TOTAL CMO 191,937.81 214,959.91 863.98 0.67% 4.95

TOTAL AGENCY MBS 9,462,814.87 9,584,174.63 8,782.66 29.84% 5.01

NON AGENCY MBS

PRIME

06051GAX7 BAFC 2004-A 1A3 2.496 09/20/34 101.8162,634.94 2,623.4199.563 2,682.79 5.48 0.01% 0.20 AA+ AA+ A

07384M4F6 BSARM 2004-10 14A1 2.645 01/25/35 102.45947,016.77 44,459.2794.561 48,173.11 103.63 0.15% 0.20 BBB- BBB-

576433WL6 MARM 2004-13 3A7A 2.732 11/21/34 103.26946,365.68 45,438.3798.000 47,881.14 105.54 0.15% 0.20 BBB+ BBB+

TOTAL PRIME 92,521.05 98,737.05 214.65 0.31% 0.20

ALT-A

173109AE9 CRMSI 2007-1 A5 5.066 03/25/37 101.381157,253.28 107,325.3768.250 159,425.01 663.90 0.50% 2.12 A Aa3 CCC A

45254NJV0 IMM 2004-6 1A1 0.902 10/25/34 99.56638,369.67 37,914.0398.813 38,202.94 4.81 0.12% 0.20 A A2 BB-

589929V21 MLCC 2003-D A 0.722 08/25/28 99.92072,185.66 71,599.1699.188 72,128.02 8.68 0.22% 0.20 BBB BB+ BBB

55265WBD4 MSSTR 2004-1 4A1 2.410 10/25/32 104.3834,138.36 4,219.83101.969 4,319.75 8.31 0.01% 0.20 BBB

45660LAP4 RAST 2004-IP2 2A1 2.818 12/25/34 98.9369,185.44 9,311.17101.369 9,087.71 21.57 0.03% 0.20 A- A-

86359LAP4 SAMI 2004-AR1 1A1 0.804 03/19/34 98.48074,434.43 73,580.3798.853 73,303.04 19.95 0.23% 0.20 AA- AA-

TOTAL ALT-A 303,949.93 356,466.47 727.22 1.11% 1.06

SUBPRIME

004375CU3 ACCR 2005-1 M2 1.137 04/25/35 100.787107,173.17 102,618.3195.750 108,016.74 16.92 0.34% 0.20 A Ba2 A

17309LAF2 CMLTI 2006-HE2 M1 0.538 08/25/36 100.64095,664.07 95,066.1799.375 96,276.72 7.14 0.30% 0.20 A B1 A

20



As of 12/31/2021







CreditQuality

NON AGENCY MBS

SUBPRIME

126670DC9 CWL 2005-11 MV3 0.897 02/25/36 100.07889,032.52 88,949.0599.906 89,101.56 11.09 0.28% 0.20 AA- B1 AA-

126698AC3 CWL 2007-13 2A1 1.002 10/25/47 99.98983,246.55 56,815.7768.250 83,237.70 11.58 0.26% 0.20 AA A2 AA

437084NZ5 HEAT 2005-7 M1 0.777 01/25/36 100.1275,002.77 4,995.3599.852 5,009.14 0.54 0.02% 0.20 AAA Aaa AA+ AAA

80557BAA2 SAST 2007-3 1A 0.412 09/25/37 98.669109,614.77 107,696.5298.250 108,156.23 6.27 0.34% 0.20 BBB+ Baa1 CCC A

TOTAL SUBPRIME 456,141.17 489,798.08 53.55 1.52% 0.20

OPTION ARM

45660LWD7 INDX 2005-AR18 2A1A 0.722 10/25/36 57.841158,737.97 75,797.3847.750 91,815.63 15.92 0.29% 0.20 CCC+ Caa1 CCC

45668RAC2 INDX 2007-FLX2 A1C 0.292 04/25/37 95.986264,518.11 122,008.9846.125 253,901.49 10.72 0.79% 0.20 B- B3 CCC

92922FR75 WAMU 2005-AR8 2A1A 0.682 07/25/45 99.14289,943.39 83,506.8192.844 89,171.81 11.93 0.28% 0.20 AA- A3 AA-

92922FU55 WAMU 2005-AR9 A1B 0.862 07/25/45 99.546125,674.15 124,731.6099.250 125,103.73 21.06 0.39% 0.20 A+ Baa2 A+

TOTAL OPTION ARM 406,044.77 559,992.66 59.63 1.74% 0.20

OTHER

59560UAD3 MDST 2004-1 B 8.900 08/15/37 105.05237,047.04 39,368.27106.266 38,918.63 274.77 0.12% 1.37 A+ A1 BBB

TOTAL OTHER 39,368.27 38,918.63 274.77 0.12% 1.37

TOTAL NON AGENCY MBS 1,298,025.19 1,543,912.88 1,329.81 4.81% 0.43

CMBS

AGENCY CMBS

3137FHQ71 FHMS K157 A3 3.990 08/25/33 118.45050,000.00 50,669.00101.338 59,225.17 166.25 0.18% 9.26 AAA Aaa AA+ AAA

3138LJWG1 FN AN6046 3.220 07/01/32 111.14877,974.82 81,806.55104.914 86,667.17 216.21 0.27% 7.64 AAA Aaa AA+ AAA

3138LLPQ2 FN AN7630 3.160 12/01/32 110.46137,500.00 38,903.32103.742 41,422.91 102.04 0.13% 8.80 AAA Aaa AA+ AAA

3140HXWW6 FN BL6060 2.455 04/01/40 102.38240,000.00 39,900.0099.750 40,952.90 84.56 0.13% 14.29 AAA Aaa AA+ AAA

TOTAL AGENCY CMBS 211,278.87 228,268.15 569.06 0.71% 9.46

NON AGENCY CMBS

21



As of 12/31/2021







CreditQuality

CMBS

NON AGENCY CMBS

05491YAA8 BAMLL 2018-PARK A 4.091 08/10/38 111.74535,000.00 36,181.92103.377 39,110.69 119.31 0.12% 5.58 AAA AAA

05608FAA9 BX 2019-CALM A 0.986 11/15/32 100.00483,000.00 82,974.0699.969 83,003.45 38.65 0.26% 0.04 AAA AAA

05606FAA1 BX 2019-OC11 A 3.202 12/09/41 105.50815,000.00 15,449.21102.995 15,826.20 40.03 0.05% 6.57 AAA Aaa

056054AA7 BX 2019-XL A 1.030 10/15/36 100.04283,423.75 83,554.10100.156 83,458.59 40.58 0.26% 0.04 AAA Aaa

129890AA7 CALI 2019-101C A 3.957 03/10/39 111.16525,000.00 25,749.93103.000 27,791.20 82.44 0.09% 5.87 AAA AAA

12635QBF6 COMM 2015-CR27 A3 3.349 10/10/48 104.67896,997.89 103,378.53106.578 101,535.46 270.71 0.32% 3.07 AAA Aaa AAA

12654YAA7 CPTS 2019-CPT A 2.865 11/13/39 104.26025,000.00 25,749.51102.998 26,065.04 59.69 0.08% 6.72 AAA AAA

23312BAA8 DCOT 2019-MTC A 2.965 09/15/45 104.44525,000.00 25,748.13102.993 26,111.13 61.77 0.08% 6.50 AAA Aaa

36252HAD3 GSMS 2017-GS5 A4 3.674 03/10/50 108.37960,000.00 64,314.84107.191 65,027.34 183.70 0.20% 4.34 AAA Aaa AAA

44421GAA1 HY 2019-30HY A 3.228 07/10/39 106.79725,000.00 25,748.04102.992 26,699.24 67.25 0.08% 6.38 AAA AAA

44421MAA8 HY 2019-55HY A 2.943 12/10/41 104.81025,000.00 25,693.18102.773 26,202.56 61.31 0.08% 6.62 AAA Aaa

46651EAA2 JPMCC 2019-OSB A 3.397 06/05/39 108.00120,000.00 20,599.86102.999 21,600.23 56.62 0.07% 6.14 AAA Aaa

55316PAA5 MKT 2020-525M A 2.694 02/12/40 102.81235,000.00 36,047.69102.993 35,984.15 78.58 0.11% 6.82 AAA AAA

68236JAA9 OBP 2019-OBP A 2.516 09/15/54 101.30435,000.00 35,000.00100.000 35,456.43 73.40 0.11% 6.52 AAA Aaa

74932QAA8 RBSCF 2013-GSP A 3.834 01/15/32 103.49125,000.00 26,498.04105.992 25,872.76 79.87 0.08% 1.48 AAA AAA AAA

78413MAA6 SFAVE 2015-5AVE A1 3.872 01/05/43 103.15222,500.00 21,734.4896.598 23,209.17 72.60 0.07% 9.79 AAA AAA

85236WCE4 SREIT 2021-MFP2 A 0.922 11/15/36 99.750165,000.00 164,372.6799.620 164,587.29 67.60 0.51% 0.05 AAA AAA

TOTAL NON AGENCY CMBS 818,794.19 827,540.92 1,454.08 2.58% 3.21

TOTAL CMBS 1,030,073.06 1,055,809.06 2,023.14 3.29% 4.57

11,790,913.12 12,183,896.57 12,135.61 37.94%TOTAL MORTGAGE BACKED 4.39

ASSET BACKED

STUDENT LOAN

10620NCE6 BRHEA 2010-1 A2 1.378 02/25/35 101.803100,000.00 95,585.9495.586 101,803.14 137.80 0.32% 0.15 AAA AAA AAA

10620NCL0 BRHEA 2011-2 A3 1.124 10/27/36 100.62480,000.00 77,884.3897.356 80,499.10 169.83 0.25% 0.15 AAA AAA AAA

22



As of 12/31/2021







CreditQuality

STUDENT LOAN

17284LAA2 CITEL 2007-1 A 0.310 03/25/42 96.24433,620.60 30,510.7090.750 32,357.65 1.45 0.10% 0.15 AAA Aaa AA+

63938QAA5 NAVSL 2014-4 A 0.723 03/25/83 98.97388,139.35 88,139.35100.000 87,234.18 8.85 0.27% 0.05 AAA Aaa AAA

64033MAB4 NSLT 2014-4A A2 1.053 11/25/48 100.569115,000.00 115,000.00100.000 115,654.12 16.81 0.36% 0.05 AAA Aa1 AAA

78442GHH2 SLMA 2003-7A A5A 1.403 12/15/33 100.21937,947.97 38,428.25101.266 38,031.02 25.14 0.12% 0.15 BBB- Baa3 AA B

78443HAF0 SLMA 2006-8 A6 0.284 01/25/41 97.795121,615.05 106,717.2187.750 118,932.78 65.21 0.37% 0.15 AAA Aaa AA+ AAA

784442AD7 SLMA 2008-2 B 1.324 01/25/83 96.16735,000.00 30,311.9186.606 33,658.44 87.52 0.11% 0.15 B A1 B B

78444GAD6 SLMA 2008-3 B 1.324 04/26/83 93.97335,000.00 30,995.5188.559 32,890.59 87.52 0.10% 0.15 CC Aa2 CC D

78445CAD4 SLMA 2008-6 A4 1.224 07/25/23 100.00877,855.95 78,743.05101.139 77,862.38 179.99 0.24% 0.15 B Baa3 B B

78445JAA5 SLMA 2008-9 A 1.624 04/25/23 100.50519,021.05 19,425.24102.125 19,117.14 58.34 0.06% 0.15 B Baa3 B B

TOTAL STUDENT LOAN 711,741.54 738,040.54 838.46 2.30% 0.12

CLO

00140NAN0 AIMCO 2020-11A AR 1.253 10/17/34 99.82675,000.00 75,000.00100.000 74,869.28 140.96 0.23% 0.15 AAA AAA

00192WAE7 ARES 2021-62A B 0.000 01/25/34 100.12280,000.00 80,000.00100.000 80,097.60 0.00 0.25% 0.15 AA AA

06760PAC5 BABSN 2018-3A A1 1.082 07/20/29 100.02260,501.27 60,255.4999.594 60,514.83 132.68 0.19% 0.15 AAA Aaa AAA

05586AAA6 BSPRT 2018-FL4 A 1.160 09/15/35 100.02611,375.37 11,380.70100.047 11,378.33 6.23 0.04% 0.05 AAA Aaa

26249BAQ4 DRSLF 2013-30A AR 0.976 11/15/28 99.91918,213.51 18,177.0899.800 18,198.76 23.21 0.06% 0.15 AAA Aaa AAA

30312UAA1 FSRIA 2019-FL1 A 1.308 12/16/36 100.00565,000.00 65,000.00100.000 65,003.54 37.77 0.20% 0.05 AAA Aaa

38123HAN4 GOLD9 2014-9A AR2 1.239 10/29/29 100.04360,000.00 60,000.00100.000 60,026.04 132.12 0.19% 0.15 AAA AAA AAA

40440XAA9 HLM 2021-16A A1 1.395 01/23/35 99.99080,000.00 80,000.00100.000 79,991.76 27.91 0.25% 0.15 AAA Aaa

55951PBA4 MAGNE 2012-7A A1R2 0.924 01/15/28 99.79558,833.69 58,451.2799.350 58,713.08 117.75 0.18% 0.15 AAA AAA AAA

64130TBA2 NEUB 2015-20A ARR 1.284 07/15/34 100.08185,000.00 85,000.00100.000 85,068.51 236.42 0.27% 0.15 AAA Aaa AAA

67590ABP6 OCT14 2012-1A AARR 1.074 07/15/29 99.84585,000.00 85,000.00100.000 84,868.25 197.75 0.26% 0.15 AAA Aaa

77341KAA9 ROCKT 2021-1A A1 1.302 07/20/34 100.05085,000.00 85,000.00100.000 85,042.33 224.33 0.27% 0.15 AAA Aaa

89532WAC3 TREST 2021-4A B1 1.824 07/21/34 100.09085,000.00 85,000.00100.000 85,076.50 607.32 0.27% 0.15 AA AA

TOTAL CLO 848,264.54 848,848.80 1,884.46 2.65% 0.14

23



As of 12/31/2021







CreditQuality

OTHER

46617LAA9 HENDR 2013-3A A 4.080 01/17/73 111.18642,291.60 42,257.3799.919 47,022.40 76.69 0.15% 6.52 AAA Aaa

46618AAA2 HENDR 2014-2A A 3.610 01/17/73 109.20355,659.64 55,623.5799.935 60,781.70 89.30 0.19% 6.97 AAA Aaa

37952UAE3 SEACO 2014-1A A2 3.090 07/17/29 100.62421,958.33 21,952.4399.973 22,095.35 26.39 0.07% 1.55 A- A-

TOTAL OTHER 119,833.37 129,899.45 192.38 0.40% 5.89

1,679,839.45 1,716,788.79 2,915.30 5.35%TOTAL ASSET BACKED 0.57

OTHER

FUTURES

TUH2 US 2YR NOTE (CBT)MAR22

6.000 03/31/22 109.063(2.00) 0.00 0.00 0.00% 1.96 AAA Aaa AA+ AAA

WNH2 US ULTRA BOND CBTMAR22

6.000 03/22/22 195.5631.00 0.00 0.00 0.00% 18.90 AAA Aaa AA+ AAA

TOTAL FUTURES 0.00 0.00 0.00 0.00% 7.21

0.00 0.00 0.00 0.00%TOTAL OTHER 7.21

32,050,122.49

92,506.76

32,142,629.25

Principal Market Value

Accrued Income

Total Portfolio Market Value

Account Holdings Summary MarketValue

24

DescriptionTrade DateCurrent

FaceRealized

Gains/LossesCUSIP/SEDOL

NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PURCHASES

12/01/2021 G2SF 30 YR 2.0 TBA FEB 22 100.680T200222GS -75,509.7775,000.00 0.0002/22/2022 05/20/2051 75,000.00

12/01/2021 GOLDMAN SACHS GROUP INC 100.00038141GZE7 -80,000.0080,000.00 0.0012/06/2021 12/06/2023 80,000.00

12/01/2021 US TREASURY N/B 101.250912810TB4 -30,375.0030,000.00 0.0012/02/2021 11/15/2051 30,000.00

12/01/2021 US TREASURY N/B 101.250912810TB4 -30,375.0030,000.00 0.0012/02/2021 11/15/2051 30,000.00

12/02/2021 BANK OF AMERICA CORP 98.29306051GJZ3 -34,402.5535,000.00 0.0012/06/2021 06/14/2029 35,000.00

12/02/2021 SHELL INTERNATIONAL FIN 124.945822582AY8 -29,986.8024,000.00 0.0012/06/2021 08/12/2043 24,000.00

12/02/2021 US TREASURY BILL 5/26/2022 99.965912796Q36 -909,681.12910,000.00 0.0012/03/2021 05/26/2022 910,000.00

12/02/2021 US TREASURY N/B 100.36491282CDK4 -60,218.1760,000.00 0.0012/03/2021 11/30/2026 60,000.00

12/03/2021 UMBS 30 YR 2.5 TBA FEB 22 101.883F250222BA -50,941.4150,000.00 0.0002/14/2022 07/25/2051 50,000.00

12/03/2021 UMBS 30 YR 2.5 TBA FEB 22 101.895F250222FB -203,789.06200,000.00 0.0002/14/2022 07/25/2051 200,000.00


12/03/2021 US TREASURY N/B 99.78591282CDM0 -54,881.8455,000.00 0.0012/06/2021 11/30/2023 55,000.00



12/06/2021 UMBS 30 YR 2.0 TBA FEB 22 99.453F200222MS -174,042.97175,000.00 0.0002/14/2022 07/25/2051 175,000.00

12/06/2021 UMBS 30 YR 2.0 TBA FEB 22 99.449F200222GS -174,036.13175,000.00 0.0002/14/2022 07/25/2051 175,000.00


12/06/2021 UMBS 30 YR 2.5 TBA FEB 22 101.844F250222BC -152,765.63150,000.00 0.0002/14/2022 07/25/2051 150,000.00

12/06/2021 US TREASURY BILL 5/26/2022 99.962912796Q36 -214,917.76215,000.00 0.0012/07/2021 05/26/2022 215,000.00



12/07/2021 JPMORGAN CHASE & CO 100.00046647PCT1 -50,000.0050,000.00 0.0012/10/2021 12/10/2025 50,000.00

12/07/2021 UMBS 15 YR 2.0 TBA FEB 22 101.992D200222BA -50,996.0950,000.00 0.0002/17/2022 04/25/2036 50,000.00


12/07/2021 UMBS 30 YR 2.0 TBA FEB 22 99.328F200222JP -99,328.13100,000.00 0.0002/14/2022 07/25/2051 100,000.00


12/07/2021 US TREASURY N/B 102.530912810TC2 -61,518.0760,000.00 0.0012/08/2021 11/15/2041 60,000.00



Account Transaction Activity

As of 12/31/2021


25



Account Transaction Activity (continued)

As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PURCHASES






12/08/2021 GOLDMAN SACHS GROUP INC 102.61838141GWT7 -30,785.4030,000.00 0.0012/10/2021 02/23/2023 30,000.00

12/08/2021 JPMORGAN CHASE & CO 99.72346647PBZ8 -29,916.9030,000.00 0.0012/10/2021 03/16/2024 30,000.00






12/09/2021 BANK OF AMERICA CORP 102.17406051GHC6 -76,630.5075,000.00 0.0012/13/2021 12/20/2023 75,000.00


12/09/2021 UMBS 30 YR 2.0 TBA FEB 22 99.391F200222CG -124,238.28125,000.00 0.0002/14/2022 07/25/2051 125,000.00







12/10/2021 UMBS 15 YR 1.5 TBA FEB 22 100.049D150222FB -100,048.83100,000.00 0.0002/17/2022 08/25/2036 100,000.00

12/10/2021 UMBS 15 YR 2.0 TBA FEB 22 102.131D200222FB -102,130.86100,000.00 0.0002/17/2022 04/25/2036 100,000.00

12/10/2021 UMBS 15 YR 2.0 TBA FEB 22 102.125D200222GS -76,593.7575,000.00 0.0002/17/2022 04/25/2036 75,000.00




26




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PURCHASES









12/14/2021 US TREASURY BILL 6/16/2022 99.939912796J42 -329,798.13330,000.00 0.0012/16/2021 06/16/2022 330,000.00


12/15/2021 BROADCOM INC 112.37711135FAS0 -16,856.5515,000.00 0.0012/17/2021 11/15/2032 15,000.00

12/15/2021 G2SF 30 YR 2.0 TBA FEB 22 100.844T200222BA -75,632.8175,000.00 0.0002/22/2022 05/20/2051 75,000.00

12/15/2021 UMBS 30 YR 2.5 TBA FEB 22 101.875F250222MS -178,281.25175,000.00 0.0002/14/2022 07/25/2051 175,000.00






12/16/2021 BANK OF AMERICA CORP 102.18006051GHC6 -30,654.0030,000.00 0.0012/20/2021 12/20/2023 30,000.00








12/21/2021 UMBS 15 YR 1.5 TBA FEB 22 100.156D150222CG -25,039.0625,000.00 0.0002/17/2022 08/25/2036 25,000.00

27




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PURCHASES


12/21/2021 UMBS 30 YR 2.5 TBA FEB 22 101.711F250222JP -254,277.34250,000.00 0.0002/14/2022 07/25/2051 250,000.00

12/22/2021 UMBS 15 YR 2.0 TBA FEB 22 102.285D200222CG -51,142.5850,000.00 0.0002/17/2022 04/25/2036 50,000.00

12/22/2021 UMBS 15 YR 2.0 TBA FEB 22 102.207D200222BC -76,655.2775,000.00 0.0002/17/2022 04/25/2036 75,000.00


12/23/2021 US TREASURY N/B 100.01391282CDR9 -55,007.2755,000.00 0.0012/31/2021 12/31/2023 55,000.00


12/27/2021 G2SF 30 YR 2.0 TBA FEB 22 100.813T200222CG -50,406.2550,000.00 0.0002/22/2022 05/20/2051 50,000.00

12/27/2021 G2SF 30 YR 2.0 TBA FEB 22 100.801T200222FB -100,800.78100,000.00 0.0002/22/2022 05/20/2051 100,000.00

12/27/2021 G2SF 30 YR 2.5 TBA FEB 22 102.297T250222GS -102,296.88100,000.00 0.0002/22/2022 02/20/2051 100,000.00

12/27/2021 UMBS 15 YR 1.5 TBA FEB 22 100.162D150222BC -50,081.0550,000.00 0.0002/17/2022 08/25/2036 50,000.00

12/27/2021 US TREASURY BILL 6/23/2022 99.916912796R43 -224,811.94225,000.00 0.0012/28/2021 06/23/2022 225,000.00




12/28/2021 G2SF 30 YR 2.5 TBA FEB 22 102.363T250222CG -25,590.8225,000.00 0.0002/22/2022 02/20/2051 25,000.00



12/29/2021 US TREASURY N/B 99.79791282CDQ1 -94,807.0395,000.00 0.0012/31/2021 12/31/2026 95,000.00









28




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PURCHASES



12/30/2021 US TREASURY N/B 98.59491282CDJ7 -49,296.8850,000.00 0.0012/31/2021 11/15/2031 50,000.00

12/30/2021 US TREASURY N/B 98.531912810TB4 -14,779.6915,000.00 0.0012/31/2021 11/15/2051 15,000.00

12/30/2021 US TREASURY N/B 98.625912810TB4 -14,793.7515,000.00 0.0012/31/2021 11/15/2051 15,000.00




0.00-11,987,755.77TOTAL PURCHASES

SALES

12/01/2021 G2SF 30 YR 2.0 TBA JAN 22 100.857T200122GS 75,643.0775,000.00 -452.6301/20/2022 04/20/2051 75,000.00

12/01/2021 US TREASURY N/B 104.004912810SZ2 31,201.1730,000.00 1,091.6012/02/2021 08/15/2051 30,000.00

12/01/2021 US TREASURY N/B 104.004912810SZ2 31,201.1730,000.00 868.3612/02/2021 08/15/2051 30,000.00

12/01/2021 US TREASURY N/B 99.53191282CDA6 44,789.0645,000.00 -189.8512/02/2021 09/30/2023 45,000.00

12/02/2021 EXXON MOBIL CORPORATION 125.28830231GBG6 25,057.6020,000.00 5,057.6012/06/2021 03/19/2050 20,000.00

12/02/2021 US TREASURY N/B 99.77391282CDG3 59,864.0660,000.00 60.9212/03/2021 10/31/2026 60,000.00

12/02/2021 US TREASURY N/B 98.43891282CCZ2 44,296.8845,000.00 -438.6312/03/2021 09/30/2026 45,000.00

12/03/2021 NCMS 2020-2PAC A 102.78563875DAA9 25,696.2925,000.00 -53.6612/07/2021 12/15/2038 25,000.00

12/03/2021 UMBS 30 YR 2.5 TBA JAN 22 102.113F250122BA 51,056.6450,000.00 -33.2001/13/2022 07/25/2051 50,000.00

12/03/2021 UMBS 30 YR 2.5 TBA JAN 22 102.125F250122FB 204,250.00200,000.00 -31.2501/13/2022 07/25/2051 200,000.00



12/03/2021 US TREASURY N/B 100.01691282CDJ7 175,027.34175,000.00 1,655.0712/06/2021 11/15/2031 175,000.00

12/03/2021 US TREASURY N/B 99.34491282CDJ7 7,947.508,000.00 3.3912/06/2021 11/15/2031 8,000.00



12/06/2021 UMBS 30 YR 2.0 TBA JAN 22 99.650F200122GS 174,388.18175,000.00 311.0301/13/2022 07/25/2051 175,000.00

29




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

SALES

12/06/2021 UMBS 30 YR 2.0 TBA JAN 22 99.652F200122JP 174,391.60175,000.00 389.6401/13/2022 07/25/2051 175,000.00

12/06/2021 UMBS 30 YR 2.5 TBA JAN 22 102.146F250122GS 204,292.97200,000.00 -183.5901/13/2022 07/25/2051 200,000.00

12/06/2021 UMBS 30 YR 2.5 TBA JAN 22 102.078F250122BC 153,117.19150,000.00 -439.4501/13/2022 07/25/2051 150,000.00


12/06/2021 US TREASURY N/B 99.60791282CDD0 89,646.6990,000.00 -130.0112/07/2021 10/31/2023 90,000.00

12/07/2021 JPMORGAN CHASE & CO 97.77946647PCP9 48,889.5050,000.00 -1,110.5012/09/2021 09/22/2027 50,000.00

12/07/2021 UMBS 15 YR 2.0 TBA JAN 22 102.174D200122GS 51,086.9150,000.00 -86.9201/18/2022 04/25/2036 50,000.00

12/07/2021 UMBS 30 YR 2.0 TBA JAN 22 99.611F200122FB 224,125.49225,000.00 918.4601/13/2022 07/25/2051 225,000.00

12/07/2021 UMBS 30 YR 2.0 TBA JAN 22 99.578F200122BC 99,578.13100,000.00 117.1901/13/2022 07/25/2051 100,000.00



12/07/2021 US TREASURY N/B 98.172912810TA6 58,903.1360,000.00 1,062.5112/08/2021 08/15/2041 60,000.00





12/08/2021 JPMORGAN CHASE & CO 101.46146647PBK1 30,438.3030,000.00 -478.8012/10/2021 04/22/2026 30,000.00







12/09/2021 BANK OF AMERICA CORP 99.11606051GJS9 74,337.0075,000.00 -1,274.7512/13/2021 07/22/2027 75,000.00

12/09/2021 UMBS 30 YR 2.0 TBA JAN 22 99.598F200122CG 124,497.07125,000.00 62.5001/13/2022 07/25/2051 125,000.00

12/09/2021 UMBS 30 YR 2.0 TBA JAN 22 99.551F200122JP 149,326.17150,000.00 -52.7401/13/2022 07/25/2051 150,000.00


30




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

SALES

12/09/2021 US TREASURY N/B 100.574912810TB4 10,057.4210,000.00 153.6812/10/2021 11/15/2051 10,000.00

12/09/2021 US TREASURY N/B 99.41091282CDG3 129,233.20130,000.00 -356.4712/10/2021 10/31/2026 130,000.00






12/10/2021 UMBS 15 YR 1.5 TBA JAN 22 100.203D150122FB 100,203.13100,000.00 -359.3701/18/2022 08/25/2036 100,000.00

12/10/2021 UMBS 15 YR 2.0 TBA JAN 22 102.307D200122GS 76,729.9875,000.00 -200.6801/18/2022 04/25/2036 75,000.00



12/10/2021 UMBS 30 YR 2.0 TBA JAN 22 99.691F200122BA 74,768.5575,000.00 377.9201/13/2022 07/25/2051 75,000.00


12/10/2021 UMBS 30 YR 2.5 TBA JAN 22 102.080F250122CG 127,600.10125,000.00 -158.6901/13/2022 07/25/2051 125,000.00





12/13/2021 UMBS 30 YR 2.0 TBA JAN 22 99.799F200122BC 149,698.24150,000.00 448.2401/13/2022 07/25/2051 150,000.00





12/15/2021 G2SF 30 YR 2.0 TBA JAN 22 101.023T200122BA 75,767.5875,000.00 17.5801/20/2022 04/20/2051 75,000.00




31




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

SALES










12/17/2021 UMBS 30 YR 2.5 TBA JAN 22 102.344F250122JP 127,929.69125,000.00 -53.7101/13/2022 07/25/2051 125,000.00





12/21/2021 UMBS 15 YR 1.5 TBA JAN 22 100.330D150122BA 75,247.5675,000.00 -10.2501/18/2022 08/25/2036 75,000.00



12/22/2021 UMBS 15 YR 2.0 TBA JAN 22 102.406D200122BC 76,804.6975,000.00 -121.5801/18/2022 04/25/2036 75,000.00



12/22/2021 US TREASURY N/B 98.34491282CCZ2 216,356.25220,000.00 -2,022.1212/23/2021 09/30/2026 220,000.00

12/22/2021 US TREASURY N/B 99.33291282CDA6 278,129.69280,000.00 -1,150.8312/23/2021 09/30/2023 280,000.00


12/22/2021 US TREASURY N/B 100.359912810TB4 85,305.4785,000.00 1,123.6412/23/2021 11/15/2051 85,000.00



12/27/2021 G2SF 30 YR 2.0 TBA JAN 22 100.986T200122FB 100,986.33100,000.00 -431.6401/20/2022 04/20/2051 100,000.00

32




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

SALES

12/27/2021 G2SF 30 YR 2.0 TBA JAN 22 100.998T200122BA 50,499.0250,000.00 -0.9801/20/2022 04/20/2051 50,000.00

12/27/2021 G2SF 30 YR 2.5 TBA JAN 22 102.518T250122GS 102,517.58100,000.00 -72.2601/20/2022 02/20/2051 100,000.00

12/27/2021 UMBS 15 YR 1.5 TBA JAN 22 100.313D150122BC 50,156.2550,000.00 80.0801/18/2022 08/25/2036 50,000.00




12/28/2021 G2SF 30 YR 2.5 TBA JAN 22 102.580T250122CG 25,645.0225,000.00 2.4401/20/2022 02/20/2051 25,000.00


12/28/2021 US TREASURY N/B 99.61591282CDM0 209,192.15210,000.00 -626.3012/29/2021 11/30/2023 210,000.00

12/29/2021 US TREASURY N/B 100.06691282CDK4 65,043.1665,000.00 -48.8812/30/2021 11/30/2026 65,000.00








12/30/2021 US TREASURY N/B 100.01091282CDK4 220,022.19220,000.00 523.2612/31/2021 11/30/2026 220,000.00




12/30/2021 US TREASURY N/B 99.59891282CDM0 69,718.3670,000.00 -135.7512/31/2021 11/30/2023 70,000.00

-13,100.5311,130,625.61TOTAL SALES

MATURED BOND PRINCIPAL

12/02/2021 US TREASURY BILL 12/2/20219127965G0 1,420,000.001,420,000.00 164.0912/02/2021 12/02/2021 1,420,000.00

12/14/2021 US TREASURY BILL 12/14/2021912796P60 710,000.00710,000.00 74.2112/14/2021 12/14/2021 710,000.00

12/21/2021 US TREASURY BILL 12/21/2021912796P78 165,000.00165,000.00 22.9112/21/2021 12/21/2021 165,000.00

33




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

261.212,295,000.00TOTAL MATURED BOND PRINCIPAL

CALLED BOND PRINCIPAL

12/21/2021 AERCAP IRELAND CAP/GLOBA CALLED00772BAR2 40,042.7340,000.00 -1,252.9412/21/2021 02/01/2022 40,000.00

-1,252.9440,042.73TOTAL CALLED BOND PRINCIPAL

PAYDOWNS

12/10/2021 COMM 2015-CR27 A312635QBF6 0.03-0.03 0.0012/10/2021 10/10/2048 97,000.00

12/15/2021 BSPRT 2018-FL4 A05586AAA6 4,255.77-4,255.77 -1.9912/15/2021 09/15/2035 63,000.00

12/15/2021 BX 2019-XL A056054AA7 594.80-594.80 -0.9312/15/2021 10/15/2036 100,000.00

12/15/2021 FG A615273128KRVU5 70.48-70.48 -1.5012/15/2021 07/01/2036 520,000.00

12/15/2021 FG G063613128M8MJ0 1,342.10-1,342.10 21.1812/15/2021 03/01/2041 210,000.00

12/15/2021 FG G079253128MAD63 839.56-839.56 -47.0512/15/2021 02/01/2045 116,000.00

12/15/2021 FG G086983128MJX47 140.85-140.85 -6.7612/15/2021 03/01/2046 20,000.00

12/15/2021 FG G087113128MJYH7 1,637.03-1,637.03 -84.3512/15/2021 06/01/2046 205,000.00

12/15/2021 FG G087213128MJYT1 1,398.51-1,398.51 -52.1212/15/2021 09/01/2046 160,000.00

12/15/2021 FG G087263128MJYY0 1,814.51-1,814.51 -67.4812/15/2021 10/01/2046 200,000.00

12/15/2021 FG G087473128MJZM5 318.02-318.02 -4.0712/15/2021 02/01/2047 31,000.00

12/15/2021 FG G087503128MJZQ6 487.82-487.82 -1.8312/15/2021 03/01/2047 49,000.00

12/15/2021 FG G087963128MJ3E8 571.09-571.09 -14.1912/15/2021 01/01/2048 60,000.00

12/15/2021 FG G088003128MJ3J7 732.52-732.52 6.9212/15/2021 02/01/2048 75,000.00

12/15/2021 FG G088163128MJ4A5 1,296.29-1,296.29 22.0312/15/2021 06/01/2048 140,000.00

12/15/2021 FG G088333128MJ4T4 335.06-335.06 -18.8712/15/2021 07/01/2048 35,000.00

12/15/2021 FG G088433128MJ5D8 488.65-488.65 -16.5212/15/2021 10/01/2048 50,000.00

12/15/2021 FG G167283128MFVV7 427.59-427.59 0.2012/15/2021 11/01/2031 70,000.00

12/15/2021 FG G167563128MFWR5 849.22-849.22 -15.3912/15/2021 01/01/2034 85,000.00

12/15/2021 FG G187133128MMYK3 749.45-749.45 -12.0312/15/2021 11/01/2033 105,000.00

12/15/2021 FG G6027831335AJX7 901.05-901.05 -67.8612/15/2021 10/01/2045 110,000.00

12/15/2021 FG G6044031335APZ5 2,570.12-2,570.12 -95.1712/15/2021 03/01/2046 306,000.00

12/15/2021 FG G6065931335AWU8 639.52-639.52 -22.2812/15/2021 08/01/2046 80,000.00

34




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PAYDOWNS

12/15/2021 FG G6176531335B6A9 519.57-519.57 -19.9712/15/2021 02/01/2048 50,000.00

12/15/2021 FG G677033132XCRY3 1,226.61-1,226.61 -46.0012/15/2021 04/01/2047 115,000.00

12/15/2021 FG G677063132XCR31 1,816.66-1,816.66 -25.5812/15/2021 12/01/2047 155,000.00

12/15/2021 FG G677073132XCR49 881.17-881.17 -0.5512/15/2021 01/01/2048 90,000.00

12/15/2021 FG G677083132XCR56 2,670.40-2,670.40 -9.8212/15/2021 03/01/2048 250,000.00

12/15/2021 FG G677093132XCR64 1,695.61-1,695.61 -8.3512/15/2021 03/01/2048 125,000.00

12/15/2021 FG G677103132XCR72 3,248.87-3,248.87 -6.8812/15/2021 03/01/2048 265,000.00

12/15/2021 FG G677133132XCSA4 616.68-616.68 -12.9612/15/2021 06/01/2048 55,000.00

12/15/2021 FG G677183132XCSF3 939.84-939.84 -23.2412/15/2021 01/01/2049 85,000.00

12/15/2021 FG Q052613132GLQN7 692.16-692.16 -18.7612/15/2021 12/01/2041 165,000.00

12/15/2021 FG Q201783132JMFT1 299.24-299.24 -1.0812/15/2021 07/01/2043 220,000.00

12/15/2021 FHR 2368 AS31339GNQ0 84.30-84.30 10.6412/15/2021 10/15/2031 500,000.00

12/15/2021 FHR 2433 SA3133TVPR1 82.97-82.97 -4.5012/15/2021 02/15/2032 275,000.00

12/15/2021 FHR 2684 ZN31394L5S7 220.68-220.68 69.3812/15/2021 10/15/2033 190,000.00

12/15/2021 FHR 4818 CA3137FGVJ1 434.19-434.19 20.2812/15/2021 04/15/2048 50,000.00

12/15/2021 GN 37646336204QFC9 17.42-17.42 0.7812/15/2021 04/15/2024 341,247.00

12/15/2021 GN 78003536225ABC3 13.78-13.78 0.6212/15/2021 07/15/2024 199,051.00

12/15/2021 GN 78281836241LDX1 1,639.70-1,639.70 -41.1212/15/2021 11/15/2039 430,000.00

12/15/2021 HENDR 2013-3A A46617LAA9 263.91-263.91 0.2112/15/2021 01/17/2073 75,000.00

12/15/2021 HENDR 2014-2A A46618AAA2 435.26-435.26 0.2812/15/2021 01/17/2073 90,000.00

12/15/2021 MDST 2004-1 B59560UAD3 1,717.42-1,717.42 -107.6112/15/2021 08/15/2037 400,000.00

12/15/2021 SLMA 2003-7A A5A78442GHH2 1,587.80-1,587.80 -20.1012/15/2021 12/15/2033 110,000.00

12/17/2021 SEACO 2014-1A A237952UAE3 708.33-708.33 0.1912/17/2021 07/17/2029 85,000.00

12/19/2021 SAMI 2004-AR1 1A186359LAP4 597.53-597.53 6.8512/20/2021 03/19/2034 6,700,000.00

12/20/2021 G2 MA352136179R4E6 517.56-517.56 -30.7312/20/2021 03/20/2046 70,000.00

12/20/2021 G2 MA366236179SB71 1,024.69-1,024.69 -59.7212/20/2021 05/20/2046 125,000.00

12/20/2021 G2 MA393736179SLS4 2,735.17-2,735.17 -87.6112/20/2021 09/20/2046 275,000.00

35




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PAYDOWNS

12/20/2021 G2 MA406936179SQW0 2,458.90-2,458.90 -97.5912/20/2021 11/20/2046 245,000.00

12/20/2021 G2 MA419536179SUU9 2,974.02-2,974.02 -33.0812/20/2021 01/20/2047 295,000.00

12/20/2021 G2 MA438236179S2P1 918.82-918.82 -38.6912/20/2021 04/20/2047 90,000.00

12/20/2021 G2 MA451036179TAK1 242.36-242.36 -9.9012/20/2021 06/20/2047 25,000.00

12/20/2021 G2 MA458636179TCX1 262.81-262.81 4.5312/20/2021 07/20/2047 25,000.00

12/20/2021 G2 MA458836179TCZ6 1,956.68-1,956.68 -83.7712/20/2021 07/20/2047 230,000.00

12/20/2021 G2 MA458936179TC29 556.92-556.92 -41.4212/20/2021 07/20/2047 65,000.00

12/20/2021 G2 MA471936179TG41 269.75-269.75 -9.0412/20/2021 09/20/2047 25,000.00

12/20/2021 G2 MA483636179TLR4 374.51-374.51 9.6612/20/2021 11/20/2047 30,000.00

12/20/2021 G2 MA483736179TLS2 2,936.00-2,936.00 -34.9512/20/2021 11/20/2047 240,000.00

12/20/2021 G2 MA483836179TLT0 655.24-655.24 -32.8412/20/2021 11/20/2047 65,000.00

12/20/2021 G2 MA502036179TSH9 1,330.99-1,330.99 -49.1112/20/2021 02/20/2048 125,000.00

12/20/2021 G2 MA546636179UCB6 868.06-868.06 -23.2312/20/2021 09/20/2048 95,000.00

12/20/2021 G2 MA552836179UD90 1,511.77-1,511.77 -41.4012/20/2021 10/20/2048 160,000.00

12/20/2021 G2 MA559736179UGE6 715.80-715.80 -31.6512/20/2021 11/20/2048 80,000.00

12/20/2021 G2 MA620936179U3S9 1,562.38-1,562.38 -9.2812/20/2021 10/20/2049 135,000.00

12/20/2021 GNR 2018-124 NW38380Y2X2 818.72-818.72 7.6812/20/2021 09/20/2048 30,000.00

12/20/2021 GNR 2019-44 CA38381TVA0 1,077.55-1,077.55 -25.2512/20/2021 12/20/2048 135,000.00

12/20/2021 SPRINT SPECTRUM / SPEC I85208NAD2 3,750.00-3,750.00 -294.9212/20/2021 03/20/2025 60,000.00

12/22/2021 BAFC 2004-A 1A306051GAX7 15.60-15.60 0.0712/20/2021 09/20/2034 660,000.00

12/23/2021 MARM 2004-13 3A7A576433WL6 281.14-281.14 5.6212/21/2021 11/21/2034 555,000.00

12/25/2021 BSARM 2004-10 14A107384M4F6 2,332.87-2,332.87 126.8912/27/2021 01/25/2035 1,530,000.00

12/25/2021 CRMSI 2007-1 A5173109AE9 8,544.55-8,544.55 2,712.9012/27/2021 03/25/2037 300,000.00

12/25/2021 FN 65592831390TVV8 1,115.40-1,115.40 -73.9012/27/2021 08/01/2032 765,000.00

12/25/2021 FN AB161331416WYK2 1,033.10-1,033.10 -19.3712/27/2021 10/01/2040 305,000.00

12/25/2021 FN AD383031418RHG9 589.38-589.38 -24.3112/27/2021 04/01/2025 390,000.00

12/25/2021 FN AN60463138LJWG1 147.84-147.84 -7.2712/27/2021 07/01/2032 85,000.00

36




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PAYDOWNS

12/25/2021 FN BM44723140J86J7 615.52-615.52 -28.6612/27/2021 07/01/2048 50,000.00

12/25/2021 FN CA11823140Q8J48 1,031.48-1,031.48 -46.8212/27/2021 02/01/2048 90,000.00

12/25/2021 FN CA11873140Q8J97 271.82-271.82 -1.2412/27/2021 02/01/2048 25,000.00

12/25/2021 FN CA17103140Q83U7 1,371.06-1,371.06 -54.6312/27/2021 05/01/2048 150,000.00

12/25/2021 FN CA17113140Q83V5 669.32-669.32 -21.8612/27/2021 05/01/2048 75,000.00

12/25/2021 FN CA22083140Q9N25 1,028.97-1,028.97 -38.3912/27/2021 08/01/2048 75,000.00

12/25/2021 FN CA36333140QBBB3 2,782.99-2,782.99 -181.7612/27/2021 06/01/2049 160,000.00

12/25/2021 FN MA158431418AXN3 536.64-536.64 -18.2812/27/2021 09/01/2033 100,000.00

12/25/2021 FN MA280631418CDL5 965.24-965.24 -3.6212/27/2021 11/01/2046 95,000.00

12/25/2021 FN MA299531418CKH6 641.42-641.42 -33.3512/27/2021 05/01/2047 75,000.00

12/25/2021 FN MA302931418CLK8 675.43-675.43 -17.0412/27/2021 06/01/2032 60,000.00

12/25/2021 FN MA308831418CNE0 1,770.13-1,770.13 -98.1212/27/2021 08/01/2047 200,000.00

12/25/2021 FN MA321031418CR89 2,165.77-2,165.77 11.9312/27/2021 12/01/2047 225,000.00

12/25/2021 FN MA329531418CUV4 1,960.45-1,960.45 -60.0412/27/2021 02/01/2028 132,000.00

12/25/2021 FN MA384631418DHY1 1,686.95-1,686.95 -9.4912/27/2021 11/01/2049 135,000.00

12/25/2021 FN MA415231418DTJ1 2,112.15-2,112.15 -68.8112/27/2021 10/01/2040 160,000.00

12/25/2021 FN MA417631418DUA8 2,332.93-2,332.93 -72.2712/27/2021 11/01/2040 140,000.00

12/25/2021 FN MA433331418DY71 527.44-527.44 -8.6112/27/2021 05/01/2041 50,000.00

12/25/2021 FNR 2001-52 YZ313921MN5 806.79-806.79 -23.2012/27/2021 10/25/2031 575,000.00

12/25/2021 FNR 2018-57 QA3136B2ZR6 1,892.67-1,892.67 -4.1412/27/2021 05/25/2046 115,000.00

12/25/2021 FR SD02313132DMHG3 3,021.34-3,021.34 -178.4512/27/2021 01/01/2050 150,000.00

12/25/2021 FR ZA510331329NU48 493.82-493.82 -28.4712/27/2021 12/01/2047 25,000.00

12/25/2021 FR ZM17793131XU6Q5 4,849.49-4,849.49 -277.3312/27/2021 09/01/2046 380,000.00

12/25/2021 FR ZT14033132ADRY6 245.91-245.91 -6.9212/27/2021 11/01/2033 30,000.00

12/25/2021 MLCC 2003-D A589929V21 1,705.59-1,705.59 13.8612/27/2021 08/25/2028 9,000,000.00

12/25/2021 MSSTR 2004-1 4A155265WBD4 30.83-30.83 -0.6112/27/2021 10/25/2032 550,000.00

12/25/2021 RAST 2004-IP2 2A145660LAP4 28.05-28.05 -0.3812/27/2021 12/25/2034 535,000.00

37




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

PAYDOWNS

12/25/2021 WAMU 2005-AR8 2A1A92922FR75 2,606.64-2,606.64 186.5312/27/2021 07/25/2045 2,500,000.00

12/25/2021 WAMU 2005-AR9 A1B92922FU55 3,873.61-3,873.61 29.0512/27/2021 07/25/2045 6,150,000.00

12/27/2021 ACCR 2005-1 M2004375CU3 15,453.94-15,453.94 656.7912/27/2021 04/25/2035 730,000.00

12/27/2021 CITEL 2007-1 A17284LAA2 1,333.81-1,333.81 123.3812/27/2021 03/25/2042 150,000.00

12/27/2021 CMLTI 2006-HE2 M117309LAF2 12,612.72-12,612.72 78.8312/27/2021 08/25/2036 203,024.00

12/27/2021 CWL 2005-11 MV3126670DC9 27,976.79-27,976.79 26.2312/27/2021 02/25/2036 314,000.00

12/27/2021 CWL 2007-13 2A1126698AC3 1,635.09-1,635.09 519.1412/27/2021 10/25/2047 400,000.00

12/27/2021 HEAT 2005-7 M1437084NZ5 3,981.07-3,981.07 5.9112/27/2021 01/25/2036 128,000.00

12/27/2021 IMM 2004-6 1A145254NJV0 2,652.57-2,652.57 31.5012/27/2021 10/25/2034 4,500,000.00

12/27/2021 INDX 2005-AR18 2A1A45660LWD7 93.42-93.42 48.8112/27/2021 10/25/2036 1,300,000.00

12/27/2021 INDX 2007-FLX2 A1C45668RAC2 4,601.29-4,601.29 2,478.9512/27/2021 04/25/2037 320,000.00

12/27/2021 NAVSL 2014-4 A63938QAA5 850.74-850.74 0.0012/27/2021 03/25/2083 185,000.00

12/27/2021 SAST 2007-3 1A80557BAA2 3,398.96-3,398.96 59.4812/27/2021 09/25/2037 700,000.00

12/29/2021 BABSN 2016-2A AR06761CAA7 31,410.92-31,410.92 0.0012/29/2021 07/20/2028 50,000.00

3,978.87237,150.49TOTAL PAYDOWNS

IO FACTOR ADJUSTMENT

12/16/2021 GNR 2009-66 XS38376FLM2 0.0028,630.99 -168.2012/16/2021 07/16/2039 1,350,000.00

12/16/2021 GNR 2009-8 PS38374TDP6 0.0028,495.04 -223.0712/16/2021 08/16/2038 995,000.00

-391.270.00TOTAL IO FACTOR ADJUSTMENT

INTEREST - BUY & SELL

12/01/2021 US TREASURY N/B912810TB4 -52.840.00 0.0012/02/2021 11/15/2051 60,000.00

12/01/2021 US TREASURY N/B912810SZ2 355.440.00 0.0012/02/2021 08/15/2051 60,000.00

12/01/2021 US TREASURY N/B91282CDA6 19.470.00 0.0012/02/2021 09/30/2023 45,000.00

12/02/2021 BANK OF AMERICA CORP06051GJZ3 -348.990.00 0.0012/06/2021 06/14/2029 35,000.00

12/02/2021 EXXON MOBIL CORPORATION30231GBG6 185.100.00 0.0012/06/2021 03/19/2050 20,000.00

12/02/2021 SHELL INTERNATIONAL FIN822582AY8 -345.800.00 0.0012/06/2021 08/12/2043 24,000.00

12/02/2021 US TREASURY N/B91282CDG3 61.530.00 0.0012/03/2021 10/31/2026 60,000.00

38




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/02/2021 US TREASURY N/B91282CCZ2 69.230.00 0.0012/03/2021 09/30/2026 45,000.00

12/02/2021 US TREASURY N/B91282CDK4 -6.180.00 0.0012/03/2021 11/30/2026 60,000.00

12/03/2021 NCMS 2020-2PAC A63875DAA9 12.360.00 0.0012/07/2021 12/15/2038 25,000.00


12/03/2021 US TREASURY N/B91282CDJ7 139.590.00 0.0012/06/2021 11/15/2031 175,000.00



12/03/2021 US TREASURY N/B91282CDM0 -3.370.00 0.0012/07/2021 11/30/2023 35,000.00







12/06/2021 US TREASURY N/B91282CDD0 34.500.00 0.0012/07/2021 10/31/2023 90,000.00

12/07/2021 JPMORGAN CHASE & CO46647PCP9 157.210.00 0.0012/09/2021 09/22/2027 50,000.00









12/07/2021 US TREASURY N/B912810TA6 328.130.00 0.0012/08/2021 08/15/2041 60,000.00

12/07/2021 US TREASURY N/B912810TC2 -76.240.00 0.0012/08/2021 11/15/2041 60,000.00

12/08/2021 GOLDMAN SACHS GROUP INC38141GWT7 -285.330.00 0.0012/10/2021 02/23/2023 30,000.00

39




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/08/2021 JPMORGAN CHASE & CO46647PBZ8 -48.790.00 0.0012/10/2021 03/16/2024 30,000.00

12/08/2021 JPMORGAN CHASE & CO46647PBK1 83.320.00 0.0012/10/2021 04/22/2026 30,000.00






12/09/2021 BANK OF AMERICA CORP06051GHC6 -1,082.690.00 0.0012/13/2021 12/20/2023 75,000.00

12/09/2021 BANK OF AMERICA CORP06051GJS9 509.360.00 0.0012/13/2021 07/22/2027 75,000.00


12/09/2021 US TREASURY N/B912810TB4 12.950.00 0.0012/10/2021 11/15/2051 10,000.00













12/15/2021 BROADCOM INC11135FAS0 -57.330.00 0.0012/17/2021 11/15/2032 15,000.00




40




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date












12/22/2021 US TREASURY N/B912810TB4 167.300.00 0.0012/23/2021 11/15/2051 85,000.00





12/28/2021 US TREASURY N/B91282CDM0 83.650.00 0.0012/29/2021 11/30/2023 210,000.00

12/29/2021 US TREASURY N/B91282CDK4 133.930.00 0.0012/30/2021 11/30/2026 130,000.00








12/30/2021 US TREASURY N/B91282CDJ7 -87.360.00 0.0012/31/2021 11/15/2031 50,000.00

12/30/2021 US TREASURY N/B91282CDM0 29.810.00 0.0012/31/2021 11/30/2023 70,000.00

12/30/2021 US TREASURY N/B912810TB4 -35.740.00 0.0012/31/2021 11/15/2051 15,000.00

41




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/30/2021 US TREASURY N/B912810TB4 -35.740.00 0.0012/31/2021 11/15/2051 15,000.00

0.003,299.91TOTAL INTEREST - BUY & SELL

INTEREST – CALLED BOND

12/21/2021 AERCAP IRELAND CAP/GLOBA CALLED00772BAR2 614.4440,000.00 0.0012/21/2021 02/01/2022 40,000.00

0.00614.44TOTAL INTEREST – CALLED BOND

INTEREST - MORTGAGE COUPON

12/05/2021 JPMCC 2019-OSB A46651EAA2 56.6220,000.00 0.0012/06/2021 06/05/2039 20,000.00

12/05/2021 SFAVE 2015-5AVE A178413MAA6 72.6022,500.00 0.0012/06/2021 01/05/2043 22,500.00

12/09/2021 BX 2019-OC11 A05606FAA1 40.0315,000.00 0.0012/09/2021 12/09/2041 15,000.00

12/10/2021 BAMLL 2018-PARK A05491YAA8 119.3135,000.00 0.0012/10/2021 08/10/2038 35,000.00

12/10/2021 CALI 2019-101C A129890AA7 82.4425,000.00 0.0012/10/2021 03/10/2039 25,000.00

12/10/2021 COMM 2015-CR27 A312635QBF6 270.7196,997.93 0.0012/10/2021 10/10/2048 97,000.00

12/10/2021 GSMS 2017-GS5 A436252HAD3 183.7060,000.00 0.0012/10/2021 03/10/2050 60,000.00

12/10/2021 HY 2019-30HY A44421GAA1 67.2525,000.00 0.0012/10/2021 07/10/2039 25,000.00

12/10/2021 HY 2019-55HY A44421MAA8 61.3125,000.00 0.0012/10/2021 12/10/2041 25,000.00

12/12/2021 MKT 2020-525M A55316PAA5 78.5835,000.00 0.0012/13/2021 02/12/2040 35,000.00

12/13/2021 CPTS 2019-CPT A12654YAA7 59.6925,000.00 0.0012/13/2021 11/13/2039 25,000.00

12/13/2021 RBSCF 2013-GSP A74932QAA8 79.8725,000.00 0.0012/13/2021 01/15/2032 25,000.00

12/15/2021 BSPRT 2018-FL4 A05586AAA6 14.8415,631.14 0.0012/15/2021 09/15/2035 63,000.00

12/15/2021 BX 2019-CALM A05608FAA9 66.8283,000.00 0.0012/15/2021 11/15/2032 83,000.00

12/15/2021 BX 2019-XL A056054AA7 70.7284,018.55 0.0012/15/2021 10/15/2036 100,000.00

12/15/2021 DCOT 2019-MTC A23312BAA8 61.7725,000.00 0.0012/15/2021 09/15/2045 25,000.00

12/15/2021 FG A615273128KRVU5 50.9912,236.72 0.0012/15/2021 07/01/2036 520,000.00

12/15/2021 FG G063613128M8MJ0 151.1645,349.15 0.0012/15/2021 03/01/2041 210,000.00

12/15/2021 FG G079253128MAD63 118.0135,402.83 0.0012/15/2021 02/01/2045 116,000.00

12/15/2021 FG G086983128MJX47 11.183,834.60 0.0012/15/2021 03/01/2046 20,000.00

12/15/2021 FG G087113128MJYH7 125.7543,113.87 0.0012/15/2021 06/01/2046 205,000.00

42




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/15/2021 FG G087213128MJYT1 111.1344,450.97 0.0012/15/2021 09/01/2046 160,000.00

12/15/2021 FG G087263128MJYY0 139.6355,852.22 0.0012/15/2021 10/01/2046 200,000.00

12/15/2021 FG G087473128MJZM5 27.8411,135.19 0.0012/15/2021 02/01/2047 31,000.00

12/15/2021 FG G087503128MJZQ6 44.4317,771.41 0.0012/15/2021 03/01/2047 49,000.00

12/15/2021 FG G087963128MJ3E8 41.2614,147.81 0.0012/15/2021 01/01/2048 60,000.00

12/15/2021 FG G088003128MJ3J7 49.3716,927.93 0.0012/15/2021 02/01/2048 75,000.00

12/15/2021 FG G088163128MJ4A5 68.6523,537.70 0.0012/15/2021 06/01/2048 140,000.00

12/15/2021 FG G088333128MJ4T4 32.987,914.72 0.0012/15/2021 07/01/2048 35,000.00

12/15/2021 FG G088433128MJ5D8 35.959,586.25 0.0012/15/2021 10/01/2048 50,000.00

12/15/2021 FG G167283128MFVV7 70.2133,701.58 0.0012/15/2021 11/01/2031 70,000.00

12/15/2021 FG G167563128MFWR5 77.8126,677.13 0.0012/15/2021 01/01/2034 85,000.00

12/15/2021 FG G187133128MMYK3 64.1321,987.12 0.0012/15/2021 11/01/2033 105,000.00

12/15/2021 FG G6027831335AJX7 128.4338,528.07 0.0012/15/2021 10/01/2045 110,000.00

12/15/2021 FG G6044031335APZ5 305.95104,898.09 0.0012/15/2021 03/01/2046 306,000.00

12/15/2021 FG G6065931335AWU8 78.1026,778.06 0.0012/15/2021 08/01/2046 80,000.00

12/15/2021 FG G6176531335B6A9 41.6212,484.55 0.0012/15/2021 02/01/2048 50,000.00

12/15/2021 FG G677033132XCRY3 139.3447,773.88 0.0012/15/2021 04/01/2047 115,000.00

12/15/2021 FG G677063132XCR31 196.3867,329.14 0.0012/15/2021 12/01/2047 155,000.00

12/15/2021 FG G677073132XCR49 133.7145,844.43 0.0012/15/2021 01/01/2048 90,000.00

12/15/2021 FG G677083132XCR56 297.54102,015.06 0.0012/15/2021 03/01/2048 250,000.00

12/15/2021 FG G677093132XCR64 172.7859,237.27 0.0012/15/2021 03/01/2048 125,000.00

12/15/2021 FG G677103132XCR72 294.32100,908.34 0.0012/15/2021 03/01/2048 265,000.00

12/15/2021 FG G677133132XCSA4 64.1419,242.00 0.0012/15/2021 06/01/2048 55,000.00

12/15/2021 FG G677183132XCSF3 94.4228,325.13 0.0012/15/2021 01/01/2049 85,000.00

12/15/2021 FG Q052613132GLQN7 124.3942,649.39 0.0012/15/2021 12/01/2041 165,000.00

12/15/2021 FG Q201783132JMFT1 247.0884,713.56 0.0012/15/2021 07/01/2043 220,000.00

12/15/2021 FHR 2368 AS31339GNQ0 165.219,578.23 0.0012/15/2021 10/15/2031 500,000.00

43




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/15/2021 FHR 2433 SA3133TVPR1 138.078,004.64 0.0012/15/2021 02/15/2032 275,000.00

12/15/2021 FHR 2684 ZN31394L5S7 76.2822,883.67 0.0012/15/2021 10/15/2033 190,000.00

12/15/2021 FHR 4818 CA3137FGVJ1 24.329,728.97 0.0012/15/2021 04/15/2048 50,000.00

12/15/2021 GN 37646336204QFC9 2.33430.34 0.0012/15/2021 04/15/2024 341,247.00

12/15/2021 GN 78003536225ABC3 1.46270.37 0.0012/15/2021 07/15/2024 199,051.00

12/15/2021 GN 78281836241LDX1 259.5669,215.28 0.0012/15/2021 11/15/2039 430,000.00

12/15/2021 HENDR 2013-3A A46617LAA9 144.6942,555.51 0.0012/15/2021 01/17/2073 75,000.00

12/15/2021 HENDR 2014-2A A46618AAA2 168.7556,094.90 0.0012/15/2021 01/17/2073 90,000.00

12/15/2021 MDST 2004-1 B59560UAD3 287.5038,764.46 0.0012/15/2021 08/15/2037 400,000.00

12/15/2021 NCMS 2020-2PAC A63875DAA9 61.7925,000.00 0.0012/15/2021 12/15/2038 25,000.00

12/15/2021 OBP 2019-OBP A68236JAA9 73.4035,000.00 0.0012/15/2021 09/15/2054 35,000.00

12/15/2021 SLMA 2003-7A A5A78442GHH2 131.5239,535.76 0.0012/15/2021 12/15/2033 110,000.00

12/16/2021 FSRIA 2019-FL1 A30312UAA1 69.8265,000.00 0.0012/16/2021 12/16/2036 65,000.00

12/16/2021 GNR 2009-66 XS38376FLM2 167.1429,887.12 0.0012/16/2021 07/16/2039 1,350,000.00

12/16/2021 GNR 2009-8 PS38374TDP6 157.5530,440.05 0.0012/16/2021 08/16/2038 995,000.00

12/17/2021 SEACO 2014-1A A237952UAE3 58.3722,666.67 0.0012/17/2021 07/17/2029 85,000.00

12/19/2021 SAMI 2004-AR1 1A186359LAP4 49.3275,031.96 0.0012/20/2021 03/19/2034 6,700,000.00

12/20/2021 BAFC 2004-A 1A306051GAX7 5.512,650.54 0.0012/20/2021 09/20/2034 660,000.00

12/20/2021 G2 MA352136179R4E6 38.5213,207.01 0.0012/20/2021 03/20/2046 70,000.00

12/20/2021 G2 MA366236179SB71 68.0627,222.13 0.0012/20/2021 05/20/2046 125,000.00

12/20/2021 G2 MA393736179SLS4 188.4664,613.89 0.0012/20/2021 09/20/2046 275,000.00

12/20/2021 G2 MA406936179SQW0 172.8159,250.30 0.0012/20/2021 11/20/2046 245,000.00

12/20/2021 G2 MA419536179SUU9 199.8679,946.55 0.0012/20/2021 01/20/2047 295,000.00

12/20/2021 G2 MA438236179S2P1 59.4620,387.96 0.0012/20/2021 04/20/2047 90,000.00

12/20/2021 G2 MA451036179TAK1 17.095,857.85 0.0012/20/2021 06/20/2047 25,000.00

12/20/2021 G2 MA458636179TCX1 17.676,057.41 0.0012/20/2021 07/20/2047 25,000.00

12/20/2021 G2 MA458836179TCZ6 156.0541,614.17 0.0012/20/2021 07/20/2047 230,000.00

44




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/20/2021 G2 MA458936179TC29 49.9211,980.20 0.0012/20/2021 07/20/2047 65,000.00

12/20/2021 G2 MA471936179TG41 17.325,937.27 0.0012/20/2021 09/20/2047 25,000.00

12/20/2021 G2 MA483636179TLR4 20.007,999.64 0.0012/20/2021 11/20/2047 30,000.00

12/20/2021 G2 MA483736179TLS2 175.8260,278.57 0.0012/20/2021 11/20/2047 240,000.00

12/20/2021 G2 MA483836179TLT0 48.3514,505.32 0.0012/20/2021 11/20/2047 65,000.00

12/20/2021 G2 MA502036179TSH9 87.6626,295.55 0.0012/20/2021 02/20/2048 125,000.00

12/20/2021 G2 MA546636179UCB6 60.3318,099.21 0.0012/20/2021 09/20/2048 95,000.00

12/20/2021 G2 MA552836179UD90 99.2529,774.08 0.0012/20/2021 10/20/2048 160,000.00

12/20/2021 G2 MA559736179UGE6 47.2211,333.03 0.0012/20/2021 11/20/2048 80,000.00

12/20/2021 G2 MA620936179U3S9 49.5619,824.42 0.0012/20/2021 10/20/2049 135,000.00

12/20/2021 GNR 2017-93 YE38380FAL0 187.5075,000.00 0.0012/20/2021 07/20/2046 75,000.00

12/20/2021 GNR 2018-124 NW38380Y2X2 37.1212,728.55 0.0012/20/2021 09/20/2048 30,000.00

12/20/2021 GNR 2019-44 CA38381TVA0 30.7310,536.22 0.0012/20/2021 12/20/2048 135,000.00

12/21/2021 MARM 2004-13 3A7A576433WL6 106.1846,646.83 0.0012/21/2021 11/21/2034 555,000.00

12/25/2021 BSARM 2004-10 14A107384M4F6 108.7749,349.63 0.0012/27/2021 01/25/2035 1,530,000.00

12/25/2021 CRMSI 2007-1 A5173109AE9 699.97165,797.83 0.0012/27/2021 03/25/2037 300,000.00

12/25/2021 FHMS K157 A33137FHQ71 166.2550,000.00 0.0012/27/2021 08/25/2033 50,000.00

12/25/2021 FN 65592831390TVV8 110.1418,881.19 0.0012/27/2021 08/01/2032 765,000.00

12/25/2021 FN AB161331416WYK2 168.2950,487.60 0.0012/27/2021 10/01/2040 305,000.00

12/25/2021 FN AD383031418RHG9 54.0714,419.90 0.0012/27/2021 04/01/2025 390,000.00

12/25/2021 FN AN60463138LJWG1 209.6378,122.67 0.0012/27/2021 07/01/2032 85,000.00

12/25/2021 FN AN76303138LLPQ2 98.7537,500.00 0.0012/27/2021 12/01/2032 37,500.00

12/25/2021 FN BL60603140HXWW6 81.8340,000.00 0.0012/27/2021 04/01/2040 40,000.00

12/25/2021 FN BM44723140J86J7 71.6424,563.81 0.0012/27/2021 07/01/2048 50,000.00

12/25/2021 FN CA11823140Q8J48 108.7037,268.37 0.0012/27/2021 02/01/2048 90,000.00

12/25/2021 FN CA11873140Q8J97 17.485,994.51 0.0012/27/2021 02/01/2048 25,000.00

12/25/2021 FN CA17103140Q83U7 137.9636,790.55 0.0012/27/2021 05/01/2048 150,000.00

45




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/25/2021 FN CA17113140Q83V5 66.7117,788.95 0.0012/27/2021 05/01/2048 75,000.00

12/25/2021 FN CA22083140Q9N25 65.9017,574.16 0.0012/27/2021 08/01/2048 75,000.00

12/25/2021 FN CA36333140QBBB3 240.1882,347.11 0.0012/27/2021 06/01/2049 160,000.00

12/25/2021 FN MA158431418AXN3 59.9120,540.90 0.0012/27/2021 09/01/2033 100,000.00

12/25/2021 FN MA280631418CDL5 72.3828,953.04 0.0012/27/2021 11/01/2046 95,000.00

12/25/2021 FN MA299531418CKH6 47.9614,388.25 0.0012/27/2021 05/01/2047 75,000.00

12/25/2021 FN MA302931418CLK8 42.9317,172.02 0.0012/27/2021 06/01/2032 60,000.00

12/25/2021 FN MA308831418CNE0 134.9040,470.25 0.0012/27/2021 08/01/2047 200,000.00

12/25/2021 FN MA321031418CR89 154.1652,853.31 0.0012/27/2021 12/01/2047 225,000.00

12/25/2021 FN MA329531418CUV4 135.5746,481.39 0.0012/27/2021 02/01/2028 132,000.00

12/25/2021 FN MA384631418DHY1 57.0722,829.15 0.0012/27/2021 11/01/2049 135,000.00

12/25/2021 FN MA415231418DTJ1 216.18129,710.68 0.0012/27/2021 10/01/2040 160,000.00

12/25/2021 FN MA417631418DUA8 195.24117,143.12 0.0012/27/2021 11/01/2040 140,000.00

12/25/2021 FN MA433331418DY71 79.3747,622.71 0.0012/27/2021 05/01/2041 50,000.00

12/25/2021 FNR 2001-52 YZ313921MN5 150.4627,777.69 0.0012/27/2021 10/25/2031 575,000.00

12/25/2021 FNR 2018-57 QA3136B2ZR6 61.6421,135.07 0.0012/27/2021 05/25/2046 115,000.00

12/25/2021 FR SD02313132DMHG3 254.26101,703.89 0.0012/27/2021 01/01/2050 150,000.00

12/25/2021 FR ZA510331329NU48 15.535,324.38 0.0012/27/2021 12/01/2047 25,000.00

12/25/2021 FR ZM17793131XU6Q5 287.37114,948.63 0.0012/27/2021 09/01/2046 380,000.00

12/25/2021 FR ZT14033132ADRY6 20.316,963.18 0.0012/27/2021 11/01/2033 30,000.00

12/25/2021 MLCC 2003-D A589929V21 43.8473,891.25 0.0012/27/2021 08/25/2028 9,000,000.00

12/25/2021 MSSTR 2004-1 4A155265WBD4 8.374,169.19 0.0012/27/2021 10/25/2032 550,000.00

12/25/2021 RAST 2004-IP2 2A145660LAP4 21.639,213.49 0.0012/27/2021 12/25/2034 535,000.00

12/25/2021 WAMU 2005-AR8 2A1A92922FR75 51.8392,550.03 0.0012/27/2021 07/25/2045 2,500,000.00

12/25/2021 WAMU 2005-AR9 A1B92922FU55 91.96129,547.76 0.0012/27/2021 07/25/2045 6,150,000.00

12/27/2021 ACCR 2005-1 M2004375CU3 118.97122,627.11 0.0012/27/2021 04/25/2035 730,000.00

12/27/2021 CITEL 2007-1 A17284LAA2 19.6434,954.41 0.0012/27/2021 03/25/2042 150,000.00

46




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date


12/27/2021 CMLTI 2006-HE2 M117309LAF2 35.62108,276.79 0.0012/27/2021 08/25/2036 203,024.00

12/27/2021 CWL 2005-11 MV3126670DC9 89.37117,009.31 0.0012/27/2021 02/25/2036 314,000.00

12/27/2021 CWL 2007-13 2A1126698AC3 72.5184,881.65 0.0012/27/2021 10/25/2047 400,000.00

12/27/2021 HEAT 2005-7 M1437084NZ5 5.938,983.85 0.0012/27/2021 01/25/2036 128,000.00

12/27/2021 IMM 2004-6 1A145254NJV0 31.5141,022.24 0.0012/27/2021 10/25/2034 4,500,000.00

12/27/2021 INDX 2005-AR18 2A1A45660LWD7 97.33158,831.39 0.0012/27/2021 10/25/2036 1,300,000.00

12/27/2021 INDX 2007-FLX2 A1C45668RAC2 65.27269,119.40 0.0012/27/2021 04/25/2037 320,000.00

12/27/2021 NAVSL 2014-4 A63938QAA5 54.5688,990.09 0.0012/27/2021 03/25/2083 185,000.00

12/27/2021 NSLT 2014-4A A264033MAB4 103.19115,000.00 0.0012/27/2021 11/25/2048 115,000.00

12/27/2021 SAST 2007-3 1A80557BAA2 39.12113,013.73 0.0012/27/2021 09/25/2037 700,000.00

12/29/2021 BABSN 2016-2A AR06761CAA7 73.990.00 0.0012/29/2021 07/20/2028 50,000.00

0.0014,318.62TOTAL INTEREST - MORTGAGE COUPON

INTEREST - NON MORTGAGE COUPON

12/01/2021 AEP TRANSMISSION CO LLC00115AAH2 656.2535,000.00 0.0012/01/2021 12/01/2047 35,000.00

12/01/2021 AT&T INC00206RMM1 1,262.2599,000.00 0.0012/01/2021 12/01/2033 99,000.00

12/01/2021 AT&T INC00206RMN9 1,254.0066,000.00 0.0012/01/2021 12/01/2057 66,000.00

12/01/2021 FRESENIUS MED CARE III35805BAC2 351.8235,000.00 0.0012/01/2021 12/01/2026 35,000.00

12/02/2021 WELLS FARGO & COMPANY95000U2S1 418.7835,000.00 0.0012/02/2021 06/02/2028 35,000.00

12/04/2021 KRAFT HEINZ FOODS CO50076QAE6 250.0010,000.00 0.0012/06/2021 06/04/2042 10,000.00

12/05/2021 CREDIT SUISSE GROUP AG225401AQ1 1,041.6995,000.00 0.0012/06/2021 06/05/2026 95,000.00

12/06/2021 BECTON DICKINSON AND CO075887BV0 235.4114,000.00 0.0012/06/2021 06/06/2024 14,000.00

12/09/2021 CITIGROUP INC172967NA5 548.2575,000.00 0.0012/09/2021 06/09/2027 75,000.00

12/09/2021 GOLDMAN SACHS GROUP INC38141GXM1 81.9815,000.00 0.0012/09/2021 12/09/2026 15,000.00

12/14/2021 BANK OF AMERICA CORP06051GJZ3 365.2335,000.00 0.0012/14/2021 06/14/2029 35,000.00

12/14/2021 SANTANDER UK GROUP HLDGS80281LAQ8 418.2550,000.00 0.0012/14/2021 06/14/2027 50,000.00

12/15/2021 ABBVIE INC00287YDA4 606.2525,000.00 0.0012/15/2021 06/15/2044 25,000.00

12/15/2021 AT&T INC00206RBH4 645.0030,000.00 0.0012/15/2021 12/15/2042 30,000.00

47




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

INTEREST - NON MORTGAGE COUPON

12/15/2021 BAYER US FINANCE II LLC07274NAJ2 1,275.0060,000.00 0.0012/15/2021 12/15/2025 60,000.00

12/15/2021 BAYER US FINANCE II LLC07274NAL7 656.2530,000.00 0.0012/15/2021 12/15/2028 30,000.00

12/15/2021 DUKE ENERGY CAROLINAS26442CAM6 1,062.5050,000.00 0.0012/15/2021 12/15/2041 50,000.00

12/15/2021 DUKE ENERGY CORP26441CBL8 786.2560,000.00 0.0012/15/2021 06/15/2031 60,000.00

12/15/2021 HCA INC404119BT5 656.2525,000.00 0.0012/15/2021 06/15/2026 25,000.00

12/15/2021 HCA INC404119BX6 1,010.6349,000.00 0.0012/15/2021 06/15/2029 49,000.00

12/15/2021 HCA INC404119BY4 384.3815,000.00 0.0012/15/2021 06/15/2039 15,000.00

12/15/2021 HCA INC404119BZ1 525.0020,000.00 0.0012/15/2021 06/15/2049 20,000.00

12/15/2021 NATIONWIDE MUTUAL INSURA638671AJ6 638.59105,000.00 0.0012/15/2021 12/15/2024 105,000.00

12/19/2021 VODAFONE GROUP PLC92857WBS8 1,755.0072,000.00 0.0012/20/2021 06/19/2049 72,000.00

12/20/2021 BANK OF AMERICA CORP06051GHC6 1,126.5075,000.00 0.0012/20/2021 12/20/2023 75,000.00

12/20/2021 SPRINT SPECTRUM / SPEC I85208NAE0 1,610.00125,000.00 0.0012/20/2021 03/20/2028 125,000.00

12/20/2021 SPRINT SPECTRUM / SPEC I85208NAD2 621.8652,500.00 0.0012/20/2021 03/20/2025 60,000.00

12/23/2021 JPMORGAN CHASE & CO46647PCK0 290.7060,000.00 0.0012/23/2021 06/23/2025 60,000.00

12/25/2021 BAYER US FINANCE II LLC07274NAN3 115.635,000.00 0.0012/27/2021 06/25/2038 5,000.00

12/25/2021 BAYER US FINANCE II LLC07274NAQ6 1,584.3965,000.00 0.0012/27/2021 06/25/2048 65,000.00

12/29/2021 FORD MOTOR CREDIT CO LLC345397YJ6 17.725,000.00 0.0012/29/2021 03/28/2022 5,000.00

12/30/2021 GENERAL MOTORS FINL CO37045XBY1 472.5030,000.00 0.0012/30/2021 06/30/2022 30,000.00

0.0022,724.31TOTAL INTEREST - NON MORTGAGE COUPON

INTEREST - STIF

12/02/2021 STIF INTERESTN/A 11.510.00 0.0012/02/2021 0.00

0.0011.51TOTAL INTEREST - STIF

CONTRIBUTIONS/WITHDRAWALS - CASH

12/22/2021 WITHDRAWALN/A -685,000.000.00 0.0012/22/2021 0.00

0.00-685,000.00TOTAL CONTRIBUTIONS/WITHDRAWALS - CASH

MARGIN FLOW

12/01/2021 US 2YR NOTE (CBT) MAR22TUH2 328.120.00 0.0012/02/2021 03/31/2022 0.00

48




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

MARGIN FLOW

12/01/2021 US ULTRA BOND CBT MAR22WNH2 250.000.00 0.0012/02/2021 03/22/2022 0.00



12/03/2021 US 2YR NOTE (CBT) MAR22TUH2 -281.260.00 0.0012/06/2021 03/31/2022 0.00

12/03/2021 US ULTRA BOND CBT MAR22WNH2 3,468.750.00 0.0012/06/2021 03/22/2022 0.00


12/06/2021 US ULTRA BOND CBT MAR22WNH2 -3,187.500.00 0.0012/07/2021 03/22/2022 0.00








12/10/2021 US ULTRA BOND CBT MAR22WNH2 -500.000.00 0.0012/13/2021 03/22/2022 0.00













49




As of 12/31/2021



FaceRealized


NetAmount

OriginalFacePrice

Currency: US Dollar

Settle DateMaturity

Date

MARGIN FLOW

















0.00-2,312.50TOTAL MARGIN FLOW

-10,504.66TOTALS 1,068,719.35

50

Metropolitan West Asset Management, LLC, TCW Asset Management Company LLC, and TCW Investment Management Company LLC are wholly owned subsidiaries of TheTCW Group Inc. (“TCW”).

This statement was prepared as a private communication to clients regarding an account with TCW, and is not intended for public circulation. Clients may authorize TCW inwriting to distribute this statement to their consultants or other agents. TCW manages a number of separate strategies, and the holdings in each separate strategy may differdepending on the portfolio manager’s views or analysis with respect to a particular company, security or the economy.

As part of the respective investment process, some TCW equity strategies have a defined range or maximum number of securities for the portfolio. The number of securitiesreflected in this statement may be over or under the range or maximum number due to open orders.

Nothing in this statement constitutes investment, legal, accounting, or tax advice, or a representation that any investment strategy is suitable or appropriate to therecipient’s individual circumstances. This statement is not to be relied upon for investment decisions by the client, or as a substitute for the exercise of independentjudgment by its recipient.

This statement is provided to its recipient as an indication of the holdings of the client’s account as of the date the statement was generated. This statement should not berelied upon to make investment decisions with respect to holdings of the portfolio. TCW may in fact be currently recommending the purchase of a security or the sale of asecurity regardless of any statement made in this document about that security and whether it is held in the client portfolio.

Important Information Regarding Risk FactorsInvestment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or marketconditions or other unanticipated factors. The price and value of any of the securities or financial instruments mentioned in this statement are subject to variability and canfall as well as rise. Past performance is no guarantee of future results.

Important Information Regarding Client ResponsibilitiesClients are requested to carefully review all portfolio holdings and strategies and to promptly inform TCW of any potential or perceived policy or guideline inconsistencies. Inparticular, TCW understands that guideline enabling language is subject to a measure of interpretation and TCW strongly encourages clients to express any contrastinginterpretation as soon as practical. Due to changing industry standards and the wide variety of interpretations to which a client guideline may be subjected, there can be noassurance that TCW’s interpretation will conform to that of clients or their consultants. TCW Client Services can be reached by calling (213) 244-0810, or [email protected].

Clients are also requested to notify TCW of any updates to Client’s organization, such as (but not limited to) adding affiliates (including broker dealer affiliates), issuingadditional securities, name changes, mergers or other alterations to Client’s legal structure.

Important Information Regarding This Report

The manager has the discretion to assign a security to a country other than its Bloomberg Country of Risk in the event that (i) the relevant index has assigned the security tothat country and/or (ii) the largest share of its income and/or assets is generated or located in that country.




As of 12/31/2021

© 2016 The TCW Group Inc. 51

Nimbus 9

QUARTERLY REVIEW

Large-Cap Growth Fund - I Class 1As of December 31, 2021

Not for use with Individual Investors. 1

PERFORMANCE(NAV, total return) Annualized

ThreeMonths

OneYear

ThreeYears

FiveYears

TenYears

FifteenYears

Large-Cap Growth Fund - I Class 6.14% 23.18% 30.24% 26.00% 20.84% 14.38%

Russell 1000 Growth Index 11.64 27.60 34.08 25.32 19.79 13.72

PORTFOLIO HIGHLIGHTS

The portfolio underperformed the Russell 1000 Growth Index during thethree-month period ended December 31, 2021. Relative performance drivers:p Stock selection in the information technology sector detracted the most

from relative returns.p Conversely, health care helped relative performance the most due to

security choices. Additional highlights:p Uncertainty around the duration of inflationary pressures remains the

primary risk as we look ahead, spurred by continued labor shortages andsupply chain disruptions.

p We continue to lean heavily on our analyst platform for unique insights aswe look to identify the companies that we think are best positioned tomanage through the current environment.

FUND INFORMATION

Symbol TRLGX 1

CUSIP 45775L408 2

Inception Date of Fund October 31, 2001 3

Benchmark Russell 1000 GrowthIndex 4

Expense Information (as of themost recent Prospectus) 0.56% 5

Fiscal Year End December 31 6

12B-1 Fee – 7

Total Assets (all shareclasses) $24,771,913,088 8

Percent of Portfolio in Cash 0.8% 9

CALENDAR YEAR PERFORMANCE(NAV, total return)

Inception Date 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Large-Cap Growth Fund - I Class Oct 31 2001 17.55% 44.44% 8.72% 10.08% 2.85% 37.82% 4.32% 28.49% 39.56% 23.18%

Russell 1000 Growth Index 15.26 33.48 13.05 5.67 7.08 30.21 -1.51 36.39 38.49 27.60

Performance data quoted represents past performance and is not a reliable indicator of future performance. Investment return and principal value willfluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higherthan the performance data quoted. To obtain the most recent month-end performance, visit troweprice.com. Consider the investment objectives, risks,and charges and expenses carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, call1-800-638-7780 or visit troweprice.com. Read it carefully. The Fund’s total return figures reflect the reinvestment of dividends and capital gains, if any.¹ The Institutional Large-Cap Growth Fund changed its name to Large-Cap Growth Fund and designated all outstanding shares as I Class as of May 1, 2020.Performance shown prior to May 1, 2020, reflects the performance of the fund while it was structured as the T. Rowe Price Institutional Large-Cap Growth Fund.The Fund is subject to the volatility inherent in common stock investing, and its share price may fluctuate more than a Fund investing in income-oriented stocks.The fund(s) may have other share classes available that offer different investment minimums and fees. See the prospectus for details. For Sourcing Information,please see Additional Disclosures.

Item: 6hDate: 02/16/22

Large-Cap Growth Fund - I Class As of December 31, 2021


PERFORMANCE REVIEWStrong Profits Support Markets in the Face of Virus and RateWorriesStocks recorded solid gains in the quarter after overcoming alate-November sell-off in reaction to the global spread of theomicron variant of the coronavirus. Growth stocks outpaced valueshares among large-caps, but value stocks generally performedbetter among mid- and small-caps. As the quarter came to an end,investors seemed reassured that the omicron variant appeared tocause milder illness and seemed to have peaked rapidly in SouthAfrica, where it was first discovered. In addition, the approval oftwo new pill-based treatments for those seriously ill with COVID-19seemed to calm fears. The prospect of higher interest rates as theFederal Reserve took its first tightening steps also periodicallyweighed on sentiment. Consumer prices rose 6.8% in the 12months ended in November, the biggest increase since 1982.Nevertheless, investor sentiment alongside corporate profitsseemed to remain resilient in the face of higher input and wagecosts.

Stock Selection in Information Technology Detracted the Mostfrom Relative ReturnsTech stocks were volatile amid inflation concerns, depressed jobgrowth, and the potential effect of the omicron variant oneconomic recovery. However, select names profited frombusinesses reopening and updating aging hardware andequipment.p Shares of Global Payments fell amid reduced guidance on

revenue, which fell slightly shy of Wall Street's expectations.Investors also expressed concern regarding missed quarterlysales expectations. Total operating expenses for the thirdquarter experienced a significant year-over-year increase dueto rising cost of service and higher selling, general, andadministrative costs. Overall, negative investor sentimentsurrounding the disruption of legacy payment namescontinues to be a major overhang on the stock. However, wecontinue to see potential in Global Payments forintermediate-term earnings growth, driven by strongerrevenues from technology products and synergies fromacquisitions.

p An underweight position in NVIDIA weighed on relative returns.Shares of the company surged after it announced strongthird-quarter results, with revenues and earnings toppingconsensus estimates and raised guidance for the upcomingquarter. The company posted high double-digit growth in datacenter revenue, driven by graphical processing unit sales to"hyperscale customers" such as Amazon, Microsoft, andAlphabet. The gaming segment also grew strongly due toincreased sales of its GeForce consumer graphics processors,while the relatively new professional visualization product linemore than doubled as firms continued to buy powerful laptopworkstations for their staff to use at home. The company isalso enjoying tailwinds from Micron Technology's favorablequarterly report, which indicates chip shortages to ease overthe coming year.

Communication Services Hurt Due to an OverweightAllocation and Stock ChoicesThe integration and implementation of 5G continued to be a focuswithin the sector, with many companies striving to be the leader inservices and products provided on the newest wireless standard.

Certain names within the entertainment industry also benefitedfrom the resumption of live concerts and festivals as well as "digitalfirst" initiatives to attract and maintain a younger viewing audience.p Shares of Snap Inc. fell due to weak third-quarter earnings

results as the firm continues to remain unprofitable despiterobust sales growth. Concerns about the changes to iOSprivacy settings that arose in the fourth quarter have hurt socialmedia companies like Snap. Making matters worse, classaction lawsuits were announced in November, alleging thatSnap misled investors about the extent to which iOS privacysettings updates can impact its operations and business.Going forward, we feel that network effects and innovations intechnology should continue to drive user growth andengagement, paving the way for ad expansion that we thinkcould drive earnings growth over time.

Consumer Discretionary Hampered Relative Results Due toSecurity SelectionThe improving economy continued to be a positive for some of theprevious laggards in the sector, and the ongoing shift towarde-commerce remained supportive for online retailers. However, theenduring semiconductor chip shortage and supply chain issueswere a hindrance to automobiles and consumer electronicproduction.p An underweight position in Tesla hurt relative performance.

Shares climbed higher as the company successfully rampedproduction amid a global supply chain disruption to meetstrong demand for electric vehicles (EVs). Profitability alsobenefited from a mix of higher-margin Model Y deliveries,particularly in China. While we appreciate Tesla's currentleadership in the EV space and the company's high level ofdifferentiated innovation, we continue to maintain cautionbased on what we believe is a dislocation between valuationand fundamentals and concerns over the emergence oflegitimate competition on the horizon.

Health Care Helped Relative Performance the Most Due toSecurity ChoicesSelect names within biotechnology and pharmaceuticalscontinued to benefit from strong drug pipeline advancements,including the more recent authorization of antiviral pills to treatCOVID-19. However, despite a return in demand, electiveprocedures were pared back due to a spike in omicronvariant-related hospitalizations.p Shares of UnitedHealth Group traded higher following

better-than-feared patient-related expenses despite increasingutilization rates. The company also guided earnings growthhigher for 2022, signaling expectations for fadingcoronavirus-related headwinds.

PORTFOLIO POSITIONING AND ACTIVITYThe fourth quarter was marked by a return of volatility, spurred bythe emergence of the omicron variant of the coronavirus and thepotential for accelerated future interest rate hikes. In the large-capspace, growth outperformed value by a wide margin, driven byextremely narrow leadership among a handful of tech stocks thatinvestors perceived as a safe haven due to the powerful seculartailwinds that support them. Given the dynamic landscape, weshuffled our exposure to take advantage of names that offer solidgrowth profiles or where we have become more constructive onthe business. We also sought to limit our exposure to certainnames facing regulatory headwinds.



Information TechnologyDisruptive business models and technologies within the sectorcontinue to present compelling investment opportunities. Seculardemand for public cloud computing services continues to be agrowth driver. We also continue to favor companies driven by theconvergence of communications and computing, includinginternet software companies, and those that will benefit frombroad global tailwinds in digital payments.p We bought shares of Fiserv as part of an effort to rotate capital

within the legacy payment processors space toward namesthat offer a slightly more insulated growth profile. In particular,we are optimistic about the company's Clover service, afast-growing open architecture point-of-sale enterprise thattargets small and medium-sized businesses.

p Within card networks, we rotated funds from Visa toMasterCard in order to take advantage of a better growthprofile that offers more credit and cross-border exposure as weapproach the other side of the coronavirus pandemic.

Consumer DiscretionaryWe are optimistic about stock-specific opportunities within theconsumer discretionary sector. We favor businesses benefitingfrom the secular shift of consumer spending to online productsand services. We believe that industries such as physical retail andtraditional media are secularly challenged, and we will continue toemphasize companies within the sector that we think are on theright side of change and disruption.p We sold shares of Chinese technology company Alibaba

Group Holding on reduced risk/reward. The stock has taken ahit following a wave of new regulations in the country,including rules focused on banning anticompetitive practices.The company also faces competitive headwinds and cyclicalchallenges that have degraded the near-term growth thesis.

Communication ServicesWithin the sector, we are focused on companies that arebenefiting from the shift of advertising spending to digital andsocial media channels. We also favor wireless communicationservices firms with strong company-specific growth prospects andcompetitive advantages or differentiated business models.p We sold shares of Chinese internet giant Tencent Holdings

amid a wave of new regulations aimed at Chinese internetcompanies. Although we still believe Tencent is thebest-positioned company in its space, with ample opportunityto further monetize its large, rapidly growing user base, theregulatory landscape in China is still fluid and poses significantheadline risk for the stock.

MANAGER'S OUTLOOKUncertainty around the duration of inflationary pressures remains theprimary risk as we look ahead, spurred by continued labor shortagesand supply chain disruptions. It's important to keep in mind, however,that longer-term inflation is largely influenced by technology anddemographics, two forces that we think will eventually overridelingering coronavirus-related labor and supply constraints.Meanwhile, inflation fears typically cause material unwinds in thegrowth space, an environment that we can take advantage of asactive stock pickers as we search for companies that we think arebest positioned for growth over the next three to five years.Moving forward, we remain focused on the area where we believe wehave an edge and can potentially add the most value over a fulleconomic cycle: identifying opportunities where we think that themarket does not fully appreciate the possible strength and length of a

company's growth story. As such, we continue to lean heavily on ouranalyst platform for unique insights as we look to identify thecompanies that we think are best positioned to manage through thecurrent environment. Overall, we will continue to favor companies thathave more control of their destiny, are positioned to benefit frompowerful secular trends, and are using innovation to disrupt lessefficient business models and create new ones.



QUARTERLY ATTRIBUTIONSECTOR ATTRIBUTION DATA VS. RUSSELL 1000 GROWTH INDEX(3 months ended December 31, 2021)

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%Total Value Added

Value Added from Group Weight

Value Added from Stock Selection

Over/Underweight

TotalHealthCare

Indust &BusSvcs

Finan-cials Energy Utilities

Real Es-tate

Materi-als

Con-sumerStaples

Con-sumerDisc

CommSvcs

InfoTech

Over/Underweight 0.00% 3.82% -4.64% -1.18% -0.31% -0.03% -1.77% -1.02% -3.96% 2.54% 10.34% -5.78%

Fund Performance 6.26 12.87 12.40 8.95 -0.20 0.00 0.00 0.00 0.00 8.16 -1.56 8.54

Index Performance 11.64 5.96 9.75 5.42 6.55 4.06 13.44 18.54 15.53 11.08 2.36 15.78

Value Add - Group Weight -1.97 -0.16 0.09 0.07 0.01 0.00 -0.03 -0.07 -0.14 -0.07 -1.13 -0.29

Value Add - Stock Selection -3.40 0.76 0.04 0.03 -0.01 0.00 0.00 0.00 0.00 -0.55 -1.03 -2.63

Total Contribution -5.38 0.60 0.13 0.10 0.00 0.00 -0.03 -0.07 -0.14 -0.62 -2.16 -2.93

-66%

-55%

-44%

-33%

-22%

-11%

0%

11%

TOP 5 RELATIVE CONTRIBUTORS VS. RUSSELL 1000GROWTH INDEX(3 months ended December 31, 2021)

TOP 5 RELATIVE DETRACTORS VS. RUSSELL 1000GROWTH INDEX(3 months ended December 31, 2021)

Security % of Equities

NetContribution(Basis Points) Security % of Equities

NetContribution(Basis Points)

Rivian Automotive Inc Lockup Shs Pp 5.1% 116 Apple Inc. 5.4% -156

Unitedhealth Group Incorporated 2.5 55 Tesla, Inc. 0.0 -106

Intuit Inc. 3.5 48 Nvidia Corporation 1.5 -101

Alphabet Inc. 10.5 34 Snap, Inc. 1.3 -99

Fortinet, Inc. 1.5 26 Home Depot, Inc. 0.0 -44

Net contribution is calculated versus a specific benchmark. It is the difference between the security’s absolute contribution to the portfolio and the security’sabsolute contribution to the benchmark. This reflects the amount the security has impacted relative return.Past performance is not a reliable indicator of future performance. All numbers are percentages. Analysis represents the total performance of the portfolio ascalculated by the FactSet attribution model and is inclusive of other assets. Non-equity positions are excluded from structure shown. Returns will not matchofficial T. Rowe Price performance because FactSet uses different exchange rate sources and does not capture intra-day trading. Performance for each security isobtained in the local currency and, if necessary, is converted using an exchange rate determined by an independent third party. Figures are shown with grossdividends reinvested. Sources: Financial data and analytics provider FactSet. Copyright 2022 FactSet. All Rights Reserved. MSCI/S&P GICS Sectors; Analysis byT. Rowe Price. T. Rowe Price uses the current MSCI/S&P Global Industry Classification Standard (GICS) for sector and industry reporting. T. Rowe Price willadhere to all updates to GICS for prospective reporting. Figures are shown gross of fees. Returns would be lower as a result of the deduction of such fees.Performance returns are in USD. For Sourcing Information, please see Additional Disclosures.



12-MONTH ATTRIBUTIONSECTOR ATTRIBUTION DATA VS. RUSSELL 1000 GROWTH INDEX(12 months ended December 31, 2021)

-9%

-6%

-3%

0%

3%

6%

9%

12%Total Value Added

Value Added from Group Weight

Value Added from Stock Selection

Over/Underweight

Total

Indust &BusSvcs

Con-sumerStaples

Finan-cials

Materi-als Energy Utilities

Real Es-tate

HealthCare

CommSvcs

Con-sumerDisc

InfoTech

Over/Underweight 0.00% -4.64% -3.96% -1.18% -1.02% -0.31% -0.03% -1.77% 3.82% 10.34% 2.54% -5.78%

Fund Performance 23.84 16.28 0.00 42.11 0.00 0.51 5.52 0.00 23.41 23.87 8.67 24.14

Index Performance 27.60 16.20 19.80 29.92 20.28 53.91 13.43 35.27 23.50 32.16 18.41 33.30

Value Add - Group Weight 3.37 0.58 0.35 0.04 0.08 0.03 0.00 -0.05 -0.01 0.45 -0.30 -0.43

Value Add - Stock Selection -7.13 0.02 0.00 0.18 0.00 0.02 -0.03 0.00 -0.13 -1.94 -1.90 -3.33

Total Contribution -3.76 0.60 0.35 0.22 0.08 0.05 -0.03 -0.05 -0.15 -1.49 -2.19 -3.76

-9%

-6%

-3%

0%

3%

6%

9%

12%

Past performance is not a reliable indicator of future performance. All numbers are percentages. Analysis represents the total performance of the portfolio ascalculated by the FactSet attribution model and is inclusive of other assets. Non-equity positions are excluded from structure shown. Returns will not matchofficial T. Rowe Price performance because FactSet uses different exchange rate sources and does not capture intra-day trading. Performance for each security isobtained in the local currency and, if necessary, is converted using an exchange rate determined by an independent third party. Figures are shown with grossdividends reinvested. Sources: Financial data and analytics provider FactSet. Copyright 2022 FactSet. All Rights Reserved. MSCI/S&P GICS Sectors; Analysis byT. Rowe Price. T. Rowe Price uses the current MSCI/S&P Global Industry Classification Standard (GICS) for sector and industry reporting. T. Rowe Price willadhere to all updates to GICS for prospective reporting. Figures are shown gross of fees. Returns would be lower as a result of the deduction of such fees.Performance returns are in USD. For Sourcing Information, please see Additional Disclosures.

TOP 5 RELATIVE CONTRIBUTORS VS. RUSSELL 1000GROWTH INDEX(12 months ended December 31, 2021)

TOP 5 RELATIVE DETRACTORS VS. RUSSELL 1000GROWTH INDEX(12 months ended December 31, 2021)

Security % of Equities

NetContribution(Basis Points) Security % of Equities

NetContribution(Basis Points)

Alphabet Inc. 10.5% 219 Apple Inc. 5.4% -221

Intuit Inc. 3.5 142 Nvidia Corporation 1.5 -214

Rivian Automotive Inc Lockup Shs Pp 5.1 136 Tesla, Inc. 0.0 -150

Asml Holding Nv 1.7 93 Global Payments Inc. 1.4 -147

Fortinet, Inc. 1.5 85 Home Depot, Inc. 0.0 -75

Net contribution is calculated versus a specific benchmark. It is the difference between the security’s absolute contribution to the portfolio and the security’sabsolute contribution to the benchmark. This reflects the amount the security has impacted relative return.



For Sourcing Information, please see Additional Disclosures.

PORTFOLIO POSITIONING

SECTOR DIVERSIFICATION – CHANGES OVER TIME

-10%

0%

10%

20%

30%

40%

50%Fund - Prior Year (12/31/20)

Fund - Prior Quarter (9/30/21)

Fund - Current Quarter (12/31/21)

Russell 1000 Growth Index - Current Quarter (12/31/21) Info Tech Comm

SvcsConsDisc

HealthCare

Indust &Bus Svcs

Financials Materials Utilities Real Es-tate

Energy ConsStpls

LARGEST PURCHASES LARGEST SALES

Issuer Sector

% of FundCurrentQuarter

12/31/21

% of FundPrior

Quarter9/30/21 Issuer Sector

% of FundCurrentQuarter

12/31/21

% of FundPrior

Quarter9/30/21

Microsoft 10.4% 8.6% Visa 1.7% 3.4%

Rivian Automotive 5.5 3.8 Global Payments 1.4 2.7

Apple 5.4 4.1 Snap Inc. 1.3 2.8

UnitedHealth Group 2.5 1.9 PayPal Holdings 0.7 1.5

Cigna 1.9 1.7 Aptiv 0.5 0.9

NVIDIA (N) 1.5 0.0 Centene 0.1 0.4

Fiserv (N) 1.3 0.0 CoStar Group 0.0 0.6

Amphenol 1.1 0.6 Tencent Holdings (E) 0.0 1.2

MasterCard (N) 1.1 0.0 Alibaba Group Holding (E) 0.0 0.5

SentinelOne 0.4 0.3 Fidelity National InformationServices (E)

0.0 0.3

(N) New Position(E) Eliminated



For Sourcing Information, please see Additional Disclosures.

HOLDINGSTOP 10 ISSUERS

Issuer Industry % of Fund% of Russell 1000

Growth Index

Alphabet Interactive Media & Services 10.5% 6.1%

Microsoft Software 10.4 10.7

Amazon.com Internet & Direct Marketing Retail 7.8 6.1

Rivian Automotive Automobiles 5.5 0.0

Apple Technology Hardware, Storage & Peripherals 5.4 11.6

Meta Platforms Interactive Media & Services 5.2 3.4

Intuit Software 3.5 0.7

UnitedHealth Group Health Care Providers & Svcs 2.5 0.1

Salesforce.com Software 2.0 0.2

Intuitive Surgical Health Care Equip & Supplies 1.9 0.5

TOP 5 OVER/UNDERWEIGHT POSITIONS VS. RUSSELL 1000 GROWTH INDEX

Issuer Industry % of Fund

% of Rus-sell 1000

Growth In-dex Over/Underweight

Rivian Automotive Automobiles 5.5% 0.0% 5.5%

Alphabet Interactive Media & Services 10.5 6.1 4.4

Intuit Software 3.5 0.7 2.8

UnitedHealth Group Health Care Providers & Svcs 2.5 0.1 2.4

Meta Platforms Interactive Media & Services 5.2 3.4 1.9

Apple Technology Hardware, Storage & Peripherals 5.4 11.6 -6.1

Tesla Automobiles 0.0 3.6 -3.6

Home Depot Specialty Retail 0.0 1.9 -1.9

NVIDIA Semicons & Semicon Equip 1.5 3.0 -1.5

Adobe Software 0.0 1.1 -1.1

Portfolio Manager:Taymour Tamaddon

Managed Fund Since:2017

Joined Firm:2004

PORTFOLIO MANAGEMENT



Additional Disclosures

London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2022. FTSE Russell is a trading name of certain of theLSE Group companies. All rights in the FTSE Russell indexes or data vest in the relevant LSE Group company which owns the index or the data. Neither LSEGroup nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in thiscommunication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSEGroup does not promote, sponsor or endorse the content of this communication.Unless otherwise noted, index returns are shown with gross dividends reinvested.The manager’s views and portfolio holdings are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of thesecurities mentioned. The specific securities identified and described do not represent all of the securities purchased, sold, or recommended for the Fund and noassumptions should be made that the securities identified and discussed were or will be profitable.The information shown does not reflect any Exchange Traded Funds (ETFs) that may be held in the portfolio.T. Rowe Price uses the current MSCI/S&P Global Industry Classification Standard (GICS) for sector and industry reporting. T. Rowe Price will adhere to all futureupdates to GICS for prospective reporting.The Global Industry Classification Standard ("GICS") was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc,("MSCI") and Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P") and is licensed for use by T. Rowe Price. Neither MSCI, S&P nor any thirdparty involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to suchstandard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,completeness, merchantability and fitness for a particular purpose with respect to any or such standard or classification, Without limiting any or the foregoing, in noevent shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct,indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.Diversification exhibits may not add to 100% due to exclusion or inclusion of cash.Certain numbers in this report may not equal stated totals due to rounding. Unless otherwise stated, data is as of the report date.Unless indicated otherwise the source of all data is T. Rowe Price.This material has been prepared for informational purposes only. The views and opinions stated in this commentary are those of the portfolio managers listed as ofthe date indicated. These views and opinions are subject to change based on market or other conditions and may differ from those of other T. Rowe Priceassociates. Actual market and investment results may differ materially from expectations.© 2022 T. Rowe Price. All Rights Reserved. T. ROWE PRICE, INVEST WITH CONFIDENCE, and the Bighorn Sheep design are, collectively and/or apart,trademarks of T. Rowe Price Group, Inc.T. Rowe Price Investment Services, Inc., Distributor.202201-1954179

Fact sheet | December 31, 2021

Vanguard®

Vanguard Inflation-Protected Securities FundBond fund | Institutional Shares

Fund facts

Risk level Low High

Total net assets

Expense ratio as of 04/29/21

Ticker symbol

Turnover rate

Inception date

Fund number

1 2 3 4 5 $14,998 MM 0.07 % VIPIX 13.4 % 12/12/03 1190

Investment objective

Vanguard Inflation-Protected Securities Fund seeks to provide investors inflation protection and income consistent with investment in inflation-indexed securities.

Benchmark

Bloomberg US Trsy Inflat Prtcd Idx

Growth of a $10,000 investment : January 31, 2012— December 31, 2021

$13,160 Fund as of 12/31/21

$13,255 Benchmark as of 12/31/21

Annual returns

Bloomberg US Trsy Inflat Prtcd Idx: Includes the inflation-indexed securities within the Bloomberg U.S. Treasury Bond Index, which represents U.S. Treasury obligations with maturities of more than 1 year. The fund held a subscription period from June 5, 2000 (the effective date of the fund) to June 29, 2000, during which time all assets were held directly or indirectly in money market instruments. Performance measurement began June 29, 2000.

F1190 122021

Investment strategy

The fund invests at least 80% of its assets in inflation-indexed bonds issued by the U.S. government, its agencies and instrumentalities, and corporations. The fund may invest in bonds of any maturity; however, its dollar-weighted average maturity is expected to be in a range of 7 to 20 years. At a minimum, all bonds purchased by the fund will be rated “investment grade” or, if unrated, will be considered by the advisor to be investment grade.

For the most up-to-date fund data, please scan the QR code below.

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Annual returns 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Fund 6.87 -8.83 4.07 -1.67 4.63 2.97 -1.40 8.18 11.05 5.72

Benchmark 6.98 -8.61 3.64 -1.44 4.68 3.01 -1.26 8.43 10.99 5.96

Total returnsPeriods ended December 31, 2021

Total returns Quarter Year to date One year Three years Five years Ten years

Fund 2.22% 5.72% 5.72% 8.29% 5.22% 3.01%

Benchmark 2.36% 5.96% 5.96% 8.44% 5.34% 3.09%

The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so investors’ shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance . The performance of an index is not an exact representation of any particular investment, as you cannot invest directly in an index. Figures for periods of less than one year are cumulative returns. All other figures represent average annual returns. Performance figures include the reinvestment of all dividends and any capital gains distributions. All returns are net of expenses.

Distribution by issuer–bonds

Treasury/Agency 99.8% Other 0.2

Item: 6iDate: 02/16/22

http://www.vanguard.com/performance


Vanguard Inflation-Protected Securities Fund

Bond fund | Institutional Shares

Connect with Vanguard ® > vanguard.com Plain talk about risk An investment in the fund could lose money over short or even long periods. You should expect the fund’s share price and total return to fluctuate within a wide range, like the fluctuations of the overall bond market. The fund’s performance could be hurt by: Income fluctuations: The fund’s quarterly income distributions are likely to fluctuate considerably more than the income distributions of a typical bond fund. Income fluctuations associated with changes in interest rates are expected to be low; however, income fluctuations associated with changes in inflation are expected to be high. Overall, investors can expect income fluctuations to be high for the fund. Interest rate risk: The chance that bond prices will decline because of rising interest rates. Although inflation-indexed bonds seek to provide inflation protection, their prices may decline when interest rates rise and vice versa. Because the fund’s dollar-weighted average maturity is expected to be in the range of 7 to 20 years, interest rate risk is expected to be moderate to high for the fund. Manager risk: The chance that poor security selection will cause the fund to underperform relevant benchmarks or other funds with a similar investment objective. Derivatives risk: Investments in derivatives may involve risks different from, and possibly greater than, those of investments in the underlying securities, assets, or market indexes. Note on frequent trading restrictions Frequent trading policies may apply to those funds offered as investment options within your plan. Please log on to vanguard.com for your employer plans or contact Participant Services at 800-523-1188 for additional information. †Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). ”NR” is used to classify securities for which a rating is not available. NR securities may include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under ”U.S. Government.” Credit-quality ratings for each issue are obtained from Bloomberg using ratings derived from Moody’s Investors Service (Moody’s), Fitch Ratings (Fitch), and Standard & Poor’s (S&P). When ratings from all three agencies are available, the median rating is used. When ratings are available from two of the agencies, the lower rating is used. When one rating is available, that rating is used. While U.S. Treasury or government agency securities provide substantial protection against credit risk, they do not protect investors against price changes due to changing interest rates. Unlike stocks and bonds, U.S. Treasury bills are guaranteed as to the timely payment of principal and interest. For more information about Vanguard funds or to obtain a prospectus, see below for which situation is right for you .If you receive your retirement plan statement from Vanguard or log on to Vanguard’s website to view your plan, visit vanguard.com or call 800-523-1188 .If you receive your retirement plan statement from a service provider other than Vanguard or log on to a recordkeeper’s website that is not Vanguard to view your plan, please call 855-402-2646 .Visit vanguard.com to obtain a prospectus or, if available, a summary prospectus . Investment objectives, risks, charges, expenses, and other important information about a fund are contained in the prospectus; read and consider it carefully before investing . Financial advisor clients: For more information about Vanguard funds, contact your financial advisor to obtain a prospectus.

Investment Products: Not FDIC Insured • No Bank Guarantee • May Lose Value

© 2022 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. F1190 122021

Distribution by credit quality†

U.S. Government 99.8% Not Rated 0.2

http://www.vanguard.com/

https://www.vanguard.com




Vanguard®

Vanguard Institutional Index FundDomestic stock fund | Institutional Shares

Fund facts

Risk level Low High

Total net assets


Ticker symbol

Turnover rate

Inception date

Fund number

1 2 3 4 5 $128,441 MM 0.035 % VINIX 1.6 % 07/31/90 0094


Vanguard Institutional Index Fund seeks to track the performance of a benchmark index that measures the investment return of large-capitalization stocks.

Benchmark

S&P 500 Index


$44,167 Fund as of 12/31/21


Annual returns

S&P 500 Index: A widely used barometer of U.S. stock market performance; as a market-weighted index of leading companies in leading industries, it is dominated by large-capitalization companies.

F0094 122021

Investment strategy

The fund employs an indexing investment approach designed to track the performance of the Standard & Poor’s 500 Index, which is dominated by the stocks of large U.S. companies. The fund attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index.


2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Annual returns 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Fund 15.98 32.35 13.65 1.37 11.93 21.79 -4.42 31.46 18.39 28.67

Benchmark 16.00 32.39 13.69 1.38 11.96 21.83 -4.38 31.49 18.40 28.71



Fund 11.02% 28.67% 28.67% 26.05% 18.44% 16.52%

Benchmark 11.03% 28.71% 28.71% 26.07% 18.47% 16.55%


Item: 6jDate: 02/16/22



Vanguard Institutional Index Fund

Domestic stock fund | Institutional Shares

Connect with Vanguard ® > vanguard.com Plain talk about risk An investment in the fund could lose money over short or even long periods. You should expect the fund’s share price and total return to fluctuate within a wide range, like the fluctuations of the overall stock market. The fund’s performance could be hurt by: Stock market risk: The chance that stock prices overall will decline. Stock markets tend to move in cycles, with periods of rising stock prices and periods of falling stock prices. The fund’s target index may, at times, become focused in stocks of a particular sector, category, or group of companies. Because the fund seeks to track its target index, the fund may underperform the overall stock market. Investment style risk: The chance that returns from large-capitalization stocks will trail returns from the overall stock market. Large-cap stocks tend to go through cycles of doing better—or worse—than other segments of the stock market or the stock market in general. These periods have, in the past, lasted for as long as several years. Note on frequent trading restrictions Frequent trading policies may apply to those funds offered as investment options within your plan. Please log on to vanguard.com for your employer plans or contact Participant Services at 800-523-1188 for additional information. The index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard product(s) are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index. For more information about Vanguard funds or to obtain a prospectus, see below for which situation is right for you .If you receive your retirement plan statement from Vanguard or log on to Vanguard’s website to view your plan, visit vanguard.com or call 800-523-1188 .If you receive your retirement plan statement from a service provider other than Vanguard or log on to a recordkeeper’s website that is not Vanguard to view your plan, please call 855-402-2646 .Visit vanguard.com to obtain a prospectus or, if available, a summary prospectus . Investment objectives, risks, charges, expenses, and other important information about a fund are contained in the prospectus; read and consider it carefully before investing . Financial advisor clients: For more information about Vanguard funds, contact your financial advisor to obtain a prospectus.



Sector Diversification

Information Tech 29.2% Health Care 13.3 Consumer Discretionary 12.5 Financials 10.7 Communication Services 10.1 Industrials 7.8

Consumer Staples 5.9 Real Estate 2.8 Energy 2.6 Materials 2.6 Utilities 2.5 Other 0.0

Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

Ten largest holdings *

1 Apple Inc.

2 Microsoft Corp.

3 Alphabet Inc.

4 Amazon.com Inc.

5 Tesla Inc.

6 Meta Platforms Inc.

7 NVIDIA Corp.

8 Berkshire Hathaway Inc.

9 UnitedHealth Group Inc.

10 JPMorgan Chase & Co.

Top 10 as % of total net assets 30.4%

* The holdings listed exclude any temporary cash investments and equity index products.






Vanguard®

Vanguard Short-Term Investment-Grade FundBond fund | Institutional Shares

Fund facts

Risk level Low High

Total net assets


Ticker symbol

Turnover rate

Inception date

Fund number

1 2 3 4 5 $14,168 MM 0.07 % VFSIX 86.3 % 09/30/97 0858


Vanguard Short-Term Investment-Grade Fund seeks to provide current income while maintaining limited price volatility.

Benchmark

Bloomberg US 1-5 Year Credit Index


$12,725 Fund as of 12/31/21


Annual returns

Bloomberg US 1-5 Year Credit Index: Includes investment-grade (rated Baa3 or above by Moody’s) corporate and international dollar-denominated bonds with maturities of 1 to 5 years.

F0858 122021

Investment strategy

The fund invests in a variety of high-quality and medium-quality fixed income securities, at least 80% of which will be short- and intermediate-term investment-grade securities. High-quality fixed income securities are those rated the equivalent of A3 or better by Moody’s Investors Service, Inc., or another independent rating agency; medium-quality fixed income securities are those rated the equivalent of Baa1, Baa2, or Baa3 by Moody’s or another independent rating agency. (Investment-grade fixed income securities are those rated the equivalent of Baa3 and above by Moody’s.) The fund is expected to maintain a dollar-weighted average maturity of 1 to 4 years.


2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Annual returns 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Fund 4.66 1.10 1.90 1.16 2.85 2.16 1.00 5.87 5.28 -0.30

Benchmark 5.51 1.24 1.95 1.06 2.58 2.32 1.11 6.58 5.19 -0.55



Fund -0.68% -0.30% -0.30% 3.58% 2.77% 2.55%

Benchmark -0.68% -0.55% -0.55% 3.69% 2.90% 2.68%


Distribution by issuer–bonds

Industrial 40.3% Finance 32.2 Treasury/Agency 11.2 Commercial Mortgage-Backed 4.0 Asset-Backed 3.9

Foreign 3.8 Utilities 3.8 Other 0.8 Government Mortgage-Backed 0.0

Item: 6kDate: 02/16/22



Vanguard Short-Term Investment-Grade Fund

Bond fund | Institutional Shares

Connect with Vanguard ® > vanguard.com Plain talk about risk The fund is designed for investors with a low tolerance for risk; however, the fund’s performance could be hurt by: Income risk: The chance that the fund’s income will decline because of falling interest rates. Interest rate risk: The chance that bond prices will decline because of rising interest rates. Interest rate risk should be low for the fund because it invests primarily in short-term bonds, whose prices are much less sensitive to interest rate changes than are the prices of longer term bonds. Credit risk: The chance that a bond issuer will fail to pay interest or principal in a timely manner or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. Credit risk should be low to moderate for the fund because it invests primarily in bonds that are considered high- and medium-quality. Call risk: The chance that during periods of falling interest rates, issuers of callable bonds may call (redeem) securities with higher coupon rates or interest rates before their maturity dates. The fund would then lose any price appreciation above the bond’s call price and would be forced to reinvest the unanticipated proceeds at lower interest rates, resulting in a decline in the fund’s income. Extension risk: The chance that during periods of rising interest rates, certain debt obligations will be paid off substantially more slowly than originally anticipated, and the value of those securities may fall. Extension risk is generally low for short-term bond funds. Liquidity risk: The chance that the fund may not be able to sell a security in a timely manner at a desired price. Liquidity risk is generally low for short-term bond funds. Manager risk: The chance that poor security selection will cause the fund to underperform relevant benchmarks or other funds with a similar investment objective. †Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). ”NR” is used to classify securities for which a rating is not available. NR securities may include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for Vanguard funds, trusts, and accounts. NR may also include derivatives and derivatives offsets. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under ”U.S. Government”. Credit-quality ratings for each issue are obtained from Moody’s and S&P, and the higher rating for each issue is used. For more information about Vanguard funds or to obtain a prospectus, see below for which situation is right for you .If you receive your retirement plan statement from Vanguard or log on to Vanguard’s website to view your plan, visit vanguard.com or call 800-523-1188 .If you receive your retirement plan statement from a service provider other than Vanguard or log on to a recordkeeper’s website that is not Vanguard to view your plan, please call 855-402-2646 .Visit vanguard.com to obtain a prospectus or, if available, a summary prospectus . Investment objectives, risks, charges, expenses, and other important information about a fund are contained in the prospectus; read and consider it carefully before investing . Financial advisor clients: For more information about Vanguard funds, contact your financial advisor to obtain a prospectus.



Distribution by credit quality†

U.S. Government 11.3% Aaa 6.4 Aa 2.8 A 30.7

Baa 46.2 Less than BBB 2.1 Not Rated 0.5




1

Pasadena Fire and Police Ret. System

Quarter Ending December 31, 2021

Prepared for:

Portfolio Review

For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.

Item: 6lDate: 02/16/22

2

Table of Contents Voya Team



Jeffrey Bakalar

Group Head and Chief Investment Officer, Leveraged Credit

Group

Ryan Jusko

Vice President, Institutional Client Advisor

Rosa Martone

Institutional Client Service

Assistant Vice President, Client Service Manager

Phone: 860-275-4607

Email: [email protected]

Web Access:

https://www.investments.voya.com/ClientAccess

.................................................................................. 3 Market Review 4 .................................................................................. Investment Policy 5 .................................................................................. Performance Analysis 8 .................................................................................. Performance Summary 9 .................................................................................. Portfolio Characteristics

11 .................................................................................. Asset Allocation .................................................................................. 12 Business Highlights

13 .................................................................................. Appendix

3

Market Review - Quarter Ending December 31, 2021



Quarterly Market Review

The financial markets broadly delivered an upbeat fourth quarter of 2021, with strong gains among the major U.S. equity indexes and decent

returns among international developed market equities. By contrast, emerging market equities and fixed income assets generally struggled.

While the market trajectory was upward, the path through the quarter was bumpy. Doubts about inflation vanished as the Consumer Price index

marked its fastest rise in three decades. Central banks reacted with hawkish policy shifts that augured higher future interest rates. Upsurging

infections of Omicron, the latest Covid variant, further clouded the outlook with worries about renewed social restrictions.

Despite several retrenchments, the S&P 500 index gained 11.03% for the quarter. Growth styles led value among large-cap stocks, but value led

growth among mid- and small-cap stocks. The Bloomberg U.S. Aggregate Bond index, a broad market gauge, was about flat, returning 0.01%;

the yield on the widely watched ten-year U.S. Treasury note also was flat. By contrast, the Bloomberg Commodity index lost 1.56%.

Undergirding these results were still easy financial conditions and expectations that monetary policy will remain supportive even with the Federal

Reserve’s recent pivot toward faster action. Also supportive were expectations for record corporate profits in 2022, and the likelihood that

companies would put more of those profits into share buybacks and dividends.

Thus far, S&P 500 companies have been able to pass through rising prices to consumers; as a result, we believe earnings growth will be solid in

2022, if not as spectacular as in 2021. In our view, equity markets have room to absorb modestly higher interest rates. Funding costs remain at

record low levels and strong fundamentals should help insulate credit-sensitive debt instruments from rising rates.

4

Investment Policy

Pasadena Fire and Police Ret. System Senior Loan


Mandate Senior Loan

The investment management agreement between Voya Investment Management and Pasadena Fire and Police

Ret. System was effective June 27, 2014.

Inception

Actively managed, ultra-short duration floating-rate income strategy that invests primarily in privately syndicated,

below investment grade senior secured corporate loans

Strategy Summary

Supported by an over 50-person dedicated investment team, our investment process focuses on fundamental credit analysis, relative value assessment and high levels of diversification. We conduct top-down analysis to target

industries with strong operating momentum or improving credit conditions, while avoiding those sectors prone to the clustering of defaults. The other major component of our process, specific borrower selection, is based on

fundamental bottom-up credit analysis that includes independent credit research, in-depth collateral review and relative value analysis.

Process

$6,914,802.27 as of December 31, 2021 Account Balance

5

Performance Analysis - Quarter Ending December 31, 2021



Portfolio Review

The Voya Senior Loan Collective Trust (the “Trust”) returned 0.71% in 4Q21, on a gross-of-fees basis, lagging the S&P/LSTA Leveraged Loan

index (the “index”) return of 0.75%. Relative to the index, the primary detractor stemmed from an overweight to Diamond Sports Group, LLC

within the radio and television sector. The market price of that loan came under pressure during the quarter after Diamond Sports Group reduced

its full-year guidance, and parent company, Sinclair Broadcast Group, indicated that there was still no agreement with regards to the Dish TV

relationship with the regional sports networks housed within Diamond Sports Group. On the flip side, the Trust benefited from selection among

single-B-rated loans and, to a lesser extent, selection in BB-rated loans. By industry, the primary relative boosts resulted from selection and

overweight among electronics and electrical and selection in forest products. The top issuer-level contribution was an overweight to Yak Mat, as

the company disclosed a potential sponsor equity injection to bolster near-term liquidity.

The Trust experienced two defaults during the quarter (GTT Communications, Inc. and Riverbed Technology, Inc.), as did the index.

Diversification measures in the Trust remain robust with 38 industries and 395 individual issuers represented at the end of the period.

Current Strategy and Outlook

The favorable technical factors that underpinned the loan market for much of 2021 persisted in 4Q21, as record-breaking collateralized loan

obligation (CLO) issuance continued against robust new issue origination. The index returned 0.75% during the period, cementing an above-

coupon, full-year return of 5.20% in 2021. For the quarter, returns were a function of interest carry, i.e., yield; the market value component

declined 26 basis points (bp) as a result of some broad-based volatility in November due to the Covid-19 Omicron variant. The average index bid

closed out the quarter at 98.64, up 2 bp from 3Q21 levels, and 244 bp from the start of 2021. Digging into 4Q21 ratings performance, the uptick

6




in volatility led to some de-risking across ratings cohorts. As a result, CCC-rated loans trailed higher quality with a return of just 0.12%, as

compared to single-B- and BB-rated loan returns of 0.85% and 0.68%, respectively. The full-year picture tells a different story, however, with a

clear bias for risk evident amid the broad economic recovery. Total returns for CCC-, B- and BB-rated loans were 12.45%, 5.22% and 3.12%,

respectively, over the year. Full-year sector performance also reflected a tilt towards higher-beta industries and Covid-19-impacted sectors, while

the more defensive sectors generally lagged the index.

Institutional loan issuance remained robust, although with seasonal slowing during December. Full-year 2021 was marked by record-breaking

new issue volume, driven by a strong merger and acquisition (M&A) and leveraged buyout (LBO)-related activity. In fact, many volume records

were set including the likes of M&A, sponsored deals and dividend re-capitalizations. In aggregate, loan arrangers syndicated roughly $615

billion of new paper, 22% above the previous high of $503 billion from 2017. The robust pace of new issue activity expanded the total size of the

loan market to roughly $1.34 trillion by index outstandings, a new milestone for the asset class. Propelling the strong appetite for new paper was

robust demand from CLO managers, the dominant loan buyer base. Total volume of $56.4 billion in 4Q21 set a new quarterly record, on the

heels of sequential high-water marks set in 2Q21 and 3Q21. For the year, total CLO issuance amounted to $187 billion, far exceeding the former

record of $129 billion from 2018. On the retail investor side, resilient interest in loans persisted all year with more than $47 billion added to retail

loan funds during the period, a notable reversal from 2020’s net outflow of $27 billion.

The loan market’s default rate continued to fall in 4Q21, reaching 0.29% by principal amount. Two new issuer defaults were present during the

quarter, bringing the full-year tally to just five defaulted loans. As a result, the current reading is only 15 bp off the all-time low for the asset class,

as a healthy macro backdrop helped underpin credit fundamentals. We expect the low-default environment to continue in 2022, barring any

7




exogenous shock. Factored into our expectation is an assumed base case of continued strong gross domestic product (GDP) growth, healthy

credit fundamentals and a relatively small universe of existing distressed credits.

While relative to the beginning of 2021, the upside embedded within the macro environment is somewhat less constructive going into 2022, we

believe it should still provide a supportive backdrop for risk assets. U.S. GDP growth is expected to remain above trend due to pent-up consumer

demand for services, deployment of excess savings and the easing of pandemic-related effects on global supply chains. We think that inflation

will understandably remain an overhang on markets, but is expected by many to moderate over the course of the year as supply chain issues

abate. On the flip side, if the inflation baseline worsens significantly, central banks may be forced to accelerate tightening of monetary policy

beyond what the markets can digest, which could negatively impact credit fundamentals, to a degree, via higher corporate borrowing costs. We

believe that such a scenario would likely lead to bouts of volatility, particularity in longer-duration asset classes. We think that specific to floating-

rate loans, the hawkish Federal Reserve (the “Fed”) turn should provide a tailwind for the asset class with multiple Fed funds hikes currently

messaged for the coming year.

8

Performance Summary



Quarter 1 Year 3 Year Since Inception* 5 Year

Portfolio Gross (%) 0.71 4.92 4.92 3.89 3.83

Portfolio Net (%) 0.59 4.41 4.41 3.39 3.33

Benchmark (%) 0.75 5.20 5.63 3.93 4.27

Relative to Gross (%) -0.03 -0.28 -0.71 -0.04 -0.44

Calendar Year Returns 2021 2020 2019 2018 2017 2016 2015

Portfolio Gross (%) 4.92 1.45 8.50 0.81 3.67 8.52 1.39

Portfolio Net (%) 4.41 0.95 7.98 0.31 3.16 7.98 0.88

Benchmark (%) 5.20 3.12 8.64 0.44 4.12 10.16 -0.69

Quarter Ending December 31, 2021

*Performance inception date is 7/01/2014. Benchmark: S&P/LSTA Leveraged Loan Index

Performance returns for time periods greater than 1 year are annualized. Past performance does not guarantee future results.

Investors cannot invest directly in an index. See Explanatory Notes Section for footnotes and disclosures.

9

Portfolio Characteristics Quarter Ending December 31, 2021

Characteristics Portfolio

Number of Industries 38

Average per Industry as a % of AUM 2.63%

Number of Issuers 395

Average per Issuer as a % of AUM 0.25%

Weighted Average Spread 3.82%

Weighted Average Maturity Years 5.32

Weighted Average Market Price 98.95%

Leverage for Investment Purposes Percent 0.00%

Weighted Average Coupon 4.38%

Weighted Average Quality B

Discount Yield To 3 yr Call 4.86%

Total AUM ($ Millions) 2062.07

% of Loans Denominated in USD 100.00%

Weighted Average Rating Factor 2607.00

See Explanatory Notes Section for footnotes and disclosures.



Returns-Based Statistics (10 years) Portfolio Benchmark

Standard Deviation (%) 4.78 5.12

Tracking Error (%) 0.72 N/A

Information Ratio 0.23 N/A

Alpha (annualized %) 0.47 N/A

Beta 0.93 1.00

R-Squared 0.98 1.00

Sharpe Ratio 0.89 0.80

Portfolio holdings characteristics are subject to change and may not be representative of current holdings and characteristics.

Spread Distribution (LIBOR + bps)

10

Portfolio Characteristics Quarter Ending December 31, 2021




Loans by Country % of MV

United States 92.0%

United Kingdom 3.3%

Ireland 1.1%

Canada 0.8%

New Zealand 0.5%

Germany 0.5%

Sweden 0.4%

France 0.4%

Switzerland 0.3%

Singapore 0.2%

Luxembourg 0.2%

Australia 0.2%

Finland 0.1% Asset Breakdown (%) Portfolio

Senior Loans 99.4%

- First Lien 97.9%

- Second Lien 2.1%

- Secured 100.0%

- Unsecured 0.0%

Fixed Rate Notes/Bonds 0.0%

Structured Products 0.0%

Cash & Other Net Assets* 0.6% *These weightings reflect "other net assets." "Other net assets" include cash, payable, receivables and all other assets and liabilities on the

Ratings Distribution (Senior Secured Ratings)

11

Asset Allocation Quarter Ending December 31, 2021



Top Ten Industries*

Top Issuers ($ millions) Market Value % of MV

Asurion, LLC $17.4 0.85%

Edelman Financial Services $16.0 0.78%

Peraton $15.5 0.76%

Quest Software US Holdings Inc. $15.5 0.76%

Misys (Finastra) $15.1 0.74%

RealPage $14.7 0.72%

McAfee, LLC $13.7 0.67%

Organon & Co. $13.5 0.66%

Gates Global LLC $12.9 0.63%

Acrisure, LLC $12.7 0.62%

Industry Allocations* Market Value % of MV

Services/Retail $453.0 22.10%

Computers & Electronics $444.2 21.67%

Industrial $345.6 16.86%

Healthcare $246.5 12.03%

Media $100.3 4.89%

Food & Beverage $75.6 3.69%

Building Materials $74.0 3.61%

Telecom $73.5 3.59%

Other $51.8 2.53%

Entertainment & Leisure $42.4 2.07%

Gaming & Hotel $42.2 2.06%

Oil & Gas $37.1 1.81%

Forest Product $32.3 1.58%

Metals & Mining $20.7 1.01%

Real Estate $10.1 0.49%


Allocations may not add to 100% due to rounding.

*Industry allocation is tracked using S&P Industries.

12



Business Highlights - Quarter Ending December 31, 2021

Voya In The News Thought Leadership

Notable Mentions:

Voya Names Costa Co-CIO For Equities, Creates New Research Leadership Positions

Voya Investment Management has named Vincent Costa Co-Chief Investment Officer for Equities effective Jan. 1, according to a statement. Costa “will work closely with Michael Pytosh, who has been CIO of equities since 2017 and head of equities since 2010, the release noted.” Voya spokesman Kristopher Kagel “confirmed by email that Mr. Costa will also retain his current positions as head of the quantitative equity team and portfolio manager in Voya’s large-cap value strategy group.” Voya “also named James Dorment and Kristy Finnegan as co- heads of fundamental research in the equities platform, both newly created positions. Both Mr. Dorment and Ms. Finnegan will keep their portfolio management responsibilities on the value and growth strategies teams, respectively, the release added.”

Voya Investment Management mentions can be found here: https://institutional.voya.com/news

Investment Outlook: Current Viewpoints

Fixed Income Perspectives

Multi-Asset Perspectives

Senior Loan Talking Points

Global Macro Views

https://institutional.voya.com/insights/investment-outlook

Insights:

Seven Themes to Monitor in the First Half of 2022 These are the seven major themes influencing positioning across our fixed income portfolios in the first half of 2022.

2022 Capital Market Assumptions Voya’s 2022 Capital Market Assumptions are a key input into our strategic asset allocation process for multi-asset portfolios.

Private Credit in the Time of Covid: Voya Rises to the Challenge Covid-19 presented a real-time test of private credit’s ability to withstand stress. Voya met the challenge through its team experience and proactive response.

The Rise of the Machines: ESG Investing is Next on Machine Learning’s Path The breadth and depth of Environmental, Social, and Governance data that investors currently have at their disposal is “a good problem to have”, as it highlights the normative sea-change over the past decade towards a now crucial commitment that companies must make to ESG transparency. Machine learning can help in discerning – and when necessary, creating - signal from noise.

If you would like to receive any of our thought leadership, please contact your client service representative or visit our website: www.voyainvestments.com

Personnel Update

Additions

Laura Kane- SVP, Head of ESG Investment Research

Mark Blake- VP, Head of Thought Leadership & Investment

Communications

Leigh Todd- SVP, Senior Portfolio Manager- Growth Equity

Avik Mittal- VP, Insurance Portfolio Manager

Eric Ross- SVP, Sr. Equity Research Analyst- Technology

Departures

Charles Shaffer- SMD, Head of Distribution

John Simone- MD, Head of Insurance Solutions Group

Abibat Bello- VP, Private Credit

Erica Kazlow- VP, Research Analyst I- Growth Equity

13

Appendix



.............................................................................................. 14 Portfolio: Voya Senior Loan Trust

........................................................................................ Holdings 14

.............................................................................................. 42 Explanatory Notes

14

Holdings Report Quarter Ending December 31, 2021



Voya Senior Loan Trust

Issuer LoanX ID Industry (S&P) Tranche Market Value % Portfolio Maturity Spread %

S&P

Rating Price

Aerospace & Defense

Peraton LX192468 Upsized First Lien Term Loan $15,532,479 0.76% 2/01/2028 3.75 B+ 100.22 Aerospace & Defense

Delta Airlines, Inc. LX189934 SkyMiles Term Loan $10,121,806 0.49% 10/20/2027 3.75 NR 105.99 Aerospace & Defense

American Airlines, Inc. LX193380 AAdvantage Term Loan $7,920,894 0.39% 4/20/2028 4.75 NR 103.81 Aerospace & Defense

Aercap (ILFC) LX199762 First Lien Term Loan $5,931,482 0.29% 11/02/2028 2.00 BBB 100.11 Aerospace & Defense

ADS Tactical, Inc. LX192695 First Lien Term Loan $3,322,678 0.16% 3/19/2026 5.75 B+ 99.50 Aerospace & Defense

Amentum (Maverick) LX185105 First Lien Term Loan $2,279,274 0.11% 1/22/2027 3.50 B 98.84 Aerospace & Defense

Vertex Aerospace LX199771 First Lien Term Loan $1,779,702 0.09% 11/08/2028 4.00 B 99.95 Aerospace & Defense

$46,888,315 2.29%

Air Transport

United Airlines, Inc. LX194289 First Lien Term Loan $6,991,090 0.34% 4/15/2028 3.75 BB- 100.56 Air Transport

$6,991,090 0.34%

All Telecom

Avaya Inc. LX190026 Term Loan B-1 $11,958,412 0.58% 12/15/2027 4.25 B+ 100.41 All Telecom

Asurion, LLC LX196395 Second Lien Term Loan B-4 $7,915,163 0.39% 1/14/2029 5.25 B 99.75 All Telecom

Iridium Communications LX196612 Term Loan B $7,678,647 0.37% 11/04/2026 2.50 BB- 100.10 All Telecom

Consumer Cellular LX190922 First Lien Term Loan $6,962,022 0.34% 12/15/2027 3.75 B- 100.21 All Telecom

Inmarsat plc LX192181 Term Loan B $6,854,357 0.33% 12/12/2026 3.50 B+ 100.13 All Telecom

Altice France S.A. (fka SFR Group S.A., aka Numericable) LX169002 USD TL B12 $6,765,786 0.33% 1/30/2026 3.68 B 99.30 All Telecom

Global Tel*Link Corporation LX176983 First Lien Term Loan $6,125,227 0.30% 11/29/2025 4.25 B 97.42 All Telecom

Cablevision Lightpath LX189872 Term Loan B $4,982,001 0.24% 11/30/2027 3.25 B+ 99.99 All Telecom

15






S&P

Rating Price

All Telecom

Asurion, LLC LX192293 Upsized B-9 Term Loan $4,792,442 0.23% 7/31/2027 3.25 B+ 99.47 All Telecom

GTT Communications, Inc LX171875 USD TL B $3,382,058 0.17% 5/31/2025 2.75 D 89.65 All Telecom

ORBCOMM LX194322 First Lien Term Loan $3,375,063 0.16% 6/17/2028 4.25 B 100.10 All Telecom

Digi International LX200577 Term Loan B $3,223,594 0.16% 12/01/2028 5.00 B 99.19 All Telecom

Gogo LX194240 Term Loan B $3,052,741 0.15% 4/30/2028 3.75 B 99.94 All Telecom

Mega Broadband (d/b/a Vyve Broadband) LX190259 Term Loan B $2,714,150 0.13% 11/12/2027 3.00 B+ 100.09 All Telecom

Asurion, LLC LX191415 B-8 Term Loan $2,652,226 0.13% 12/23/2026 3.25 B+ 99.43 All Telecom

Aventiv Technologies (f/k/a Securus) LX164887 Fully Upsized First Lien Term Loan $2,635,314 0.13% 11/01/2024 4.50 B- 97.50 All Telecom

Asurion, LLC LX192294 Second Lien Term Loan B-3 $2,000,312 0.10% 1/28/2028 5.25 B 100.02 All Telecom

Global Tel*Link Corporation LX177113 Second Lien Term Loan $967,704 0.05% 11/26/2026 8.25 CCC+ 93.58 All Telecom

Avaya Inc. LX192780 Term Loan B-2 $125,088 0.01% 12/15/2027 4.00 B+ 100.07 All Telecom

$88,162,306 4.30%

Automotive

Gates Global LLC LX192751 USD TL $12,942,143 0.63% 4/01/2027 2.50 B+ 99.92 Automotive

Les Schwab Tire Centers LX190472 Term Loan B $8,056,725 0.39% 10/31/2027 3.25 B 100.09 Automotive

Truck Hero, Inc. LX192014 First Lien Term Loan $7,751,751 0.38% 1/31/2028 3.25 B- 99.81 Automotive

TI Group Automotive Systems, L.L.C. LX194145 USD Term Loan B $5,964,584 0.29% 12/31/2026 3.25 BB+ 100.00 Automotive

Wheel Pros LX194316 Term Loan B $5,129,330 0.25% 4/30/2028 4.50 B- 99.95 Automotive

Verra Mobility LX193557 Inc First Lien Term Loan $4,403,319 0.21% 3/25/2028 3.25 BB- 99.89 Automotive

Dealer Tire, LLC LX185508 Incremental 1L TL $4,029,940 0.20% 12/31/2025 4.25 B- 100.18 Automotive

Rough Country LLC LX196465 First Lien Term Loan $3,982,522 0.19% 7/31/2028 3.50 B- 99.94 Automotive

16






S&P

Rating Price

Automotive

IXS LLC LX185722 First Lien Term Loan $3,839,996 0.19% 3/01/2027 4.25 B- 98.33 Automotive

Hertz Corporation (The) LX195525 Term Loan B $3,560,740 0.17% 6/15/2028 3.50 BB+ 100.23 Automotive

L&W Group, Inc. LX193607 Upsized Term Loan $3,192,672 0.16% 4/30/2028 4.50 B 100.33 Automotive

Holley/Driven LX200091 First Lien Term Loan $2,471,002 0.12% 11/15/2028 3.75 B 99.93 Automotive

Madison Safety LX201032 First Lien Term Loan $2,302,875 0.11% 12/31/2028 3.75 B- 100.13 Automotive

Rough Country LLC LX196467 Second Lien Term Loan $1,689,213 0.08% 7/31/2029 6.75 CCC 100.25 Automotive

Madison Safety LX201035 Second Lien Term Loan $1,030,125 0.05% 12/31/2029 6.75 CCC 100.50 Automotive

Hertz Corporation (The) LX195526 Term Loan C $674,435 0.03% 6/15/2028 3.50 BB+ 100.23 Automotive

Holley/Driven LX200092 Delayed Draw Term Loan $411,834 0.02% 11/15/2028 3.75 B 99.93 Automotive

$71,433,206 3.49%

Beverage & Tobacco

Nestle Waters North America LX193319 First Lien Term Loan $7,071,553 0.35% 3/25/2028 3.50 B 99.03 Beverage & Tobacco

City Brewing Company, LLC LX193773 First Lien Term Loan $6,670,928 0.33% 4/05/2028 3.50 B+ 95.06 Beverage & Tobacco

$13,742,480 0.67%

Building & Development

Ply Gem Industries, Inc. LX193695 Upsized TL B $11,943,976 0.58% 4/01/2028 3.25 B+ 100.08 Building & Development

HD Supply Waterworks, Ltd. LX195426 Term Loan B $10,882,844 0.53% 7/27/2028 2.50 B+ 99.53 Building & Development

White Cap LX190112 1st Lien Term Loan B $7,760,078 0.38% 10/07/2027 4.00 B 100.24 Building & Development

Foundation Building Materials LX192263 First Lien TL $7,378,624 0.36% 1/29/2028 3.25 B 99.41 Building & Development

Wilsonart LLC LX193657 Term Loan B - Tranche E $6,127,737 0.30% 12/31/2026 3.50 B+ 100.10 Building & Development

17






S&P

Rating Price

Building & Development

SRS Distribution Inc. LX195086 New Term Loan B $6,117,753 0.30% 5/20/2028 3.75 B- 99.97 Building & Development

The Chamberlain Group, Inc. LX199295 First Lien Term Loan $5,676,771 0.28% 10/22/2028 3.50 B 100.03 Building & Development

Quikrete Holdings LX194315 New Term Loan B-1 $4,990,885 0.24% 4/16/2028 3.00 BB- 99.82 Building & Development

PrimeSource Building Products LX192016 First Lien Term Loan $4,762,859 0.23% 12/28/2027 3.25 B- 99.21 Building & Development

Barrette Outdoor Living LX190003 Upsized First Lien Term Loan $4,713,138 0.23% 11/02/2027 3.75 B 100.24 Building & Development

IPS Corp LX198140 Term Loan B $4,571,578 0.22% 9/20/2028 3.75 B- 99.56 Building & Development

Empire Today LX193285 Fungible Incremental 1st Lien Term Loan $4,410,531 0.22% 3/24/2028 5.00 B 97.50 Building & Development

Forterra Finance, LLC LX162521 First Lien Term Loan $4,368,388 0.21% 10/25/2023 3.00 B 100.06 Building & Development

WernerCo LX165605 Incremental Term Loan B $4,189,767 0.20% 7/24/2024 4.00 B- 100.28 Building & Development

Installed Building Products LX200866 Term Loan B $4,140,325 0.20% 12/14/2028 2.25 BB+ 100.25 Building & Development

American Bath Group LX192222 Incremental Fungible First Lien Term $4,139,867 0.20% 11/23/2027 3.75 B- 99.66 Building & Development

Northstar Group Services, Inc. LX190299 Upsized Term Loan $3,089,311 0.15% 11/09/2026 5.50 B 100.34 Building & Development

Aegion LX193563 First Lien Term Loan $3,019,618 0.15% 5/17/2028 4.75 B 100.91 Building & Development

US LBM LX191233 Term Loan B $2,953,935 0.14% 12/17/2027 3.75 B- 99.28 Building & Development

Kodiak Building Partners LX192870 Term Loan B $2,280,574 0.11% 3/01/2028 3.25 B- 99.44 Building & Development

US LBM LX196040 Term Loan B-2 $1,892,446 0.09% 12/18/2027 3.75 B- 98.98 Building & Development

Specialty Building Products LX198955 Term Loan B $1,848,459 0.09% 10/07/2028 3.75 B- 99.92 Building & Development

US LBM LX196041 Delayed Draw TLB-2 $948,600 0.05% 12/18/2027 3.75 B- 98.98 Building & Development

IPS Corp LX198141 Delayed Draw Term Loan B $914,316 0.04% 9/20/2028 3.75 B- 99.56 Building & Development

$113,122,381 5.52%

18






S&P

Rating Price

Business Equipment & Services

Misys (Finastra) LX163228 TL B USD $13,412,146 0.65% 6/13/2024 3.50 B- 99.67 Business Equipment & Services

Cotiviti (Verscend Technologies, Inc.) LX192759 Incremental 1st Lien Term Loan $11,841,086 0.58% 8/27/2025 4.00 B+ 100.10 Business Equipment & Services

Endure Digital (FKA Endurance International) LX191271 First Lien Term Loan $9,929,442 0.48% 1/29/2028 3.50 B 99.30 Business Equipment & Services

Anticimex LX196323 USD TLB $8,491,201 0.41% 7/21/2028 3.50 B 99.92 Business Equipment & Services

Solera Management LX195131 USD First Lien Term Loan $8,058,382 0.39% 6/04/2028 4.00 B- 100.11 Business Equipment & Services

NielsenIQ LX200497 Term Loan B (USD) $7,983,236 0.39% 3/05/2028 3.75 B 100.17 Business Equipment & Services

Gainwell Technologies (fka Milano Acquisition Corp.) LX189433 Incremental First Lien Term Loan $7,898,633 0.39% 10/01/2027 4.00 B+ 100.41 Business Equipment & Services

Verifone, Inc. LX175222 Upsized 1L Term Loan $7,573,541 0.37% 8/20/2025 4.00 B- 98.41 Business Equipment & Services

Intrado (fka West Corp) LX168759 Term Loan $6,879,410 0.34% 10/10/2024 4.00 B- 95.21 Business Equipment & Services

Vivint LX196067 Term Loan B $6,542,271 0.32% 7/01/2028 3.50 B 99.96 Business Equipment & Services

Consilio, Inc. LX194581 New First Lien Add-On $6,502,907 0.32% 5/17/2028 4.00 B- 99.51 Business Equipment & Services

Yak Mat LX173885 1st Lien TL $6,181,212 0.30% 7/11/2025 5.00 CCC+ 89.96 Business Equipment & Services

Convergint Technologies LX193314 1st Lien Term Loan $5,952,136 0.29% 3/31/2028 3.75 B 100.11 Business Equipment & Services

Mileage Plus Holdings, LLC LX188905 First Lien Term Loan $5,459,925 0.27% 6/26/2027 5.25 BB 105.81 Business Equipment & Services

ION Trading Technologies Limited LX193674 USD TLB $5,387,677 0.26% 3/17/2028 4.75 B 100.37 Business Equipment & Services

Legal Shield LX200768 1st Lien Term Loan $4,694,927 0.23% 12/01/2028 3.75 B- 99.47 Business Equipment & Services

Ensono LX194687 Upsized First Lien Term Loan $4,662,888 0.23% 5/28/2028 4.00 B 99.94 Business Equipment & Services

SurveyMonkey.com, LLC LX176247 Term Loan $4,650,951 0.23% 10/10/2025 3.75 B+ 99.50 Business Equipment & Services

BELFOR USA Group, Inc. LX178613 Upsized First Lien Term Loan $4,524,649 0.22% 4/06/2026 4.00 B 100.25 Business Equipment & Services

Cision LX185089 US Term Loan B $4,392,523 0.21% 1/31/2027 3.75 B- 99.28 Business Equipment & Services

Acuren LX185280 Term Loan B $4,247,558 0.21% 2/01/2027 4.00 B 100.38 Business Equipment & Services

19






S&P

Rating Price


Entertainment Partners LX199391 Term Loan B $4,131,703 0.20% 10/28/2028 3.50 B+ 100.16 Business Equipment & Services

KinderCare Education, LLC (fka Knowledge Universe Education, LLC) LX176016 Upsized 2025 First Lien Term Loan $4,032,766 0.20% 2/21/2025 3.75 CCC+ 98.06 Business Equipment & Services

Protective Industrial Products LX191949 Old First Lien Term Loan $3,893,136 0.19% 12/29/2027 4.00 B- 99.75 Business Equipment & Services

Ascend Learning LLC LX200495 1st lien term loan $3,847,113 0.19% 11/18/2028 3.50 B- 99.93 Business Equipment & Services

AlliedUniversal fka Universal Services of America LX194227 USD First Lien Term Loan due 2028 $3,844,897 0.19% 5/12/2028 3.75 B 99.73 Business Equipment & Services

Staples, Inc. LX179530 1LTL $3,834,246 0.19% 4/16/2026 5.00 B 96.84 Business Equipment & Services

Service Logic LX190318 1st Lien Term Loan $3,715,970 0.18% 11/15/2027 4.00 B 99.88 Business Equipment & Services

Cimpress LX194399 TLB $3,617,871 0.18% 4/29/2028 3.50 BB 100.17 Business Equipment & Services

Trace3 LX198887 First Lien Term Loan $3,476,913 0.17% 10/08/2028 4.25 B 99.63 Business Equipment & Services

Cubic Corporation LX194446 Term Loan B $3,473,002 0.17% 5/25/2028 4.25 B 100.49 Business Equipment & Services

ThoughtWorks LX193472 First Lien Term Loan $3,196,817 0.16% 3/15/2028 3.25 B+ 100.00 Business Equipment & Services

Clarivate (f/k/a Thomson Reuters Intellectual Property & Science) LX190007 Incremental TLB $3,172,157 0.15% 10/31/2026 3.00 B 99.98 Business Equipment & Services

TruGreen LX190495 1st Lien Term Loan B $3,137,688 0.15% 11/02/2027 4.00 B 100.30 Business Equipment & Services

GreenSky LX172188 Term Loan B $2,886,849 0.14% 3/31/2025 3.25 B 100.06 Business Equipment & Services

Spring Education LX174889 Incermental First Lien Term Loan $2,858,187 0.14% 7/30/2025 4.25 CCC+ 96.75 Business Equipment & Services

Therma Holdings LX198858 Upsized First Lien Term Loan $2,633,076 0.13% 12/27/2027 3.75 B- 100.13 Business Equipment & Services

Learning Care Group LX171794 First Lien Term Loan $1,938,984 0.09% 3/13/2025 3.25 CCC+ 98.21 Business Equipment & Services

Virtusa Corporation LX198409 Term Loan B $1,892,822 0.09% 2/11/2028 3.75 B+ 100.38 Business Equipment & Services

Misys (Finastra) LX163231 TL 2nd lien USD $1,650,459 0.08% 6/13/2025 7.25 CCC 100.03 Business Equipment & Services

EagleView Technology Corporation LX175037 1st Lien Term Loan $1,615,426 0.08% 8/14/2025 3.50 B 98.00 Business Equipment & Services

Intrado (fka West Corp) LX172702 Term Loan B-1 $1,324,603 0.06% 10/10/2024 3.50 B- 94.55 Business Equipment & Services

20






S&P

Rating Price


Learning Care Group LX171796 Second Lien Term Loan $1,087,244 0.05% 3/13/2026 7.50 CCC- 99.29 Business Equipment & Services

United Site Services LX199934 First Lien Term Loan $1,062,385 0.05% 11/04/2028 4.25 B- 100.23 Business Equipment & Services

Convergint Technologies LX193317 2nd Lien Term Loan $992,388 0.05% 3/31/2029 6.75 CCC 100.75 Business Equipment & Services

Staples, Inc. LX179819 1LTL (5Y) $970,793 0.05% 9/12/2024 4.50 B 98.08 Business Equipment & Services

Renaissance Learning Inc. LX173617 2nd Lien Term Loan $950,316 0.05% 5/30/2026 7.00 CCC 100.56 Business Equipment & Services

Veritext Corporation LX196680 Incremental 1st Lien Term Loan $822,540 0.04% 8/10/2025 3.75 B 99.38 Business Equipment & Services

Cubic Corporation LX194447 Term Loan C $706,373 0.03% 5/25/2028 4.25 B+ 100.49 Business Equipment & Services

Yak Mat LX173886 2nd Lien TL $536,458 0.03% 7/10/2026 10.00 CCC- 64.38 Business Equipment & Services

Therma Holdings LX198859 Upsized Delayed Draw $510,187 0.02% 12/27/2027 4.00 B- 100.13 Business Equipment & Services

Legal Shield LX200769 2nd Lien Term Loan $379,525 0.02% 12/01/2029 7.00 CCC 99.88 Business Equipment & Services

Service Logic LX190319 Delayed Draw 1st Lien $307,518 0.02% 11/15/2027 4.00 B 99.88 Business Equipment & Services

Veritext Corporation LX196681 Incremental 1st Lien Term Loan Delayed $144,305 0.01% 8/10/2025 3.75 B 99.38 Business Equipment & Services

$217,911,418 10.63%

Cable & Satellite Television

DIRECTV LX196261 First Lien Term Loan $10,440,707 0.51% 8/02/2027 5.00 BB 100.24 Cable & Satellite Television

Astound Broadband (f/k/a RCN Grande) LX199686 Upsized Term Loan B $9,939,941 0.49% 9/25/2026 3.25 B 99.80 Cable & Satellite Television

Telesat Canada LX184212 Term Loan B $4,091,987 0.20% 12/06/2026 2.75 BB- 90.78 Cable & Satellite Television

Wideopenwest Finance, LLC LX201074 Term Loan B $1,675,348 0.08% 12/15/2028 3.00 BB 100.02 Cable & Satellite Television

$26,147,983 1.28%

21






S&P

Rating Price

Chemicals & Plastics

AOC (a.k.a LSF11 A5 Holdco LLC) LX198628 Term Loan B $8,198,417 0.40% 10/15/2028 3.75 B 100.04 Chemicals & Plastics

PQ Performance Chemicals LX194554 First Lien Term Loan $6,070,773 0.30% 8/02/2028 3.50 B+ 100.17 Chemicals & Plastics

Olympus Water US Holding Corp (a.k.a Solenis) LX198098 USD Term Loan $6,012,028 0.29% 10/01/2028 3.75 B- 99.78 Chemicals & Plastics

ICP Group LX191909 First Lien Term Loan $5,309,453 0.26% 12/29/2027 3.75 B 99.25 Chemicals & Plastics

Ascend Performance Materials Operations LLC LX192521 Term Loan $5,021,694 0.25% 8/27/2026 4.75 BB- 100.69 Chemicals & Plastics

Ecovyst Catalyst Technologies LLC (f.k.a PQ Corp) LX195153 Term Loan B $4,994,740 0.24% 5/27/2028 2.75 BB- 100.15 Chemicals & Plastics

Arxada (fka LSI / Lonza Specialty Ingredients) LX194448 USD TLB $3,737,712 0.18% 7/02/2028 4.00 B 100.04 Chemicals & Plastics

Potters Industries LLC LX190823 Term Loan $3,036,585 0.15% 11/30/2027 4.00 B 100.31 Chemicals & Plastics

Innophos Holdings, Inc LX185180 Term Loan B $2,917,115 0.14% 2/10/2027 3.75 B+ 99.97 Chemicals & Plastics

GEON Performance Solutions LX196700 Term Loan $2,824,219 0.14% 8/11/2028 4.75 B+ 100.94 Chemicals & Plastics

Ineos Group Holdings LX200213 USD TLB (2028) $2,732,991 0.13% 11/04/2028 2.50 BB 99.56 Chemicals & Plastics

W.R. Grace Holdings LLC LX196992 Term Loan $2,377,110 0.12% 8/11/2028 3.75 B 100.30 Chemicals & Plastics

SI Group (aka Polar US Borrower LLC) LX175356 Term Loan $1,812,526 0.09% 10/15/2025 4.75 B- 100.25 Chemicals & Plastics

ICP Group LX191924 Second Lien Term Loan $706,063 0.03% 12/29/2028 7.75 CCC 98.75 Chemicals & Plastics

$55,751,426 2.72%

Clothing/Textiles

Birkenstock LX194375 USD TLB $5,038,344 0.25% 4/26/2028 3.75 B 99.88 Clothing/Textiles

Varsity Brands (fka Herff Jones, Inc.) LX169970 Senior Secured First Lien $2,138,950 0.10% 12/16/2024 3.50 CCC+ 98.25 Clothing/Textiles

Authentic Brands Group, LLC LX201070 Incremental First Lien Term Loan B2 $2,018,449 0.10% 12/10/2028 3.50 B 99.69 Clothing/Textiles

Authentic Brands Group, LLC LX201336 Incremental First Lien Term Loan B3 $316,421 0.02% 12/10/2028 3.50 B 99.63 Clothing/Textiles

22






S&P

Rating Price

Clothing/Textiles

Authentic Brands Group, LLC LX201335 Incremental First Lien Term Loan B1 $316,421 0.02% 12/10/2028 3.50 B 99.63 Clothing/Textiles

$9,828,585 0.48%

Conglomerates

Fender Musical Instruments Corp. LX200386 Term Loan B $1,311,638 0.06% 11/15/2028 4.00 B 100.13 Conglomerates

$1,311,638 0.06%

Containers & Glass Products

Charter Nex US, Inc. LX195935 First Lien Term Loan $9,914,616 0.48% 12/01/2027 3.75 B 100.38 Containers & Glass Products

ProAmpac PG Borrower LLC LX190689 Upsized First Lien Term Loan $8,430,327 0.41% 11/03/2025 3.75 B- 100.15 Containers & Glass Products

Novolex (aka Flex Acquisition Company, Inc) LX192862 Term Loan due 2028 $8,129,702 0.40% 2/25/2028 3.50 B 99.95 Containers & Glass Products

Pactiv Evergreen Group Holdings Inc (f.k.a Reynolds Group) LX198297 New '28 Term Loan $8,122,512 0.40% 9/27/2028 3.50 B+ 99.91 Containers & Glass Products

Pretium Packaging LX197568 1L Term Loan $7,079,941 0.35% 10/01/2028 4.00 B- 99.93 Containers & Glass Products

Trident TPI Holdings, Inc (a.k.a Tekni Plex) LX168808 Re-Upsized Term Loan $5,790,871 0.28% 10/17/2024 3.00 B- 100.15 Containers & Glass Products

PLZ Aeroscience Corporation LX189542 Upsized Incremental NF Term Loan B $3,930,773 0.19% 8/03/2026 3.75 B 99.25 Containers & Glass Products

Pro Mach, Inc LX196943 First Lien Term Loan $3,681,445 0.18% 8/21/2028 4.00 B- 100.47 Containers & Glass Products

Plastipak Holdings Inc LX200410 First Lien Term Loan $2,821,822 0.14% 11/17/2028 2.50 B+ 99.89 Containers & Glass Products

Graham Packaging LX192845 Term Loan B $2,725,304 0.13% 7/31/2027 3.00 B 99.85 Containers & Glass Products

Pactiv Evergreen Group Holdings Inc (f.k.a Reynolds Group) LX189891 New USD Term Loan B $2,562,510 0.13% 2/05/2026 3.25 B+ 99.55 Containers & Glass Products

Mold-Rite LX198473 First Lien Term Loan $1,930,000 0.09% 9/30/2028 3.75 B- 100.00 Containers & Glass Products

Tosca Services, LLC LX192643 First Lien Term Loan $1,333,408 0.07% 7/31/2027 3.50 B 99.75 Containers & Glass Products

Albea S.A LX172001 USD TLB $1,319,268 0.06% 4/22/2024 3.00 B- 97.50 Containers & Glass Products

23






S&P

Rating Price

Containers & Glass Products

Mold-Rite LX198474 Second Lien Term Loan $1,150,000 0.06% 9/30/2029 7.00 CCC 100.00 Containers & Glass Products

Pretium Packaging LX197570 2L Term Loan $1,098,422 0.05% 10/01/2029 6.75 CCC 100.31 Containers & Glass Products

Pro Mach, Inc LX196944 Delayed Draw Term Loan $463,075 0.02% 8/21/2028 4.00 B- 100.47 Containers & Glass Products

Novolex (aka Flex Acquisition Company, Inc) LX174279 Term Loan due 2025 $0 0.00% 6/29/2025 3.00 B 99.26 Containers & Glass Products

$70,483,994 3.44%

Cosmetics/Toiletries

PDC Brands LX165998 Upsized First Lien Term Loan $5,742,739 0.28% 6/30/2024 4.00 B 99.79 Cosmetics/Toiletries

Anastasia Beverly Hills LX175016 Term Loan $2,687,984 0.13% 8/11/2025 3.75 CCC+ 90.06 Cosmetics/Toiletries

$8,430,723 0.41%

Diversified Insurance

Acrisure, LLC LX185414 Upsized First Lien Term Loan $12,671,793 0.62% 2/15/2027 3.50 B 99.08 Diversified Insurance

Sedgwick Holdings, Inc. LX182042 Re-priced Term Loan B-2 $9,619,329 0.47% 9/03/2026 3.75 B 100.03 Diversified Insurance

AssuredPartners, Inc. LX185667 1st Lien Term Loan $8,273,757 0.40% 2/13/2027 3.50 B 99.38 Diversified Insurance

Ryan Specialty Group, LLC LX189108 Repriced Term Loan B $7,963,528 0.39% 9/01/2027 3.00 BB- 100.18 Diversified Insurance

OneDigital LX200652 First Lien Term Loan $7,896,312 0.39% 11/16/2027 4.25 B 100.00 Diversified Insurance

Hub International Limited LX192052 Term Loan B-3 (01/2021) $7,548,337 0.37% 4/25/2025 3.25 B 100.10 Diversified Insurance

Cetera Financial Group LX175452 Incremental First Lien Term Loan $4,394,382 0.21% 10/01/2025 4.25 B- 100.27 Diversified Insurance

Alliant Holdings, I, LLC LX199609 Incremental TL B-3 $3,571,050 0.17% 11/20/2027 3.50 B 100.00 Diversified Insurance

IMA Financial Group, Inc. LX198941 First Lien Term Loan $2,880,191 0.14% 10/15/2028 3.75 B 99.83 Diversified Insurance

Applied Systems Inc. LX193085 2021 Repriced Second Lien TL $1,050,129 0.05% 9/19/2025 5.50 CCC 101.10 Diversified Insurance

24






S&P

Rating Price

Diversified Insurance

AssuredPartners, Inc. LX196026 06/21 Incremental Term Loan Add On $64,054 0.00% 2/13/2027 3.50 B 100.04 Diversified Insurance

Hub International Limited LX173150 Initial Term Loan B $1 0.00% 4/25/2025 2.75 B 98.90 Diversified Insurance

Applied Systems Inc. LX168507 Upsized 1L TL $0 0.00% 9/19/2024 3.25 B- 100.09 Diversified Insurance

$65,932,862 3.22%

Drugs

Organon & Co. LX193825 USD TLB $13,533,483 0.66% 6/02/2028 3.00 BB 100.26 Drugs

Jazz Financing Lux S.à r.l. LX194307 Term B $8,449,548 0.41% 5/05/2028 3.50 BB- 100.53 Drugs

Alvogen Pharma U.S. LX186377 Extended Term Loan B $3,639,939 0.18% 12/31/2023 5.25 B- 95.83 Drugs

Amneal Pharmaceuticals LLC LX172008 Term B $2,733,616 0.13% 5/04/2025 3.50 B 99.06 Drugs

ANI Pharmaceuticals, Inc. LX194640 Term B $2,368,850 0.12% 5/24/2027 6.00 B+ 100.38 Drugs

$30,725,435 1.50%

Ecological Services & Equipment

GFL Environmental Inc. LX191503 First Lien Term Loan $7,813,087 0.38% 5/30/2025 3.00 BB- 100.33 Ecological Services & Equipment

Denali Water Solutions LLC LX192749 Term Loan B $2,983,134 0.15% 3/31/2028 4.25 B- 99.94 Ecological Services & Equipment

$10,796,221 0.53%

Electronics/Electrical

RealPage LX192752 Term Loan B $14,687,377 0.72% 4/28/2028 3.25 B 99.83 Electronics/Electrical

McAfee, LLC LX176623 USD Upsized 1st Lien Term Loan $13,659,836 0.67% 9/30/2024 3.75 BB 100.16 Electronics/Electrical

Quest Software US Holdings Inc. LX173579 Incremental 1L Term Loan $12,242,837 0.60% 5/18/2025 4.25 B 100.04 Electronics/Electrical

Ultimate Kronos Group, Inc. LX179563 1st Lien Term Loan $12,241,380 0.60% 5/04/2026 3.75 B- 99.86 Electronics/Electrical

25






S&P

Rating Price


Rackspace Technology Global, Inc. LX192323 Term Loan B $11,901,479 0.58% 2/02/2028 2.75 B+ 99.39 Electronics/Electrical

Hyland Software, Inc. LX176492 Incremental Term Loan $10,885,891 0.53% 7/01/2024 3.50 B- 100.27 Electronics/Electrical

BMC Software, Inc. LX192761 USD Term Loan $10,595,963 0.52% 10/02/2025 3.75 B- 99.73 Electronics/Electrical

Internet Brands, Inc. LX168014 1st Lien TLB $9,968,744 0.49% 9/15/2024 3.50 B 99.59 Electronics/Electrical

Cornerstone OnDemand, Inc. LX198193 First Lien Term Loan $9,052,073 0.44% 9/22/2028 3.75 B- 99.91 Electronics/Electrical

CoreLogic LX193776 First Lien Term Loan $8,869,435 0.43% 6/04/2028 3.50 B 100.08 Electronics/Electrical

Epicor Software Corporation LX189137 1st Lien Term Loan $8,821,188 0.43% 7/31/2027 3.25 B- 100.06 Electronics/Electrical

McAfee Enterprise LX194237 Incremental 1L Term Loan $8,549,996 0.42% 7/27/2028 5.00 B 99.96 Electronics/Electrical

Greeneden U.S. Holdings II, L.L.C. LX190170 New USD Term Loan B $8,451,291 0.41% 12/01/2027 4.00 B- 100.48 Electronics/Electrical

Ingram Micro LX193891 Term Loan B $8,313,035 0.41% 6/30/2028 3.50 BB- 100.17 Electronics/Electrical

Rocket Software, Inc. LX176847 1st Lien Term Loan $7,931,797 0.39% 11/28/2025 4.25 B- 99.71 Electronics/Electrical

MKS Instruments LX196312 USD Term Loan B $7,777,698 0.38% 12/31/2028 2.25 BB 99.91 Electronics/Electrical

Barracuda Networks, Inc. LX170759 10/20 Incremental 1st Lien Term Loan $7,708,789 0.38% 2/12/2025 3.75 B- 100.48 Electronics/Electrical

Imperva, Inc. LX176959 10/20 Incremental 1L Term Loan $7,320,286 0.36% 1/10/2026 4.00 B- 100.04 Electronics/Electrical

II-VI Incorporated LX192867 Term Loan B $7,151,487 0.35% 3/31/2029 2.75 BB- 100.02 Electronics/Electrical

LogMeIn, Inc. LX185343 Incremental 1L Term Loan $7,138,881 0.35% 8/31/2027 4.75 B 99.55 Electronics/Electrical

RSA Security LX194108 1L Term Loan $7,022,625 0.34% 4/30/2028 4.75 B 95.94 Electronics/Electrical

Yahoo (Verizon Media Group) LX196282 Term B-1 Loan $6,936,583 0.34% 9/01/2027 5.50 B 100.06 Electronics/Electrical

Veritas Technologies Corporation LX193430 USD Term Loan B $6,731,505 0.33% 9/01/2025 5.00 B- 100.11 Electronics/Electrical

Ultra Clean Holdings, Inc LX193302 Term Loan B $6,387,431 0.31% 8/27/2025 3.75 B+ 100.25 Electronics/Electrical

ConnectWise, LLC LX198249 Term Loan B $6,068,494 0.30% 9/30/2028 3.50 NR 99.89 Electronics/Electrical

26






S&P

Rating Price


Xperi Corporation LX188248 Term Loan B $5,770,167 0.28% 6/07/2028 3.50 BB- 99.95 Electronics/Electrical

Kofax, Inc LX178173 Incremental Term Loan $5,731,762 0.28% 7/07/2024 4.75 B 100.33 Electronics/Electrical

Yahoo (Verizon Media Group) LX196283 Term B-2 Loan $5,632,547 0.27% 9/01/2027 5.50 B 100.31 Electronics/Electrical

Cloudera Inc LX196367 1st Lien Term Loan $5,542,268 0.27% 8/10/2028 3.75 B- 99.77 Electronics/Electrical

Mitchell International, Inc. LX198698 First Lien Term Loan $5,073,902 0.25% 9/20/2028 3.75 B- 99.59 Electronics/Electrical

Constant Contact LX192459 Term Loan B $4,992,228 0.24% 2/10/2028 4.00 B 100.04 Electronics/Electrical

Forcepoint LX192008 Incremental Term Loan $4,893,896 0.24% 1/08/2028 4.25 B- 100.28 Electronics/Electrical

Bomgar Corporation LX172811 Term Loan $4,852,588 0.24% 4/18/2025 4.00 B- 100.11 Electronics/Electrical

SonicWall US Holdings Inc. LX173537 Incremental 1L Term Loan $4,436,090 0.22% 5/16/2025 3.75 B- 100.10 Electronics/Electrical

Planview LX191189 Term Loan B $4,272,234 0.21% 12/31/2027 4.00 B- 100.13 Electronics/Electrical

Superion LX175394 Incremental 1st Lien Term Loan $4,214,594 0.21% 8/29/2025 3.75 B- 94.58 Electronics/Electrical

Trader Interactive LX196394 Term Loan B $4,204,738 0.21% 7/21/2028 4.00 B 99.88 Electronics/Electrical

Optiv Security, Inc. (f.k.a. Accuvant Inc.) LX158907 1st Lien Term Loan $4,115,391 0.20% 2/01/2024 3.25 B- 99.19 Electronics/Electrical

CommerceHub LX191363 Term Loan B $4,062,737 0.20% 12/31/2027 4.00 B 99.13 Electronics/Electrical

Ivanti Software, Inc. (f.k.a. LANDesk Software) LX199508 New 1L Term Loan $3,906,449 0.19% 12/01/2027 4.25 B- 100.35 Electronics/Electrical

Infoblox, Inc LX190133 1st Lien Term Loan $3,893,976 0.19% 12/01/2027 3.75 B- 100.22 Electronics/Electrical

ECi Software Solutions LX189876 1st Lien Term Loan $3,893,132 0.19% 11/09/2027 3.75 B- 100.06 Electronics/Electrical

ABC Financial Inc. LX170018 Incremental 1st Lien Term Loan $3,872,919 0.19% 1/02/2025 4.25 B- 98.25 Electronics/Electrical

Brooks Automation LX200277 First Lien Term Loan $3,760,575 0.18% 2/01/2029 3.35 B 99.75 Electronics/Electrical

Travelport, Inc. LX190025 Super Priority Term Loan (06/21) $3,660,733 0.18% 2/28/2025 7.00 B- 103.33 Electronics/Electrical

Watlow LX193018 Term Loan B $3,631,417 0.18% 3/02/2028 3.75 B 99.97 Electronics/Electrical

27






S&P

Rating Price


Grab Holdings Inc LX191886 Term Loan B $3,538,790 0.17% 1/14/2026 4.50 B- 100.44 Electronics/Electrical

Ivanti Software, Inc. (f.k.a. LANDesk Software) LX192710 02/21 Incremental Term Loan $3,314,756 0.16% 12/01/2027 4.00 B- 99.59 Electronics/Electrical

ION Corporates LX193157 TLB $3,266,788 0.16% 3/04/2028 3.75 B 99.56 Electronics/Electrical

Quest Software US Holdings Inc. LX173580 2nd Lien Term Loan $3,249,926 0.16% 5/18/2026 8.25 B- 100.15 Electronics/Electrical

Instructure Holdings, Inc. LX199351 Term Loan B $3,197,963 0.16% 10/21/2028 2.75 NR 99.63 Electronics/Electrical

Sabre Inc. LX196145 Repriced 2020 Incremental Term B $3,127,689 0.15% 12/17/2027 3.50 B 98.85 Electronics/Electrical

Creation Technologies LX198342 Term Loan B $3,035,906 0.15% 10/01/2028 5.50 B 99.38 Electronics/Electrical

Weld North Education LX198239 Repriced Term Loan B $2,872,986 0.14% 12/31/2027 3.75 B- 100.16 Electronics/Electrical

Travelport, Inc. LX196301 Consented First Lien Term Loan (06/21) $2,609,607 0.13% 5/30/2026 6.25 CCC- 83.55 Electronics/Electrical

Internet Brands, Inc. LX192714 2nd Lien Term Loan $2,484,600 0.12% 2/12/2029 6.25 CCC+ 101.00 Electronics/Electrical

McAfee Enterprise LX194239 Incremental 2L Term Loan $2,248,700 0.11% 5/03/2029 8.25 CCC+ 99.50 Electronics/Electrical

Riverbed Technology, Inc. LX200740 Exit Term Loan $2,151,858 0.11% 12/07/2026 6.00 NR 98.06 Electronics/Electrical

BMC Software, Inc. LX198309 2nd Lien Term Loan $1,985,633 0.10% 3/02/2026 5.50 CCC+ 101.05 Electronics/Electrical

Aspect Software, Inc. LX194465 1st Lien TL $1,981,534 0.10% 5/06/2028 5.25 B- 98.83 Electronics/Electrical

Sabre Inc. LX196146 2021 Revolver Replacement Term B $1,955,565 0.10% 12/17/2027 3.50 B 98.85 Electronics/Electrical

Sovos Compliance LX196507 Term Loan B $1,520,235 0.07% 8/01/2028 4.50 B- 100.44 Electronics/Electrical

Mitchell International, Inc. LX198699 Second Lien Term Loan $1,488,521 0.07% 9/20/2029 6.50 CCC 100.92 Electronics/Electrical

Synaptics LX199197 Term Loan B $1,376,550 0.07% 12/02/2028 2.25 BB- 100.00 Electronics/Electrical

Mediaocean LLC LX200884 First Lien Term Loan $1,320,859 0.06% 12/08/2028 3.50 B 99.69 Electronics/Electrical

Rocket Software, Inc. LX195174 Incremental 1L Term Loan $1,119,935 0.05% 11/28/2025 4.25 B- 100.05 Electronics/Electrical

Brooks Automation LX200279 Second Lien Term Loan $1,093,138 0.05% 2/01/2030 5.60 CCC+ 100.75 Electronics/Electrical

28






S&P

Rating Price


CoreLogic LX193778 Second Lien Term Loan $1,087,766 0.05% 6/04/2029 6.50 CCC+ 101.19 Electronics/Electrical

Autodata, Inc. LX195765 New Incremental Term Loan B $1,041,188 0.05% 5/30/2026 3.50 B- 100.13 Electronics/Electrical

Ping Identity Corporation LX200580 Term Loan B $896,678 0.04% 11/30/2028 3.75 B- 100.19 Electronics/Electrical

Barracuda Networks, Inc. LX190420 10/20 2nd Lien Term Loan $837,954 0.04% 10/30/2028 6.75 CCC+ 100.96 Electronics/Electrical

SonicWall US Holdings Inc. LX173538 Incremental 2L Term Loan $775,959 0.04% 5/18/2026 7.50 CCC+ 98.69 Electronics/Electrical

Hyland Software, Inc. LX193771 Incremental 2nd Lien Term Loan $339,292 0.02% 7/07/2025 6.25 CCC 101.28 Electronics/Electrical

Travelport, Inc. LX190025 Super Priority Term Loan (06/21) $283,694 0.01% 2/28/2025 7.00 B- 103.33 Electronics/Electrical

Sovos Compliance LX196508 Delayed Draw TL $262,531 0.01% 8/02/2023 4.50 B- 100.44 Electronics/Electrical

Ivanti Software, Inc. (f.k.a. LANDesk Software) LX199509 New 2L Term Loan $150,188 0.01% 12/01/2028 7.25 CCC 100.13 Electronics/Electrical

Allegro Microsystems Inc. LX189882 First Lien Term Loan $61,538 0.00% 9/30/2027 3.75 BB 100.00 Electronics/Electrical

Travelport, Inc. LX196301 Consented First Lien Term Loan (06/21) $7,306 0.00% 5/30/2026 6.25 CCC- 83.55 Electronics/Electrical

Navex Global LX175329 Incremental Term Loan $0 0.00% 9/05/2025 3.25 B- 99.54 Electronics/Electrical

Sophos LX184762 USD TLB add-on $0 0.00% 3/05/2027 3.50 B- 99.38 Electronics/Electrical

$375,516,067 18.32%

Equipment Leasing

Rent-A-Center, Inc. LX198205 1L TL B $5,977,459 0.29% 2/17/2028 3.25 BB- 100.05 Equipment Leasing

Aggreko plc LX199160 USD Term Loan $2,952,863 0.14% 10/31/2026 5.25 BB- 100.44 Equipment Leasing

$8,930,322 0.44%

Equity REITs and REOCs

Brookfield Property Partners LX173182 Term Loan B $5,544,144 0.27% 8/27/2025 2.50 BB+ 98.81 Equity REITs and REOCs

29






S&P

Rating Price

Equity REITs and REOCs

Forest City Enterprises, L.P. LX183933 Term B $3,596,996 0.18% 12/08/2025 3.50 B+ 98.83 Equity REITs and REOCs

$9,141,141 0.45%

Financial Intermediaries

Edelman Financial Services LX193555 1L Term Loan $15,987,987 0.78% 3/19/2028 3.50 B 100.05 Financial Intermediaries

Duff & Phelps LX186124 Incremental Term Loan B $8,159,559 0.40% 4/09/2027 3.75 B- 100.24 Financial Intermediaries

Wells Fargo Asset Management LX194247 First Lien Term Loan $7,514,353 0.37% 4/21/2028 3.25 BB- 100.29 Financial Intermediaries

TransUnion LLC LX200258 Term Loan B-6 $7,141,556 0.35% 11/16/2028 2.25 BBB- 99.88 Financial Intermediaries

Victory Capital Management LX200742 Non-Fungible Term Loan $6,406,847 0.31% 11/30/2028 2.25 BB- 99.56 Financial Intermediaries

Blucora (fka TaxAct / HD Vest) LX169647 New Upsized First Lien Term Loan $6,188,050 0.30% 5/24/2024 4.00 BB 100.00 Financial Intermediaries

Ascensus, Inc. LX194867 Incremental First Lien TL $4,028,274 0.20% 8/02/2028 3.50 B- 99.83 Financial Intermediaries

Advisor Group LX192367 Incremental First Lien Term Loan $3,451,123 0.17% 8/01/2026 4.50 B- 100.33 Financial Intermediaries

Castlelake Aviation Limited LX198931 First Lien Term Loan $2,991,876 0.15% 10/07/2026 2.75 BB 99.73 Financial Intermediaries

Hightower Holding, LLC LX194178 Incremental First Lien Term Loan $2,929,526 0.14% 4/21/2028 4.00 B- 100.23 Financial Intermediaries

Ascensus, Inc. LX194868 Incremental Second Lien TL $2,072,744 0.10% 8/02/2029 6.50 CCC 100.38 Financial Intermediaries

Walker & Dunlop LX199177 First Lien Term Loan $980,000 0.05% 10/14/2028 2.25 BBB- 100.00 Financial Intermediaries

Focus Financial Partners LX185196 Upsized Incremental Term Loan $3,156 0.00% 7/03/2024 2.00 BB- 99.31 Financial Intermediaries

$67,855,050 3.31%

Food Products

Inspire Brands (FKA Arby's Restaurant Group) LX185405 1L TL B $12,369,992 0.60% 2/05/2025 2.75 B+ 99.97 Food Products

Weber-Stephen Products LLC LX190374 Term Loan B $5,509,167 0.27% 10/26/2027 3.25 BB 100.28 Food Products

30






S&P

Rating Price

Food Products

8th Avenue Food & Provisions, Inc. LX175827 First Lien Term Loan $5,050,364 0.25% 10/01/2025 3.75 B- 98.83 Food Products

Primary Products LX199193 First Lien Term Loan $4,363,594 0.21% 10/31/2028 4.00 BB- 100.31 Food Products

Atkins Nutritionals Holdings II, Inc. LX162989 Upsized 1st Lien Term Loan $2,620,021 0.13% 7/08/2024 3.75 BB 100.78 Food Products

Dessert Holdings LX195161 First Lien Term Loan $1,701,000 0.08% 6/15/2028 4.00 B- 99.75 Food Products

WellPet LX191244 1L TL B $1,402,487 0.07% 12/16/2027 3.75 B- 100.22 Food Products

Dessert Holdings LX195162 DD First Lien Term Loan $318,937 0.02% 6/07/2028 4.00 B- 99.75 Food Products

$33,335,563 1.63%

Food Service

Whataburger LX196456 1L TL B $8,360,050 0.41% 7/21/2028 3.25 B 99.79 Food Service

Hearthside Food Solutions, LLC LX173322 First Lien Term Loan $7,020,347 0.34% 5/23/2025 3.68 B- 99.52 Food Service

K-Mac Holdings Corp. LX195583 1L TL $6,294,106 0.31% 7/21/2028 3.50 B- 99.51 Food Service

US Foods, Inc. LX200411 First Lien Term Loan $4,968,103 0.24% 11/17/2028 2.75 BB 100.06 Food Service

Flynn Restaurant Group LX200741 Extended TL-B $4,246,181 0.21% 11/22/2028 4.25 B 98.86 Food Service

Tacala, LLC LX170720 1L TL B $3,600,953 0.18% 2/05/2027 3.50 B- 99.94 Food Service

Dhanani Group Inc. LX174227 Term Loan B $3,502,431 0.17% 7/20/2025 3.75 B 95.50 Food Service

Pacific Bells LX198459 1L TL B $2,747,431 0.13% 10/20/2028 4.50 B- 99.50 Food Service

Fogo de Chao Churrascaria LX176283 TL-B $2,404,139 0.12% 4/07/2025 4.25 B- 99.06 Food Service

Pacific Bells LX198460 Delayed Draw $28,619 0.00% 10/20/2028 4.50 B- 99.50 Food Service

$43,172,359 2.11%

31






S&P

Rating Price

Food/Drug Retailers

EG Group (Euro Garages) LX172070 USD Add on $7,067,676 0.34% 2/07/2025 4.00 B- 99.71 Food/Drug Retailers

United Natural Foods, Inc. (FKA SUPERVALU) LX176260 1L TL B $5,942,300 0.29% 10/22/2025 3.50 BB- 100.06 Food/Drug Retailers

Portillo Restaurant Group (The) LX184412 1L TL B $4,231,823 0.21% 8/25/2024 5.50 B 100.22 Food/Drug Retailers

EG Group (Euro Garages) LX193148 2021 USD Add-on $831,914 0.04% 3/20/2026 4.25 B- 100.45 Food/Drug Retailers

Save-A-Lot LX187657 2nd lien term loan $652,852 0.03% 10/01/2024 10.75 CCC 86.00 Food/Drug Retailers

Save-A-Lot LX187261 New Money Term $624,829 0.03% 4/01/2024 7.00 B- 102.25 Food/Drug Retailers

Save-A-Lot LX187657 2nd lien term loan $121,747 0.01% 10/01/2024 10.75 CCC 86.00 Food/Drug Retailers

Save-A-Lot LX187261 New Money Term $112,263 0.01% 4/01/2024 7.00 B- 102.25 Food/Drug Retailers

$19,585,403 0.96%

Forest Products

Oregon Tool LX198956 Term Loan B $6,434,034 0.31% 10/15/2028 4.00 B- 100.14 Forest Products

Osmose Holdings, Inc. LX195486 1L TL B $5,132,388 0.25% 6/17/2028 3.25 B 99.58 Forest Products

Ahlstrom-Munksjö LX193268 USD TLB $2,989,975 0.15% 2/04/2028 4.00 B 100.25 Forest Products

$14,556,397 0.71%

Health Care

athenahealth, Inc. LX192386 B1 $8,442,321 0.41% 2/11/2026 4.25 B 100.06 Health Care

Envision Healthcare Corporation LX175867 Term B $8,170,625 0.40% 10/11/2025 3.75 CCC+ 80.78 Health Care

Multiplan, Inc LX197152 1L Term Loan B $8,165,947 0.40% 8/17/2028 4.25 B+ 98.03 Health Care

LifePoint Health, Inc. LX176702 Upsized Term B $8,138,063 0.40% 11/16/2025 3.75 B 100.04 Health Care

BAUSCH HEALTH AMERICAS, INC LX173606 Term B $6,989,627 0.34% 6/02/2025 3.00 BB 99.68 Health Care

32






S&P

Rating Price

Health Care

PCI Pharma Services LX189979 Upsized Term B $6,595,134 0.32% 11/30/2027 3.75 B- 100.13 Health Care

Huntsworth/UDG LX196752 USD TL $6,511,238 0.32% 8/06/2028 4.25 B 100.25 Health Care

Change Healthcare, Inc. LX159695 Term B $6,492,396 0.32% 3/01/2024 2.50 B+ 100.01 Health Care

ExamWorks Group, Inc. LX197890 1L Term Loan $6,477,471 0.32% 8/31/2028 3.25 B 99.88 Health Care

BrightSpring Health Services (fka PharMerica Corporation) LX192971 Incremental Term Loan $6,162,271 0.30% 3/05/2026 3.50 B 99.54 Health Care

Global Medical Response, Inc. (fka Air Medical Group Holdings, Inc.) LX189951 Incremental Extended Term Loan B (Oct $5,881,224 0.29% 10/02/2025 4.25 B 99.68 Health Care

Curia Global, Inc. LX196585 2021 Upsized B $5,871,501 0.29% 8/30/2026 3.75 B 100.22 Health Care

CHG Medical Staffing, Inc. LX198337 Term B $5,817,340 0.28% 10/01/2028 3.50 B 100.12 Health Care

Wellsky LX193028 First Lien Term Loan $5,673,552 0.28% 3/02/2028 3.25 B 99.94 Health Care

WCG LX184508 Upsized Term B $5,596,179 0.27% 1/08/2027 4.00 B 100.25 Health Care

Sevita (fka National Mentor, Civitas Solutions) LX192639 First Lien Term Loan $5,470,225 0.27% 2/17/2028 3.75 B 99.14 Health Care

MedRisk, LLC LX193138 1L Term Loan $5,070,467 0.25% 5/10/2028 3.75 B 100.06 Health Care

Sotera Health (f.k.a. Sterigenics International LLC) LX192090 Term B $4,988,540 0.24% 12/13/2026 2.75 BB- 99.77 Health Care

PAREXEL LX196814 Term B $4,921,365 0.24% 8/30/2028 3.50 B 100.13 Health Care

Tecomet LX169359 2020 Upsized B $4,825,574 0.24% 5/01/2024 3.50 B- 95.25 Health Care

U.S. Anesthesia Partners LX198300 Term B $4,559,294 0.22% 10/01/2028 4.25 B 99.88 Health Care

Pathway Vet Alliance LX192324 New Incremental First Lien Term Loan $4,341,777 0.21% 3/31/2027 3.75 B 99.80 Health Care

Careismatic Brands LX191933 1L Term Loan $4,299,733 0.21% 1/20/2028 3.25 B 99.80 Health Care

ICON Clinical Investments LLC LX195616 TERM B LUX $4,268,833 0.21% 7/01/2028 2.50 BB+ 100.15 Health Care

AccentCare, Inc. LX195540 New First Lien Term Loan $4,250,453 0.21% 6/20/2026 4.00 B- 99.79 Health Care

RadNet, Inc. LX194154 Term B $4,055,333 0.20% 4/15/2028 3.00 B 100.14 Health Care

33






S&P

Rating Price

Health Care

Ingenovis Health LX192894 Upsized Term B $3,978,564 0.19% 3/05/2028 3.75 B 100.47 Health Care

Virgin Pulse, Inc. LX193561 Incremental First Lien Term Loan $3,947,606 0.19% 4/06/2028 4.00 B- 98.94 Health Care

eResearch Technology Inc. LX183890 Initial Term Loan $3,932,811 0.19% 2/04/2027 4.50 B- 100.58 Health Care

LifeScan Global Corp LX173565 1L Term Loan $3,932,297 0.19% 10/01/2024 6.00 B 97.90 Health Care

Cano Health LX191011 Term B $3,826,601 0.19% 11/23/2027 4.50 B 100.19 Health Care

Perrigo Rx LX195723 Term B $3,795,162 0.19% 6/30/2028 4.75 B 99.69 Health Care

PetVet Care Centers LX192040 Incremental 1L TLB-3 $3,729,005 0.18% 2/15/2025 3.50 B 100.13 Health Care

Heartland Dental Care LX195465 6/2021 Term Loan $3,579,359 0.17% 4/30/2025 4.00 B- 99.89 Health Care

WP CityMD Bidco LLC LX200473 Term B $3,115,779 0.15% 11/18/2028 3.25 B 100.03 Health Care

Ortho-Clinical Diagnostics, Inc. LX173721 Term B $3,091,485 0.15% 6/30/2025 3.00 B+ 100.09 Health Care

RxBenefits, Inc. LX191299 Repriced Term B $3,051,557 0.15% 12/18/2027 5.25 B- 100.31 Health Care

Unified Women’s Healthcare, LP LX191335 Aug 2021 TLB $2,858,525 0.14% 12/18/2027 4.25 B- 100.34 Health Care

MW Life Sciences LX189904 TLB $2,765,552 0.13% 10/01/2027 4.50 B- 100.13 Health Care

ATI Physical Therapy LX152458 Upsized First Lien Term Loan $2,684,336 0.13% 5/10/2023 3.50 B- 96.58 Health Care

Pacific Dental Services LX194149 Term B $2,617,532 0.13% 4/21/2028 3.50 B 100.16 Health Care

Aspen Dental Management, Inc. LX195710 B3 $2,479,311 0.12% 12/23/2027 3.50 B 99.97 Health Care

U.S. Renal Care, Inc. LX194472 Incremental Term Loan B $2,435,409 0.12% 6/20/2026 5.50 B- 98.25 Health Care

Medical Solutions LX198681 Term B $2,422,794 0.12% 10/10/2028 3.50 B 99.98 Health Care

Air Methods LX162655 Term Loan B $2,260,627 0.11% 4/22/2024 3.50 B 95.17 Health Care

Carestream Dental Digital LX200089 Term B-2 $2,055,000 0.10% 9/01/2024 4.50 B 100.00 Health Care

Upstream Physical Therapy LX196625 Term B $1,995,285 0.10% 11/20/2026 4.25 B 100.27 Health Care

34






S&P

Rating Price

Health Care

ICU Medical LX198233 Term B $1,740,422 0.08% 12/15/2028 2.50 BB 100.31 Health Care

ICON Clinical Investments LLC LX195815 US TERM B $1,063,582 0.05% 7/01/2028 2.50 BB+ 100.15 Health Care

PointClickCare LX191337 1L Term Loan $893,808 0.04% 12/15/2027 3.00 B+ 100.06 Health Care

Sevita (fka National Mentor, Civitas Solutions) LX192642 Second Lien Term Loan $584,269 0.03% 2/17/2029 7.25 CCC+ 99.88 Health Care

Medical Solutions LX198682 DD Term B $461,485 0.02% 10/07/2028 3.50 B 99.98 Health Care

Sevita (fka National Mentor, Civitas Solutions) LX192641 First Lien Term Loan - DD $254,550 0.01% 2/17/2028 3.75 B 99.14 Health Care

Sevita (fka National Mentor, Civitas Solutions) LX192640 Term Loan C $172,693 0.01% 2/17/2028 3.75 B 99.14 Health Care

Press Ganey LX181488 Initial Term Loan $7,531 0.00% 7/25/2026 3.50 B 99.66 Health Care

$221,769,420 10.82%

Home Furnishings

ADT fka Protection One, Inc. LX192168 1st Lien Term Loan B $5,625,568 0.27% 9/23/2026 2.75 BB- 100.02 Home Furnishings

Conair LX194841 First Lien Term Loan $3,683,032 0.18% 5/17/2028 3.75 B 100.15 Home Furnishings

Hunter Fan Company LX193934 First Lien Term Loan $2,950,755 0.14% 4/02/2028 5.00 B 99.94 Home Furnishings

Visual Comfort & Co LX195836 First Lien Term Loan $1,514,993 0.07% 7/21/2028 3.50 B 99.34 Home Furnishings

$13,774,348 0.67%

Industrial Equipment

Madison IAQ LX195492 Upsized First Lien Term Loan $12,309,585 0.60% 6/15/2028 3.25 B 100.05 Industrial Equipment

Alliance Laundry Systems LLC LX190032 Term Loan B $7,409,076 0.36% 10/01/2027 3.50 B 100.14 Industrial Equipment

Kenan Advantage Group, Inc. LX193260 Upsized First Lien Term Loan $5,807,668 0.28% 3/15/2026 3.75 B- 99.94 Industrial Equipment

Filtration Group Corporation LX199347 2021 Incremental Term Loan $5,572,430 0.27% 10/31/2028 3.50 B 100.03 Industrial Equipment

35






S&P

Rating Price

Industrial Equipment

TK Elevator (fka Thyssenkrupp Elevator) LX196018 USD TLB $4,842,629 0.24% 7/31/2027 3.50 B+ 100.19 Industrial Equipment

Howden LX192167 Term Loan B $4,250,434 0.21% 9/30/2026 4.00 B 100.13 Industrial Equipment

SUBCOM LX194107 First Lien Term Loan $3,728,772 0.18% 4/22/2027 5.00 B 100.94 Industrial Equipment

CPM Holdings, Inc. LX176453 First Lien Term Loan $3,377,059 0.16% 11/17/2025 3.50 B- 99.50 Industrial Equipment

Ion Analytics LX192466 USD TLB $3,349,224 0.16% 2/03/2028 4.00 B 100.44 Industrial Equipment

CentroMotion LX195839 Term Loan B $2,715,675 0.13% 6/08/2028 6.00 B 99.25 Industrial Equipment

CentroMotion LX195840 Delayed Draw $808,237 0.04% 6/08/2028 6.00 B 99.25 Industrial Equipment

$54,170,789 2.64%

Leisure Goods/Activities/Movies

Camping World LX195057 Term Loan B $8,133,388 0.40% 6/23/2028 2.50 BB- 99.44 Leisure Goods/Activities/Movies

City Football Group LX195726 First Lien Term Loan $7,820,563 0.38% 7/21/2028 3.50 NR 99.63 Leisure Goods/Activities/Movies

Samsonite LX188061 Repriced Incremental Term Loan B-2 $5,138,354 0.25% 4/25/2025 3.00 B+ 99.69 Leisure Goods/Activities/Movies

Club Car LX194777 Senior Secured Term Loan $5,038,678 0.25% 5/31/2028 4.00 B 100.13 Leisure Goods/Activities/Movies

SRAM, LLC LX194838 First Lien Term Loan $5,006,250 0.24% 5/12/2028 2.75 BB- 100.13 Leisure Goods/Activities/Movies

WeddingWire LX176821 1st Lien $4,922,343 0.24% 12/19/2025 4.50 B+ 100.31 Leisure Goods/Activities/Movies

Cineworld LX171023 Term Loan B $4,605,092 0.22% 2/28/2025 2.50 CCC 77.51 Leisure Goods/Activities/Movies

Fitness International, LLC. LX172914 Term Loan B $4,601,440 0.22% 4/18/2025 3.25 CCC+ 93.93 Leisure Goods/Activities/Movies

AppLovin Corporation LX199426 Incremental TLB $4,586,950 0.22% 10/22/2028 3.00 B+ 100.08 Leisure Goods/Activities/Movies

Cineworld LX191039 Super Priority $4,019,264 0.20% 5/23/2024 7.00 CCC 119.46 Leisure Goods/Activities/Movies

RV Retailer LX192101 Term Loan B $3,064,212 0.15% 1/31/2028 4.00 B+ 99.94 Leisure Goods/Activities/Movies

AMC Entertainment Inc. LX179152 Term Loan B due 2026 $2,829,858 0.14% 4/22/2026 3.00 B- 90.35 Leisure Goods/Activities/Movies

36






S&P

Rating Price

Leisure Goods/Activities/Movies

National CineMedia, LLC LX193188 New Term Loan $2,764,752 0.13% 12/20/2024 8.00 CCC+ 96.50 Leisure Goods/Activities/Movies

Ancestry.com LX192925 1st Lien Term Loan $2,496,514 0.12% 12/06/2027 3.25 B 99.48 Leisure Goods/Activities/Movies

ClubCorp Club Operations, Inc LX167985 Senior Secured Term Loan B $2,367,158 0.12% 9/18/2024 2.75 B- 96.57 Leisure Goods/Activities/Movies

Alterra Mountain Company (fka Intrawest) LX196645 Term Loan B due 2028 $2,196,943 0.11% 7/30/2028 3.50 B 100.04 Leisure Goods/Activities/Movies

24 Hour Fitness Worldwide, Inc LX199043 New Incremntal Term Loan $2,085,687 0.10% 9/30/2026 2.00 CCC- 99.67 Leisure Goods/Activities/Movies

Cineworld LX196880 7/21 Incremental Priority $1,374,495 0.07% 5/23/2024 8.25 B- 107.25 Leisure Goods/Activities/Movies

24 Hour Fitness Worldwide, Inc LX193337 Super Priority $1,045,776 0.05% 8/25/2022 14.00 NR 100.50 Leisure Goods/Activities/Movies

24 Hour Fitness Worldwide, Inc LX191778 Exit Term Lon $578,686 0.03% 12/29/2025 5.00 CCC- 74.00 Leisure Goods/Activities/Movies

24 Hour Fitness Worldwide, Inc LX193337 Super Priority $99,562 0.00% 8/25/2022 14.00 NR 100.50 Leisure Goods/Activities/Movies

$74,775,964 3.65%

Lodging & Casinos

Bally's (f.k.a Twin River Management) LX196763 TLB $8,201,769 0.40% 8/06/2028 3.25 BB- 100.14 Lodging & Casinos

Golden Entertainment LX165659 1st Lien $7,892,620 0.39% 10/21/2024 3.00 B+ 100.00 Lodging & Casinos

Enterprise Development Authority LX192685 TLB $5,832,750 0.28% 2/18/2028 4.25 B 100.00 Lodging & Casinos

Caesars Resort Collection LX188823 Non-Fungible TLB-1 $5,356,087 0.26% 7/21/2025 3.50 B+ 100.16 Lodging & Casinos

Hilton Grand Vacations LLC LX193532 TLB $4,768,390 0.23% 7/31/2028 3.00 BB 100.28 Lodging & Casinos

Aristocrat Leisure Limited LX188215 Non-Fungible Incremental TLB $3,244,437 0.16% 10/19/2024 3.75 BB+ 100.73 Lodging & Casinos

J&J Ventures LX193818 Upsized Term Loan B $3,044,981 0.15% 4/26/2028 4.00 B 100.25 Lodging & Casinos

Aimbridge Hospitality LX189972 Non Fungible Incremental $3,007,535 0.15% 2/01/2026 4.75 CCC+ 99.75 Lodging & Casinos

37






S&P

Rating Price

Lodging & Casinos

ECL Entertainment LX193677 TLB $846,403 0.04% 4/02/2028 7.50 B- 101.88 Lodging & Casinos

$42,194,972 2.06%

Mortgage REITs

BGIS LX180094 Incremental Term Loan $0 0.00% 5/31/2026 3.50 B 99.19 Mortgage REITs

$0 0.00%

Nonferrous Metals/Minerals

U.S. Silica Company LX172957 Term Loan $10,743,180 0.52% 5/01/2025 4.00 B- 97.98 Nonferrous Metals/Minerals

Covia Holdings Corporation (fka Unimin Corporation) LX191801 New Term Loan $5,240,824 0.26% 7/31/2026 4.00 B- 99.25 Nonferrous Metals/Minerals

$15,984,003 0.78%

Oil & Gas

BCP Renaissance Parent LLC (i.e. Rover) LX168609 Term Loan $5,384,500 0.26% 10/31/2024 3.50 B 99.86 Oil & Gas

Southwestern Energy Company LX201044 TLB $5,291,484 0.26% 6/22/2027 2.50 BBB- 100.31 Oil & Gas

IMTT LX195713 TLB $4,990,617 0.24% 7/01/2028 2.75 BB 100.06 Oil & Gas

Traverse Midstream Partners LLC LX168620 Upsized TLB $4,575,215 0.22% 9/27/2024 4.25 B 99.75 Oil & Gas

Lucid Energy Group II Borrower, LLC LX200446 TLB $4,157,162 0.20% 12/01/2028 4.25 B 98.88 Oil & Gas

Oryx Midstream Services Permian Basin LLC LX198454 TLB $3,357,521 0.16% 10/01/2028 3.25 BB- 99.48 Oil & Gas

Navitas Midstream Midland Basin, LLC LX170023 Term Loan $2,356,737 0.12% 12/13/2024 4.00 B 99.96 Oil & Gas

Bison Midstream Holdings, LLC LX173489 Term Loan $2,171,509 0.11% 5/21/2025 4.00 B- 97.55 Oil & Gas

Harvey Gulf International Marine, LLC LX172240 Exit Term Loan $1,410,057 0.07% 7/02/2023 6.00 D 84.25 Oil & Gas

Prairie ECI Acquiror LP (Tallgrass) LX178951 Upsized Term Loan $1,102,414 0.05% 3/11/2026 4.75 B 96.94 Oil & Gas

38






S&P

Rating Price

Oil & Gas

Glass Mountain Pipeline, LLC LX200152 Exit Term Loan $543,156 0.03% 10/28/2027 4.50 NR 89.00 Oil & Gas

$35,340,372 1.72%

Property & Casualty Insurance

BroadStreet Partners, Inc. LX198605 Incremental TL B-2 $4,463,501 0.22% 1/20/2027 3.25 B 99.44 Property & Casualty Insurance

BroadStreet Partners, Inc. LX185267 1st Lien Term Loan B $1,202,271 0.06% 1/20/2027 3.00 B 98.90 Property & Casualty Insurance

$5,665,771 0.28%

Publishing

McGraw-Hill LX196470 Upsized Term Loan B $5,176,842 0.25% 7/28/2028 4.75 B- 99.71 Publishing

Dotdash Meredith, Inc. LX200664 Term Loan B $5,162,875 0.25% 12/01/2028 4.00 BB- 100.25 Publishing

Cengage Learning Acquisition, Inc. LX195798 New Term Loan B $3,777,767 0.18% 6/28/2026 4.75 B 100.39 Publishing

Alchemy Copyrights, LLC (d/b/a Concord) LX189327 Repriced Term Loan B $2,054,237 0.10% 3/05/2028 3.00 B+ 100.25 Publishing

$16,171,721 0.79%

Radio & Television

Univision Communications, Inc. LX161197 TL-C5 $10,230,618 0.50% 3/15/2024 2.75 B 100.04 Radio & Television

Cox Media Group LX192290 Repriced Term Loan B $10,209,168 0.50% 12/17/2026 3.50 B+ 99.69 Radio & Television

Gray Television, Inc. LX199556 Term Loan D $9,357,717 0.46% 12/01/2028 3.00 BB 99.66 Radio & Television

Diamond Sports Group, LLC LX180415 Term Loan B $8,941,036 0.44% 8/24/2026 3.25 CCC 47.00 Radio & Television

Clear Channel Outdoor LX182154 Term Loan B $5,452,251 0.27% 8/21/2026 3.50 B 98.74 Radio & Television

Cumulus Media Inc. LX182786 Extended Exit TL $4,163,121 0.20% 3/31/2026 3.75 B 100.10 Radio & Television

39






S&P

Rating Price

Radio & Television

Univision Communications, Inc. LX195934 TLB due 2026 $2,001,222 0.10% 3/15/2026 3.25 B+ 100.31 Radio & Television

$50,355,132 2.46%

Retailers (Except Food & Drug)

Harbor Freight Tools USA, Inc. LX195957 TL-B $10,178,803 0.50% 10/19/2027 2.75 BB- 99.91 Retailers (Except Food & Drug)

Great Outdoors Group, LLC LX200647 1LTL $9,998,006 0.49% 3/05/2028 3.75 BB- 100.23 Retailers (Except Food & Drug)

Petco Animal Supplies, Inc. LX192745 TLB $7,367,982 0.36% 2/25/2028 3.25 B 100.03 Retailers (Except Food & Drug)

Leslies Poolmart, Inc. LX193083 TL-B $4,977,697 0.24% 3/03/2028 2.75 BB- 99.80 Retailers (Except Food & Drug)

1-800 Contacts LX190219 1L TL B $4,887,983 0.24% 11/08/2027 3.75 B 100.10 Retailers (Except Food & Drug)

Michaels Stores, Inc. LX193790 1L TL B $4,086,346 0.20% 4/08/2028 4.25 B 99.20 Retailers (Except Food & Drug)

Victoria’s Secret & Co. LX195986 1L TL B $4,080,000 0.20% 6/30/2028 3.25 BB+ 100.00 Retailers (Except Food & Drug)

Petmate LX200233 First Lien Term Loan $3,031,045 0.15% 10/13/2028 5.50 B- 99.54 Retailers (Except Food & Drug)

Tory Burch LX193950 1L TL B $2,997,426 0.15% 4/14/2028 3.50 BB- 99.92 Retailers (Except Food & Drug)

Jo-Ann Stores, Inc. LX195936 1L TL B $2,917,795 0.14% 6/30/2028 4.75 B 99.16 Retailers (Except Food & Drug)

Tailored Brands (fka Men’s Wearhouse) LX191266 Take Back Debt Term Loan $2,908,090 0.14% 12/01/2025 8.00 CCC+ 86.00 Retailers (Except Food & Drug)

Franchise Group, Inc. LX192345 1L TL B $2,752,547 0.13% 2/24/2026 4.75 BB- 100.31 Retailers (Except Food & Drug)

RH LX199008 1L TL B $2,237,361 0.11% 10/14/2028 2.50 BB 99.69 Retailers (Except Food & Drug)

Culligan Holding Inc. LX195536 First Lien Term Loan $1,390,133 0.07% 7/30/2028 4.00 B 100.25 Retailers (Except Food & Drug)

Tailored Brands (fka Men’s Wearhouse) LX191262 Liquidity Term Loan $1,142,352 0.06% 6/21/2025 11.00 B 100.00 Retailers (Except Food & Drug)

Culligan Holding Inc. LX195537 Delayed Draw Term Loan $139,013 0.01% 7/31/2028 4.00 B 100.25 Retailers (Except Food & Drug)

Belk LX193026 FLSO Term Loan $129,886 0.01% 7/31/2025 10.00 CCC- 74.17 Retailers (Except Food & Drug)

Tailored Brands (fka Men’s Wearhouse) LX191266 Take Back Debt Term Loan $72,039 0.00% 12/01/2025 8.00 CCC+ 86.00 Retailers (Except Food & Drug)

40






S&P

Rating Price

Retailers (Except Food & Drug)

Belk LX193026 FLSO Term Loan $0 0.00% 7/31/2025 10.00 CCC- 74.17 Retailers (Except Food & Drug)

$65,294,505 3.19%

Surface Transport

Savage Enterprises, LLC LX196907 1st Lien Term Loan $6,347,611 0.31% 8/15/2028 3.25 BB- 100.03 Surface Transport

PODS LX193458 First Lien Term Loan $6,056,493 0.30% 3/30/2028 3.00 B 99.79 Surface Transport

American Trailer World Corp. LX192672 Upsized First Lien Term Loan $4,964,115 0.24% 3/15/2028 3.75 B 99.78 Surface Transport

LaserShip LX194516 Upsized First Lien Term Loan $4,434,282 0.22% 4/30/2028 4.50 B- 100.23 Surface Transport

Worldwide Express Operations, LLC LX196468 First Lien Term Loan $3,575,502 0.17% 8/15/2028 4.25 B- 100.29 Surface Transport

Evans Network of Companies LX196636 First Lien Term Loan $2,744,492 0.13% 8/31/2028 4.25 B- 99.78 Surface Transport

Worldwide Express Operations, LLC LX196469 Second Lien Term Loan $1,088,100 0.05% 8/15/2029 7.00 CCC 100.75 Surface Transport

LaserShip LX194517 Upsized Second Lien Term Loan $383,325 0.02% 4/30/2029 7.50 B- 100.88 Surface Transport

Evans Network of Companies LX196637 Delayed Draw Term Loan $243,955 0.01% 8/15/2028 4.25 B- 99.78 Surface Transport

$29,837,875 1.46%

Utilities

Sabre Industries LX194855 First Lien Term Loan $5,028,879 0.25% 5/31/2028 3.25 B 99.54 Utilities

Nautilus Power, LLC LX163284 Term Loan $2,793,501 0.14% 5/16/2024 4.25 B+ 85.93 Utilities

Generation Bridge LX196727 1L TL B $2,243,963 0.11% 8/06/2028 5.00 BB 100.25 Utilities

Heritage Power, LLC LX181091 Term Loan B $1,741,956 0.09% 7/30/2026 6.00 B 81.50 Utilities

Covanta Energy Corporation LX200338 Term Loan B $1,729,508 0.08% 11/16/2028 2.50 BB 100.22 Utilities

Longview Power, LLC LX187961 Exit term loan $525,009 0.03% 7/30/2025 10.00 D 101.75 Utilities

41






S&P

Rating Price

Utilities

Covanta Energy Corporation LX200339 Term Loan C $129,551 0.01% 11/16/2028 2.50 BB 100.22 Utilities

Generation Bridge LX196728 1L TL C $46,749 0.00% 8/06/2028 5.00 BB 100.25 Utilities

$14,239,117 0.69%

$2,049,326,354 100.00% Total Loans

Total Market Value $2,049,326,354

Coupon reflects a calculation of the loan spread plus 3-month LIBOR, and does not necessarily reflect the actual changing underlying LIBOR contracts for the

loan.

The holdings displayed represent the holdings of the entire commingled fund and do not represent individual client ownership.

42



Explanatory Notes

The information contained in this document has been prepared solely for informational purposes and is not an offer or invitation to buy or sell any

security or to participate in any trading activity. This document is intended only for professional investors and describes a strategy only. Some

material shown is compiled from third party sources thought to be reliable, but accuracy and completeness cannot be guaranteed. Any opinions

expressed herein reflect our judgment at this date and are subject to change without notice. Neither Voya Investment Management nor any other

company or unit belonging to Voya Financial, nor any of its officers, directors, or employees accept any liability or responsibility in respect to the

information or any recommendations expressed herein. No liability is accepted for any losses sustained by readers as a result of using this

publication or basing decisions on it. The value of your investments may rise or fall. Past performance is not indicative of future results.

Investments involve risk. The primary risks of investing in market based securities include, but are not limited to, credit risk (the risk that a borrower

may default in the payment of interest and/or principal on its loans), interest rate risk (the risk that the yield on an investment will rise and fall in

response to changes in market rates of interest), and market risk (the risk that the value of an investment will rise or fall in response to general

economic conditions and events). Exposure to financial, market, prepayment, credit and interest rate risks. The value of an investment is not

guaranteed and will fluctuate. Higher yielding bonds are subject to greater volatility and credit risk. A strategy may invest in securities guaranteed

by the U.S. Government as to timely payments of interest and principal, butt the strategy itself is not insured or guaranteed. Bonds have fixed

principal and return if held to maturity, but may fluctuate in the interim. Generally, when interest rates rise, bond prices fall. Bonds with longer

maturities tend to be more sensitive to changes in interest rates. In addition to the general risks of investing in fixed income securities, investing in

foreign securities poses special risks, including currency fluctuation, economic and political risks not found in investments that are solely

domestic. Risks of foreign investing are generally intensified for investments in emerging markets

The account information presented in this report is based on the records and information provided by Voya Investment Management. The results

may be preliminary and unreconciled and are subject to change. Voya Investment Management does not guarantee the accuracy of the

information contained in this portfolio accounting report. The report is for informational purposes only and should not be relied upon or construed to

be final. Clients are advised to refer to their custodial statements and confirmations for trade and holdings information.

Footnotes

Market Value

The ending balance shown on the Investment Policy page may differ from the total market value on the Portfolio Holdings Report due to cash flow

posted at close of business on the last day of the quarter.

43



Explanatory Notes

Portfolio Characteristics

The portfolio specific characteristics (such as Average Duration, Average Yield, etc.) are based on the total portfolio market value including cash

and derivatives, as provided by our valuation provider (BNY Mellon) and security characteristics provided by BlackRock Solutions which utilizes a

different pricing hierarchy (Barclays).BNY Mellon prices combined with Barclays analytics will result in different portfolio averages than are

reported. Portfolio and Benchmark averages (Duration, Yield to Maturity, Convexity and Average Life) are reported directly from BlackRock

Solutions using Blackrock models and assumptions. As such, the Benchmark Analytics provided above may be different from Barclays. Top ten

credit exposures include cash.

Ratings

The portfolio’s average quality rating is calculated as a market value-weighted average of the rating assigned to all positions, including derivative

securities, but excluding non-rated securities held within the portfolio measured and reported as of the date of this report. The "Effective Rating" is

determined as follows: Voya IM seeks individual security ratings from three credit rating agencies that are registered with the SEC as nationally

recognized statistical rating organizations – typically Moody's, S&P and Fitch. If ratings are available from all three agencies, the security will be

assigned the median rating. If ratings are available from only two of the agencies, the lower of the ratings will be used.If a rating is available from

only one agency, then that rating will be used. If ratings are not available from any of the three agencies, then we may either assign the security an

internal rating or mark it as "N/R" (not rated). AAA is the highest (best) Effective Rating, and D is the lowest (worst) Effective Rating. When an

Effective Rating is reported for a group of securities (such as for an asset class or the overall portfolio), it is calculated as a market value-weighted

average of the Effective Rating assigned to each component security (excluding securities without an Effective Rating). Please note that Voya

does not endorse or affirm the Effective Ratings or any agency ratings.

44



Explanatory Notes

Ratings Cont.

Furthermore, credit rating agencies disclaim all warranties and liability for their ratings, which (a) should be viewed as their opinions and not as

statements of fact or recommendations as to suitability or to purchase, hold, or sell a security and (b) are not guaranteed as being accurate, timely

or available. For derivative securities, swap contracts are rated on the basis of the underlying security, however, futures contracts are treated as a

combination of Treasury securities and cash positions, they have no net impact to the average quality rating in the portfolio. Measures pertaining to

average credit quality may change over time and illustrations presented in the client report are for informational purposes only. Individual client

investment guidelines may have different rules and the foregoing presentation is not meant to represent a compliance certification of the portfolio’s

overall credit quality.

This report may contain information obtained from third parties, including ratings from credit ratings agencies. Reproduction and distribution of

third party content in any form is prohibited except with the prior written permission of the related third party. Third party content providers do not

guarantee the accuracy, completeness, timeliness or availability of any information, including ratings, and are not responsible for any errors or

omissions (negligent or otherwise), regardless of the cause, or for the result obtained from the use of such content. THIRD PARTY CONTENT

PROVIDERS GIVE NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF

MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. THIRD PARTY CONTENT PROVIDERS SHALL NOT BE LIABLE

FOR ANY DIRECT, INDIRECT, INCIDENTAL, EXEMPLARY, COMPENSATORY, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES,

COSTS, EXPENSES, LEGAL FREES, OR LOSSES (INCLUDING LOST INCOME OR PROFITS AND OPPORTUNITY COSTS OR LOSSES

CAUSED BY NEGLIGENCE) IN CONNECTION WITH ANY USE OF THEIR CONTENT, INCLUDING RATINGS. Credit agency ratings are

statement of opinions and are not statements of fact or recommendations to purchase, hold or sell securities. They do not address the suitability of

securities or the suitability of securities for investment purposes, and should not be relied on as investment advice.

45



Explanatory Notes

Bond Sector Comparisons

Sector weights are based on total portfolio market value, which includes security market values (including accrued income), plus cash, cash

equivalents and derivatives (variation margin for Futures, and Market Value of Swaps).

With the exception of the Treasury, ABS, and CMBS Sectors, the following sector groupings apply:

Treasury and Cash includes Cash/Cash equivalents which includes trade receivables/payables (which may be net positive or

negative), TBA liabilities, accrued income on securities that have been sold pending settlement (accrued income is otherwise

reflected in the other sectors), and in Sector Weights, also includes variation margin for futures (which may be positive or negative).

Government Related sector is comprised of Agency, Local Government, Sovereign and Supranational securities.

Corporate sector is comprised of Financial Institutions, Industrial and Utility securities.

Agency Mortgages sector contains Fannie Mae (FNMA), Freddie Mac (FHLMC), and Government National Mortgage Association

(GNMA).

Securitized sector is comprised of ABS, CMBS, and Agency and Non-Agency Mortgage Backed Securities.

Other sector is comprised of Convertibles, Common and Preferred Stocks and Municipal Bonds.

"Derivatives“ (if applicable) includes forwards, options and swaps (see Appendix – Portfolio Holdings Derivatives for details) and

futures.

Performance Disclosures

Performance is calculated on a time-weighted total return basis. Performance quoted is past performance, is no guarantee of future results and

assumes that dividends and distributions are reinvested. Current performance may be lower or higher. Investment value will fluctuate, and shares,

when redeemed, may be worth more or less than original cost.

Net returns are reflective of trading costs, management fees, and other administrative fees. Gross returns are net of trading costs, but do not reflect

the deduction of management, operating and admin fees. The returns for the Benchmark Indexes are time-weighted total return performance

results.

46



Explanatory Notes

Performance Disclosures Cont.

For Bloomberg Barclay Indices the source is: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg

Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its

affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg

Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any

information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by

law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. Notwithstanding the foregoing, solely to

the extent Licensee publishes Insubstantial Portions of Derivative Indices in accordance with the paragraph above, in addition to the disclaimer

required above, each such publication of Insubstantial Portions of the Derivative Indices shall include a statement that the Derivative Index is not

sponsored or endorsed by BISL, but is calculated and published with the consent of BISL.

Performance Attribution

Attribution results for sub-portfolio components, as provided by Blackrock Solutions Systems, are calculated on a daily basis. These daily results

are then geometrically compounded using a smoothing algorithm (Frongello Linking Algorithm) to produce results for “Month to Date” , “Quarter To

Date” and “Year To Date” time periods. However, the use of this smoothing process, as well as rounding effects, may create immaterial differences

to total portfolio returns reported to the client for “Month To Date” , “Quarter To Date” and “Year To Date” time periods. Additional details of these

calculations are available upon request. Total attribution may not add or match portfolio returns due to rounding. Total attribution may not add or

match portfolio returns due to rounding.

Holdings

Cash and Cash Equivalents include trade receivables/payables (which may be net positive or negative), accrued income, cash collateral, variation

margin (which may be positive or negative), and TBA liabilities. The current market value of foreign currency as well as derivative holdings is (a)

included in the net cash/cash equivalent line at the end of the Portfolio Holdings Report and (b) reflected in the “other” sector in the Bond Sector

Comparisons page.

All derivative holdings (including notional amounts) are listed, as applicable. The market value of all derivatives other than futures (and only the

variation margin for futures) is (a) included in the net cash/cash equivalent line at the end of the Portfolio Holdings Report and (b) reflected in the

“other” sector in the Bond Sector Comparisons page.

47



Explanatory Notes

Holdings Cont.

The individual holdings and their respective valuations, (pricing and accruals) illustrated in this report are provided by IM’s operations servicer,

Bank of New York Mellon. Individual Security and Portfolio Level attributes illustrations are provided by BlackRock Solutions which utilizes a

different pricing hierarchy (Barclays) in the deriving of analytics such as; Duration, Yield to Maturity, Convexity, and Average Life. Please refer to

the Explanatory Notes Section of your quarterly performance report for the valuation hierarchy as provided by Bank of New York Mellon, as well as

other important disclosures.

Notes

A To-Be-Announced (“TBA”) security represents a “forward purchase” of a potential mortgage pool of similar characteristics such as coupon, yield

and par value to be announced by a broker bundling “like” mortgages. The cash segregated as collateral for these forward purchases, in an

amount equal to the purchase price to be paid, may be invested in “liquid assets, such as cash, U.S. Government securities or other appropriate

high grade debt obligations” in a “segregated account” as described in Release 10666 of the SEC. Voya reports these within “Portfolio Holdings”.

The valuation of this collateral is independent of the valuation of the TBA liability and may rise or fall, based on interest rates and market

conditions.

FAS 157 Tier levels

FASB 157 establishes a framework for measuring fair value in Generally Accepted Accounting Principles. Under FAS, “fair value” is the price that

would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

FASB 157 identifies a fair value hierarchy to rank the reliability of inputs used in a valuation approach. The first – and highest – level (Level 1)

refers to quoted prices for identical assets or liabilities in an active market. When those prices are not available, the second – or middle – level

(Level 2) will base fair value estimates on observable inputs that a market participant would use. If observable inputs are not available, the third –

and lowest – level (Level 3) will require the use of unobservable inputs. Source: Valuation Research Corporation

Voya Investment Management employs the following criteria for the tier selection under the FAS 157 Rule:

Level 2 is identified as any security for which we have received a price through one of our pricing vendors (currently IDC, Pricing Direct, and Markit

Partners). We identify as Level 3 any security (including mortgage-related securities) for which only a broker quote is available for valuation, as

opposed to prices sourced from pricing vendors. Under our current policy, Level 1 is reserved for U.S. Treasury securities.

Effective January 1, 2013 , all Subprime assets that are priced by an external vendors are now classified as Tier 2. Prior to this time, Voya

Investment Management was categorizing subprime external vendor priced securities as Tier 3 since December 2008.

February 16, 2022 Page 1 of 2 COLA Methodology


AGENDA REPORT

TO: Chair Jones and Board Members of the Fire & Police Retirement System

FROM: Isabel Safie, Board Counsel

DATE: February 16, 2022

ITEM: Review, discuss and consider approval of resolution changing methodology for calculating cost of living adjustment

_____________________________________________________________________________________

RECOMMENDATION

Upon review of the presentation, the Board may:

1. Continue with the current methodology for calculating the COLA based on the change in averagecalendar year inflation indices;

2. Approve changing the methodology effective July 1, 2022 to be based on year-to-year changes inmonthly December inflation indices (Alternative Method); or

3. Other direction as provided.

BACKGROUND

Historically, the annual cost-of-living adjustment (COLA) effective July 1st of each year has been calculated by the System’s actuary, under the direction and approval by the Board, by calculating the increase in the annual average consumer price index (CPI) for the immediately preceding calendar year to the average annual CPI for the prior year. For example, to determine the COLA for July 1, 2022, the System’s actuary compared the average annual CPI increase for 2021 to the average annual CPI increase for 2020 and rounded the increase to the nearest one percent. This methodology is used by the largest pension system in the state, CalPERS. Using this methodology, the System’s actuary provided a letter to the System Administrator on January 12, 2022 to be presented to the Board indicating the COLA for July 1, 2022 would be 4%.

In mid-January, the Bureau of Labor Statistics (BLS) announced that consumer prices rose 7% nationally and 6.6% for the Los Angeles Area from 2020 to 2021. These increases were determined by comparing the indices for the month of December to those for the prior December. This information was widely reported by public sources. Considering the significant difference between these figures and the COLA calculated by the System’s actuary, staff requested that we determine the reason for this variance.

In an inflationary environment, where monthly CPI indices are continually rising, the use of an average annual CPI defers the full impact of the increase in the December index to the following year’s COLA. For example, the 3% difference between the December 2020 to December 2021 CPI increase of 7% and the 4% COLA determined using the current methodology is deferred and will be recognized in the July 1, 2023 COLA. Note this could result in the 2023 COLA under the current method exceeding the COLA for the December to December increase. Over time, the two methods produce nearly equal results. However, in an increasingly inflationary environment, the Alternative Method would result in a December to December increase being applied to benefits sooner.

Item: 9Date: 02/16/22

February 16, 2022 Page 2 of 2 COLA Methodology

The current method and Alternative Method are both consistent with Section 1509.8 of the Pasadena City Charter which describes how the COLA is to be calculated. In relevant part, this section states that:

“Every retirement allowance . . . shall be increased or decreased as of July 1 of each year, commencing July 1, 1970, by a percentage . . . found by the Board to approximate the nearest one per cent of the percentage of annual increase or decrease in the cost of living as of January 1 of that year as shown by the then current Bureau of Labor Statistics Consumers Price Index for the Los Angeles-Long Beach Metropolitan Area.” Emphasis added.

The use of the phrase “annual increase” in proximity to “January 1”, together with the data presented by the BLS, creates ambiguity as to whether the intent was for the COLA to be based on a year-to-year comparison of how much inflation has changed at the end of the year, or, as has been the System’s historical practice, to be determined using the average annual CPI values. The average annual index is an arithmetic average of the twelve months’ indices published by the BLS. (Note the BLS has changed the Consumers Price Index for the Los Angeles-Long Beach Metropolitan Area to the Consumer Price Index for Los Angeles-Riverside-Orange County Area and then to the Consumer Price Index for the Los Angeles-Long Beach-Anaheim Area over the years.)

If the Board elects to change the methodology effective July 1, 2022 so that it is based on a year-to-year December CPI index comparison, retirees and beneficiaries will receive the benefit of the change sooner than they would under the current method. In addition, changing the methodology from the current method to a year-to-year December CPI comparison will align the System’s methodology with the information the System’s retirees and beneficiaries receive from public sources. This will decrease the administrative burden on staff who may need to address questions from retirees and beneficiaries inquiring why there is a significant difference between the COLA calculated by the System’s actuary using the current methodology versus the COLA referenced in public sources.

The increase in the average annual CPI from 2020 (278.567) to 2021 (289.244) is 3.83%, or 4% when rounded to the nearest one percent (current method). The increase in the December 2020 CPI index (279.560) to the December 2021 CPI index (297.925) is 6.57%, or 7% when rounded to the nearest 1%. (Alternative Method). If the Board elects to change the COLA methodology to the Alternative Method, the System’s actuary recommends the System technically transition from the current method to the Alternative Method by comparing the December 2021 index (297.925) to the 2020 average annual index (278.567). This will ensure that the deferred COLA from the prior year is captured in the July 1, 2022 COLA since the 2020 average annual index was used to determine the July 1, 2021 COLA. The increase would then be 6.95%, which would also round to 7%. Thereafter, the COLA will be based on the December values each year.

FISCAL IMPACT

Transitioning to a COLA methodology that uses the year-to-year December change in the CPI index rather than the change in the average annual CPI index is expected to result in an increase in the System’s costs equal to 3% of the benefit payments for 2022/23 since the effect of inflation on the COLA will be accelerated compared to the current method. For example, if benefit payments were expected to be $12,000,000 for 2022/23 with a 4% COLA, then they would be 3% or $360,000 higher using the Alternative Method. As an estimate on the impact on the System’s funded status, a reduction of $360,000 in plan assets on June 30, 2021, the last actuarial valuation date, would have decreased the funded status on a market value basis by approximately 0.3%.

February 16, 2022 Page 1 of 2 June 30, 2022 - 2024 Actuarial Services Contract


AGENDA REPORT

TO: Chair Jones and Board Members of the Fire & Police Retirement System

FROM: Bernadette Kastner, Secretary to the Board

DATE: February 16, 2022

ITEM: Review and approve an agreement with Bartel Associates, LLC for preparation of the June 30, 2022-2024 actuarial valuation and actuarial services

_____________________________________________________________________________________

RECOMMENDATION

Upon review of the presentations and proposals, the Board may:

1. Approve an agreement with Bartel Associates, LLC for preparation of the June 30, 2022-2024actuarial valuation and actuarial services, or

2. Other direction as provided.

BACKGROUND

The System’s current contract with Bartel Associates, LLC expired after the completion of the June 30, 2021 actuarial valuation. A Request for Proposal (RFP) for actuarial valuation services was advertised on a government RFP website PlanetBids.com for three weeks. Two thousand three hundred thirty-eight prospective bidders were notified of the RFP. The System received two vendor proposals by the deadline on December 1, 2021. None are local to Pasadena. To the System’s knowledge, there are no local vendors that are able to provide actuarial services that meet the requirements in the RFP.

At the Board meeting on January 19, 2022, the scope of the RFP, proposals received, evaluation and staff recommendation were reviewed. The Board approved the award of a contract for actuarial services to Bartel Associates, LLC.

FISCAL IMPACT

The contract for actuarial valuation services is a three-year contract with two optional one-year extensions. The total cost of this action will be $54,500 for the three-year contract and an additional $39,700 for the two additional option years. The total cost to the System, should the Board elect to exercise both one-year extensions is $94,200. In addition, Bartel Associates, LLC offers an optional service (stochastic modeling) for $2,000 in 2022 and $2,200 in 2025. Funds for the June 30, 2022 financial valuation will be included in the Fiscal Year 2023 Budget Request. The current Fiscal Year 2022 budget is $17,000. Based on the quotes provided by Bartel Associates, LLC, the Fiscal Year 2023 budget request for actuarial services will be $19,000 which includes the optional service (stochastic modeling).

Item: 10Date: 02/16/22

February 16, 2022 Page 2 of 2 June 30, 2022 - 2024 Actuarial Services Contract

Since the GASB 68 statement is used for publication of the City of Pasadena’s financial statement, the City will be paying for the cost of the separate GASB 68 report which is estimated to be about $1,500 annually. This is a City Council expense which appears around October of every year and will be charged to the City along with any charges for the balance. ATTACHMENTS

1. Attachment A – Actuarial Services Contract 2. Attachment B – Fee Schedules 3. Attachment C – Taxpayer Protection Amendment

1 Master Services Contract QY92KHXS0D9TX6 Rev. 11/01/2021

SERVICES CONTRACT NO.

THIS CONTRACT is made between the RETIREMENT BOARD OF THE

PASADENA FIRE AND POLICE RETIREMENT SYSTEM (“Board”), a public entity, and

BARTEL ASSOCIATES, LLC, (“Contractor”), a limited liability company with

headquarters at San Mateo, California.

The Board and Contractor agree as follows:

1.0 EMPLOYMENT OF CONTRACTOR.

1.1 City agrees to engage Contractor to perform the services as

hereinafter set forth as authorized by the Board on January 19, 2022, as provided in

Exhibit “A” hereto .

1.2 The term of this Contract shall be three (3) years from the date of

execution by the City, or until the amount of fifty-four thousand, five hundred dollars

($54,500), which includes a $2,000 option for stochastic modeling, is expended,

whichever occurs first. This Contract may be extended for a period of up to two (2)

additional one-year extension periods not to exceed $18,500 and $21,200 respectively

each year, subject to the approval of the Board.

2.0 SCOPE OF SERVICES.

2.1 Contractor shall perform all services necessary to complete the

services set forth in the Request for Proposals dated November 10, 2021 (Exhibit “B”),

and Contractor’s Proposal to the City (“Proposal”) dated November 30, 2021

(Exhibit “C”), both of which are attached to and incorporated into this Contract by

reference.

2.2 All services shall be performed to the satisfaction of the Board.

2.3 All services shall be performed according to the standards then

prevailing in the actuarial profession.

3.0 PERSONNEL.

3.1 Contractor represents that it employs, or will employ, at its own

expense, all personnel required to perform the services under this Contract

3.2 Contractor shall not subcontract any services to be performed by it

under this Contract without prior written approval of the Board.

Item: 10aDate: 02/16/22

2

Master Services Contract QY92KHXS0D9TX6 Rev. 11/01/2021

3.3 All of the services required hereunder will be performed by

Contractor or by City-approved subcontractors. Contractor, and all personnel engaged

in the work, shall be fully qualified and authorized or permitted under State and local law

to perform such services and shall be subject to approval by the Board.

3.4 PREVAILING WAGE. Pursuant to Labor Code Section 1781,

Contractor is advised that certain work contemplated in this Contract may be subject to

the payment of prevailing wages and all other requirements of the Prevailing Wage Law.

3.4.1 Contractor shall comply with the state prevailing wage law,

California Labor Code Section 1720 et seq. and 8 CCR Section 16000 et seq., as

necessary, for any “public work” (as that term is defined by statute) performed pursuant

to this Contract. For purposes of compliance with prevailing wage law, Contractor shall

comply with the provisions applicable to the contractor under 8 CCR Section 16000 (b).

Compliance with state prevailing wage law includes, without limitation, payment of at

least prevailing rates as determined by the Director of Industrial Relations, overtime,

and working hour requirements, apprenticeship obligations, payroll record-keeping

requirements, and other obligations required by law. Pursuant to Labor Code Section

1775, Contractor shall forfeit as a penalty to the City the sum of not more than Two

Hundred Dollars ($200) as determined by the Labor Commission for each calendar day,

or portion thereof, for each such worker paid less than the prevailing wage rates by

Contractor or by any subcontractor in addition to penalties provided for in sections

1770-1782 of the California Labor Code.

3.4.2 No Contractor or sub-Contractor may be listed on a bid

proposal for a public works project unless registered with the Department of Industrial

Relations pursuant to Labor Code Section 1725.5. No Contractor or sub-Contractor may

be awarded a contract for public work on a public works project unless registered with

the Department of Industrial Relations pursuant to Labor Code Section 1725.5. All

Contractors and sub-Contractors must furnish electronic certified payroll records to the

Labor Commissioner. A certified copy of all payroll records relative to this project shall

be submitted to the City along with the related invoice. Receipt of certified payroll

records is a prerequisite to receiving payment. This requirement applies to all public

3


works projects, whether new or ongoing. Contractor is further advised that any

prevailing wage work contemplated herein is subject to compliance monitoring and

enforcement by the Department of Industrial Relations.

3.5 PASADENA LIVING WAGE. Contractor shall also not knowingly

pay less than the Living Wage as that term is defined in the Pasadena Living Wage

Ordinance, Pasadena Municipal Code, Chapter 4.11. If there is a difference between

the State minimum wage rates and the Pasadena Living Wage, the Contractor and his

subcontractors shall pay not less than the higher wage rate.

4.0 TIME OF PERFORMANCE.

4.1 Contractor shall commence its services immediately upon the

execution of this Contract, and shall complete the services on or before September 30,

2022 for the FY2022 Valuation, September 30, 2023 for the FY2023 Valuation and

September 30, 2024 for the FY2024 Valuation.

4.2 The time for performing the services may only be extended in

writing by the Board, and only upon a showing of good cause, in the Board’s sole

discretion.

5.0 COMPENSATION AND FEES.

5.1 For satisfactory and timely performance of the services provided for

hereunder, the Board will pay Contractor an amount not to exceed Fifty Six Thousand

Dollars ($56,000) as follows:

• $17,000 plus $2,000 for stochastic modelling for the 2022 Valuation and

consulting retainer,

• $17,500 for the 2023 Valuation and consulting retainer,

• $18,000 for the 2024 Valuation and consulting retainer

The Board may exercise an option to extend the Contract for another two years as

follows:

• $18,500 for the 2025 Valuation and consulting retainer, and

• $19,000 plus $2,200 for stochastic modelling for the 2026 Valuation and

consulting retainer in accordance with the payment schedule set forth in

Exhibit “E”, attached and incorporated herein by reference.

4


5.2 Contractor’s total compensation under this Contract, including

change orders, shall not exceed $94,200 without the prior authorization of the Board

5.3 Contractor shall, at its sole cost and expense, furnish all necessary

and incidental labor, material, supplies, facilities, equipment and transportation which

may be required for furnishing services pursuant to this Contract. Materials shall be of

the highest quality. The above Contract fee shall include all professional time and all

clerical, administrative, overhead, insurance, reproduction, telephone, air travel, auto

rental, subsistence, and all related expenses.

5.4 In addition to the compensation set forth above, for satisfactory and

timely performance of Special Projects, specifically authorized by the Board or the

Administrator, the Board will pay Contractor for direct labor costs in accordance with the

rates as set forth in Contractor’s Proposal, incorporated herein by reference.

6.0 PAYMENT.

6.1 On the first day of each calendar month during the Contract term,

Contractor shall submit to the City an invoice for the services completed, authorized

expenses, and authorized extra work actually performed or incurred during the

immediately preceding calendar month.

6.2 Each such invoice shall state the basis for the amount invoiced,

including the services completed, the number of hours spent, reimbursable expenses

incurred and any extra work performed.

6.3 Contractor shall also submit a progress report with each invoice

that describes in reasonable detail the services and the extra work, if any, performed in

the immediately preceding calendar month.

6.4 Board will pay Contractor the amount invoiced within thirty (30)

days after the Board approves the invoice.

6.5 Payment of such invoices shall be payment in full for all services,

authorized costs and authorized extra work covered by that invoice.

7.0 CHANGE ORDERS.

7.1 No payment for extra services caused by a change in scope of

work or complexity of work, or for any other reason, shall be made unless and until such

5


extra services and a price therefore have been previously authorized in writing and

approved by Board as a written change order. The change order shall set forth the

specific changes of work and extension of time for preparation and adjustment of the

fee to be paid by Board to Contractor.

8.0 BOARD’S RESPONSIBILITY. Board shall cooperate with Contractor as

may be reasonably necessary for Contractor to perform its services; and will give any

required decisions as promptly as practicable so as to avoid unreasonable delay in the

progress of Contractor's services.

9.0 GENERAL TERMS AND CONDITIONS.

9.1 INDEPENDENT CONTRACTOR.

9.1.1 It is understood that in the performance of the services

herein provided for, Contractor shall be, and is, an independent contractor, and is not an

agent or employee of City and shall furnish such services in its own manner and method

except as required by this Contract. Further, Contractor has and shall retain the right to

exercise full control over the employment, direction, compensation and discharge of all

persons employed by Contractor in the performance of the services hereunder.

Contractor shall be solely responsible for, and shall indemnify, defend and save the

Board harmless from all matters relating to the payment of its employees, including

compliance with social security, withholding and all other wages, salaries, benefits,

taxes, exactions, and regulations of any nature whatsoever.

9.1.2 Contractor acknowledges that Contractor and any

subcontractors, agents or employees employed by Contractor shall not, under any

circumstances, be considered employees of the Board, and that they shall not be

entitled to any of the benefits or rights afforded employees of the Board, including, but

not limited to, sick leave, vacation leave, holiday pay, Public Employees Retirement

System benefits,or health, life, dental, long-term disability or workers’ compensation

insurance benefits.

9.2 CONTRACTOR NOT AGENT. Except as the Board may authorize

in writing, Contractor and its subcontractors shall have no authority, express or implied,

to act on behalf of or bind the Board in any capacity whatsoever as agents or otherwise.

6


9.3 OWNERSHIP OF WORK. All reports, drawings, plans,

specifications, computer tapes, computer drives, disks, compact discs, tapes, digital

files, printouts, studies, memoranda, computation sheets and other documents (whether

on paper or stored in any electronic/digital form) prepared by Contractor in furtherance

of the work shall be the sole property of the Board and shall be delivered to the Board

whenever requested. Contractor shall keep such documents and materials on file and

available for audit by the Board for at least three (3) years after completion or earlier

termination of this Contract. Contractor may make duplicate copies of such materials

and documents for its own files or for such other purposes as may be authorized in

writing by the Board.

9.4 CORRECTION OF WORK. Contractor shall promptly correct any

defective, inaccurate or incomplete tasks, deliverables, goods, services and other work,

without additional cost to the Board. The performance or acceptance of services

furnished by Contractor shall not relieve the Contractor from the obligation to correct

subsequently discovered defects, inaccuracies or incompleteness.

9.5 WAIVER. The Board’s waiver of any term, condition, breach or

default of this Contract shall not be considered to be a waiver of any other term,

condition, default or breach, nor of a subsequent breach of the one waived.

9.6 SUCCESSORS. This Contract shall inure to the benefit of, and

shall be binding upon, the parties hereto and their respective heirs, successors and/or

assigns.

9.7 NO ASSIGNMENT. Contractor shall not assign or transfer this

Contract or any rights hereunder without the prior written consent of the Board and

approval by the City Attorney, which may be withheld in the Board’s sole discretion.

Any unauthorized assignment or transfer shall be null and void and shall constitute a

material breach by the Contractor of its obligations under this Contract. No assignment

shall release the original parties or otherwise constitute a novation.

9.8 COMPLIANCE WITH LAWS. Contractor shall comply with all

applicable federal, State, County and City laws, ordinances, rules and regulations,

which are, as amended from time to time, incorporated herein and applicable to the

7


performance hereof, including without limitation the Pasadena Living Wage Ordinance

and, as applicable, the following provisions of the California Labor Code:

9.8.1 The provisions of California Labor Code Section 1720 et

seq. which requires that the State prevailing wage rate shall be paid to employees

where that rate exceeds the Federal wage rate;

9.8.2 The provisions of California Labor Code Section 1777.5 which

requires the employment of apprentices on all public works projects and the payment of

training contributions to the proper agency;

9.8.3 The provisions of California Labor Code Section 3700 which

require every employer to be insured against liability for workers' compensation or to

undertake self-insurance in accordance with the provisions of that Code, and will

comply with such provisions before commencing the performance of the work of this

contract;

9.8.4 The provisions of California Labor Code Section 1861 which

requires each contractor to whom a public works contract is awarded to sign and file

with the awarding body the following certification prior to performing the work of the

contract: "I am aware of the provisions of section 3700 of the Labor Code which require

every employer to be insured against liability for workers' compensation or to undertake

self-insurance in accordance with the provisions of that code, and I will comply with

such provisions before commencing the performance of the work of this contract."

9.8.5 Board and Contractor stipulate and agree that, as provided by

California Labor Code Sections 1810-1814, the maximum hours a worker is to be

employed is limited to eight hours a day and 40 hours a week and the contractor and/or

subcontractor shall forfeit, as a penalty, $25 for each worker employed in the execution

of this Agreement, or on any contract or subcontract in performance of this Agreement,

for each calendar day during which a worker is required or permitted to labor more than

eight hours in any calendar day or more than 40 hours in any calendar week.

9.8.6 Board and Contractor further stipulate and agree that the

provisions of California Labor Code Section 1815, notwithstanding the provisions of

sections 1810-1814 inclusive, and not withstanding any stipulation inserted in any

8


contract pursuant to the requirements of said sections, work performed by employees of

contractors in excess of 8 hours per day, and 40 hours during any one week, shall be

permitted upon public work upon compensation for all hours worked in excess of 8

hours per day at not less than 1-1/2 times the basic rate.

9.8.7 Pursuant to California Labor Code Section 1812, every

contractor and subcontractor shall keep an accurate record showing the name of and

actual hours worked each calendar day and each calendar week by each worker

employed by him or her in connection with the public work. The record shall be kept

open at all reasonable hours to the inspection of the awarding body and to the Division

of Labor Standards Enforcement.

9.8.8 Pursuant to California Labor Code Section 1735, Contractor

shall not discriminate in the employment of persons upon public works on any basis

listed in subdivision (a) of section 12940 of the California Government Code, as those

bases are defined in California Government Code Sections 12926 and 12926.1, except

as otherwise provided in California Government Code Section 12940. Every contractor

for public works who violates this section is subject to all penalties imposed for a

violation of Prevailing Wage Law.

9.9 INTERPRETATION.

9.9.1 Applicable Law. This Contract, and the rights and duties of

the parties hereunder (both procedural and substantive), shall be governed by and

construed according to the laws of the State of California.

9.9.2 Entire Agreement. This Contract, including any Exhibits

attached hereto, constitutes the entire agreement and understanding between the

parties regarding its subject matter and supersedes all prior or contemporaneous

negotiations, representations, understandings, correspondence, documentation and

agreements (written or oral).

9.9.3 Written Amendment. This Contract may only be changed by

written amendment signed by Contractor and the Board Chair or other authorized

representative of the Board, subject to any requisite authorization by the Board. Any

oral representations or modifications concerning this Contract shall be of no force or

9


effect.

9.9.4 Severability. If any provision in this Contract is held by any

court of competent jurisdiction to be invalid, illegal, void, or unenforceable, such portion

shall be deemed severed from this Contract, and the remaining provisions shall

nevertheless continue in full force and effect as fully as though such invalid, illegal, or

unenforceable portion had never been part of this Contract.

9.9.5 Order of Precedence. In case of conflict between the terms

of this Contract and the terms contained in any document attached as an Exhibit or

otherwise incorporated by reference, the terms of this Contract shall strictly prevail. The

terms of the Board’s Request for Proposals shall control over the Contractor’s Proposal.

9.9.6 Choice of Forum. The parties hereby agree that this

Contract is to be enforced in accordance with the laws of the State of California, is

entered into in the City of Pasadena and that all claims or controversies arising out of or

related to performance under this Contract shall be submitted to and resolved in a forum

within the County of Los Angeles at a place to be determined by the rules of the forum.

9.9.7 Duplicate Originals. There shall be two (2) fully signed

copies of this Contract, each of which shall be deemed an original.

9.10 TIME OF ESSENCE. Time is strictly of the essence with respect to

provisions under this Contract and each and every covenant, term and provision hereof.

9.11 AUTHORITY OF CONTRACTOR. The Contractor hereby

represents and warrants to the Board that the Contractor has the right, power, legal

capacity and authority to enter into and perform its obligations under this Contract, and

its execution of this Contract has been duly authorized.

9.12 ARBITRATION OF DISPUTES. Any dispute for under $25,000

arising out of or relating to the negotiation, construction, performance, non-performance,

breach or any other aspect of this Contract, shall be settled by binding arbitration in

accordance with the Commercial Rules of the American Arbitration Association at Los

Angeles, California and judgment upon the award rendered by the Arbitrators may be

entered in any court having jurisdiction thereof. The Board does not waive its right to

object to the timeliness or sufficiency of any claim filed or required to be filed against the

10


City and reserves the right to conduct full discovery.

9.13 INDEMNITY.

9.13.1 Contractor agrees to indemnify, hold harmless and defend

(even if the allegations are false, fraudulent or groundless), to the maximum extent

permitted by law, the Board and each member thereof, the City of Pasadena, its City

Council and each member thereof, and the officers, employees, commission members

and representatives of the Board and the City of Pasadena, from any and all liability,

loss, suits, claims, damages, costs, judgments and expenses (including attorney’s fees

and costs of litigation) which in whole or in part result from, or arise out of, or are

claimed to result from or to arise out of:

A. any activity on or use of City of Pasadena’s premises

or facilities or any performance under this Contract; or

B. any acts, errors or omissions (including, without

limitation, professional negligence) of Contractor, its employees, representatives,

subcontractors, or agents in connection with the performance of this Contract.

9.13.2 This agreement to indemnify includes, but is not limited to,

personal injury (including death at any time) and property or other damage (including,

but without limitation, contract or tort or patent, copyright, trade secret or trademark

infringement) sustained by any person or persons (including, but not limited to,

companies, or corporations, Contractor and its employees or agents, and members of

the general public). The sole negligence or willful misconduct of the Board, its

employees or agents other than Contractor or Contractor’s subcontractors are excluded

from this indemnity agreement.

9.14 RELEASE. Contractor agrees to release and covenants not to sue

the Board and each member thereof, the City of Pasadena, its City Council and each

member thereof, and the officers, employees, commission members and

representatives of the Board and the City of Pasadena for any damage or injury

(including death) to itself, its officers, employees, agents and independent contractors

damaged or claiming to be damaged from any performance under this Contract.

9.15 INSURANCE.

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9.15.1 Contractor shall, at its own expense, procure and maintain

policies of insurance of the types and in the amounts set forth in Exhibit F. The policies

shall state that they afford primary coverage.

9.15.2 Prior to commencement of performance, Contractor shall

furnish the Board with the required proof of coverage for each policy, in accordance with

Exhibit F.

9.15.3 Failure to maintain insurance as required at all times shall

constitute a material breach of the Contract. The Board, at its sole option, may

terminate this Contract at any time and obtain damages from Contractor resulting from

said breach. Alternatively, the Board may, but has no obligation to, purchase coverage

and, without further notice to Contractor, deduct from sums due to Contractor any

premium costs advanced by the Board for such insurance.

9.16 NOTICES. Any notice or demand to be given by one party to the

other shall be given in writing and by personal delivery or prepaid first-class, registered

or certified mail, addressed as follows. Notice simply to the Board or City of Pasadena

or any other City department is not adequate notice.

If to the Board: Bernadette Kastner, Administrator Pasadena Fire & Police Retirement System 100 North Garfield Avenue, Rm. S201 Pasadena, CA 91101 E-mail: [email protected] With a Copy to: Antonio Watson, Project Manager Finance City of Pasadena

100 North Garfield Avenue, Rm. S324 Pasadena, CA 91101

E-mail: [email protected]

If to the Contractor: John Bartel, President Bartel Associates, LLC 411 Borel Avenue, Suite 620 San Mateo, CA 94402 E-mail: [email protected]




12


With a Copy to: Joseph R. D’Onofrio, Assistant Vice President Bartel Associates, LLC 411 Borel Avenue, Suite 620 San Mateo, CA 94402 E-mail: [email protected]

Any such notice shall be deemed to have been given upon delivery, if

personally delivered, or, if mailed, upon receipt or upon expiration of three (3) business

days from the date of posting, whichever is earlier. Either party may change the

address at which it desires to receive notice upon giving written notice of such request

to the other party.

9.17 TERMINATION WITHOUT CAUSE (For Convenience). The Board

may terminate this Contract in whole or in part at any time, for any cause or without

cause, upon fifteen (15) calendar days' written notice to Contractor. The Board shall

pay Contractor a prorated amount based on the services satisfactorily completed and

accepted prior to the effective date of termination. Such payment shall be Contractor's

exclusive remedy for termination without cause.

9.18 TERMINATION FOR CAUSE (Default). In the event either party

materially defaults on its obligations hereunder, the other party may declare a default

and terminate this Contract by written notice to the defaulting party. The notice shall

specify the basis for the default. The Contract shall terminate unless such default is

cured before the effective date of the termination as set forth in the notice, which date

shall be no sooner than ten (10) days after the date of notice.

Termination for cause shall relieve the terminating party of further liability

or responsibility under this Contract, including the payment of money, except for

payment for services satisfactorily and timely performed prior to the service of the notice

of termination and except for reimbursement of (1) any payments made by the Board for

services not subsequently performed in a timely and satisfactory manner, and (2) costs

incurred by the Board in obtaining substitute performance.

9.19 ASSIGNMENT OF ANTITRUST CAUSES OF ACTION. Contractor

hereby agrees to assign to the Board all rights, title and interest in and to all causes of


13


action it may have under Section 4 of the Clayton Act (15 U.S.C. Sections 15) or under

the Cartwright Act Chapter 2 (Commencing with Section 16700) or part 2 of Division 7

of the Business and Professions Code, or any similar or successor provisions of Federal

or State law, arising from purchases of goods, services or materials pursuant to this

Contract or the subcontract. This assignment shall be made and become effective at

the time the Board tenders final payment to the Contractor, without further

acknowledgment by the parties.

10.0 ADDITIONAL ASSURANCES.

10.1 EQUAL EMPLOYMENT OPPORTUNITY PRACTICES. Contractor

agrees to comply with Chapter 4.08.035 of the City’s Competitive Bidding and

Purchasing Ordinance of the Pasadena Municipal Code, the rules and regulations

promulgated thereunder, the California Fair Employment and Housing Act (Government

Code Section 12900 et seq.) and to this end:

10.1.1 Contractor certifies and represents that, during the

performance of this Contract, the Contractor and any other parties with whom it may

subcontract shall adhere to equal opportunity employment practices to assure that

applicants and employees are treated equally and are not discriminated against

because of their race, religion, color, national origin, ancestry, disability, sex, age,

medical condition, marital status, gender identity. Contractor further certifies that it will

not maintain any segregated facilities.

10.1.2 Contractor shall, in all solicitations or advertisements for

applicants for employment placed by or on behalf of this Contract, state that it is an

“Equal Opportunity Employer” or that all qualified applicants will receive consideration

for employment without regard to their race, religious creed, color, national origin,

ancestry, disability, sex, age, medical condition, marital status, or gender identity.

10.1.3 Contractor shall, if requested to so do by the Board, certify

that it has not, in the performance of this Contract, discriminated against applicants or

employees because of their race, religious creed, color, national origin, ancestry,

disability, sex, age, medical condition, marital status, or gender identity.

10.1.4 If requested to do so by the Board, Contractor shall provide

14


the Board with access to copies of all of its records pertaining or relating to its

employment practices, except to the extent such records or portions of such records are

confidential or privileged under state or federal law.

10.1.5 Contractor agrees to recruit Pasadena residents initially and

to give them preference, if all other factors are equal, for any new positions which result

from the performance of this Contract and which are performed within the City.

10.1.6 Nothing contained in this Contract shall be construed in any

manner so as to require or permit any act which is prohibited by law.

10.1.7 The Contractor shall include the provisions set forth in

paragraphs numbered 10.1.1 through 10.1.6 of subsection 10.1 of this Contract,

inclusive, in each of its subcontracts.

10.2 PASADENA BUSINESS LICENSE. Contractor shall obtain, and

pay any and all costs associated therewith, any Pasadena business license which may

be required by the Pasadena Municipal Code.

10.3 MAINTENANCE AND INSPECTION OF RECORDS.

The Board, City and any other Federal, State or local governmental

agency, or any of their authorized auditors or representatives, shall have access to and

the right to audit, excerpt, reproduce, and transcribe any of the Contractor’s records, to

the extent the Board deems necessary to insure it has received or is receiving all money

to which it is entitled and/or is paying only the amounts to which Contractor is properly

entitled under the Contract or for other purposes relating to the Contract.

Such records include, without limitation, journals, ledgers, records of

accounts payable and receivable, profit and loss statements, financial statements, bank

statements, invoices, receipts, subcontracts, agreements, notes, correspondence,

memoranda, and any documents required by the Board, City or by the laws or

regulations of any federal, state or local governmental agency.

The Contractor shall maintain and preserve all such records for a period of

at least six years after termination of the Contract, or until an audit has been completed

and accepted by the highest governmental authority involved.

Upon written notice by the Board, the Contractor shall promptly make all

15


such records available to auditors or other representatives of the Board, City or other

governmental agencies. The Contractor shall also cooperate with such auditors and

representatives in auditing, excerpting, reproducing and transcribing the records.

The Contractor shall maintain all such records in the City of Pasadena. If

not, the Contractor shall, upon request, promptly deliver the records to the Board or

reimburse the Board for all reasonable and extra costs incurred in conducting the audit

at a location other than the City of Pasadena, including, but not limited to, such

additional (out of the City) expenses for personnel, salaries, private auditors, travel,

lodging, meals and overhead.

10.4 CONFLICT. Contractor hereby represents, warrants and certifies

that no member, officer or employee of the Contractor is a director, officer or employee

of the Board, the City of Pasadena, or a member of any of its boards, commissions or

committees, except to the extent permitted by law.

11.0 TAXPAYER PROTECTION AMENDMENT. Under the provisions of the

City of Pasadena Taxpayer Protection Amendment of 2000 ("Taxpayer Protection Act"),

the Contractor/Organization will be considered a "recipient of a public benefit." The full

provisions of the Taxpayer Protection Act are set forth in Pasadena City Charter, Article

XVII. Under the Taxpayer Protection Act, City public officials who approve this

Contract/transaction are prohibited from receiving specified gifts, campaign

contributions or employment from Contractor/Organization for a specified time. As well,

if this Contract is to be approved by the Board, Board members, Councilmembers or

candidates for Council are prohibited from receiving campaign contributions during the

time this Contract is being negotiated. This prohibition extends to individuals and

entities that are specified and identified in the Taxpayer Protection Act and includes

Contractor/ Organization and its trustees, directors, partners, corporate officers and

those with more than a 10% equity, participation, or revenue interest in

Contractor/Organization. Contractor/Organization understands and agrees that: (A)

Contractor/Organization is aware of the Taxpayer Protection Act; (B)

Contractor/Organization will complete and return the forms provided by the Board in

order to identify all of the recipients of a public benefit specified in the Taxpayer

16


Protection Act; and (C) Contractor/Organization will not make any prohibited gift,

campaign contribution or offer of employment to any public official who negotiated

and/or approved this Contract/transaction.

/ / /

/ / /

/ / /

/ / /

17


IN WITNESS WHEREOF, the parties hereto have caused this Contract to be

executed by their duly authorized representatives as of the date set forth below.

DATED: PASADENA FIRE & POLICE

RETIREMENT SYSTEM

By: ________________________ Keith Jones FPRS Board Chair ATTEST: Bernadette Kastner FPRS Board Secretary DATED: ___________________________ Bartel Associates, LLC By: ________________________ John Bartel President APPROVED AS TO FORM: _________________________ Lesley Cheung Assistant City Attorney REVIEWED: ________________________ Erika Estrada Purchasing Administrator

SECTION 1 REQUIRED CERTIFICATIONS

Bartel Associates, LLC 10 Pasadena Fire & Police Retirement System

Item: 10bDate: 02/16/22

ATTACHMENT B-2

FeeJune 30, 2025

Valuation Cost, not to exceed

June 30, 2026 Valuation Cost, not to

exceedNotes, Limits

Annual Actuarial Valuation Report and Required Disclosures (See Section IV. A.

for scope of work)

B. Regular Annual Actuarial Services(See Section IV. B. for scope of work)

Total Fixed Fee Proposal

C. Additional/Special Services, asrequested (See Section IV. C. for scope of

work)

Please list: (eg. Stochastic Modelling, Experience Studies, Mortality Studies, etc.)

Per Section VII.E.4 of the RFP, I affirm that all prices, terms and conditions will be held firm for at least 180 days from the date of the proposal submission. ________Initial

Signature, Proposing Firm

Employee Name Job Title/ Classification Hourly Rate


PROPOSED FEE SCHEDULE - OPTION YEARS

Billing Rates for Additional Services

$14,500 $15,000

4,000 4,000

$18,500 $19,000

0 2,200

jrd

400325300250225180

PresidentVice PresidentAssistant Vice PresidentAssociate ActuarySenior Actuarial AnalystActuarial Analyst

Joseph D'OnofrioKatherine MooreMatthew Childs

dbrown

MBR

SECTION 1 REQUIRED CERTIFICATIONS

Bartel Associates, LLC 8 Pasadena Fire & Police Retirement System

Item: 10cDate: 02/16/22

Transaction summary

February 16, 2022Pasadena Fire & Police Retirement System 1

Date Transaction Type Fund(s) Sold Fund(s) Purchased Amount ($)

January 26, 2022 Pooled cash funding

1. Dodge & Cox International Stock fund$400,000

2. MetWest Core Plus Bond fund$200,000

3.Vanguard Short‐Term Investment‐Grade fund$350,000

4. Vanguard Inflation‐Protected Securities fund$100,000

Pooled Cash 1,050,000$

Item: 11aDate: 02/16/22

Asset Class Manager Name Ticker Symbol CUSIP Actual $ Actual % Targets %Above / Under

Target % Target $Re‐Balance Estimate Re‐Balance Actual New $ New %

Variance to Targets (%)

Domestic EquityLarge Cap Core Vanguard Institutional Index VINIX 922040100 10,125,134$ 8.0% 8.0% 0.0% 10,044,481$ (80,653)$ 10,125,134$ 8.1% 0.1%Large Cap Value Dodge & Cox Stock DODGX 256219106 5,391,614$ 4.3% 4.0% 0.3% 5,022,240$ (369,374)$ (250,000) 5,141,614$ 4.1% 0.1%Large Cap Growth T. Rowe Price Institutional Large Cap Growth TRLGX 45775L408 4,497,810$ 3.6% 4.0% ‐0.4% 5,022,240$ 524,430$ 4,497,810$ 3.6% ‐0.4%Small Cap Core Atlanta Capital Management n/a n/a 4,846,869$ 3.8% 4.0% ‐0.2% 5,022,240$ 175,372$ 4,846,869$ 3.9% ‐0.1%Total Domestic 24,861,427$ 19.6% 20.0% ‐0.4% 25,111,202$ 249,775$ (250,000) 24,611,427$ 19.6% ‐0.4%

International EquityInternational Value Dodge & Cox Int'l Stock DODFX 256206103 12,964,183$ 10.2% 10.0% 0.2% 12,555,601$ (408,583)$ (150,000) 12,814,183$ 10.2% 0.2%International Growth American Funds EuroPacific Growth RERGX 298706821 11,742,257$ 9.3% 10.0% ‐0.7% 12,555,601$ 813,344$ 11,742,257$ 9.4% ‐0.6%Total International 24,706,440$ 19.5% 20.0% ‐0.5% 25,111,202$ 404,762$ (150,000) 24,556,440$ 19.6% ‐0.4%

Total Equity 49,567,867$ 39.2% 40.0% ‐0.8% 50,222,403$ 654,537 (400,000) 49,167,867$ 39.2% ‐0.8%

Fixed Income

Core Fixed MetWest Core Plus 1 n/a n/a 31,086,066$ 24.6% 25.0% ‐0.4% 31,389,002$ 302,936$ 31,086,066$ 24.8% ‐0.2%Short‐Term Fixed Vanguard Short‐Term Investment‐Grade VFSIX 922031877 12,309,009$ 9.7% 10.0% ‐0.3% 12,555,601$ 246,591$ 12,309,009$ 9.8% ‐0.2%Senior Bank Loans Voya Senior Bank Loan CIT n/a n/a 6,938,752$ 5.5% 5.0% 0.5% 6,277,800$ (660,951)$ 6,938,752$ 5.5% 0.5%Real Return Vanguard Inflation‐Protected Securities VIPIX 922031745 6,150,378$ 4.9% 5.0% ‐0.1% 6,277,800$ 127,422$ 6,150,378$ 4.9% ‐0.1%Total Fixed 56,484,206$ 44.6% 45.0% ‐0.4% 56,500,204$ 15,998$ 0 56,484,206$ 45.0% 0.0%

Real Estate

Real Estate Invesco Core Real Estate 2 n/a n/a 13,620,689$ 10.8% 10.0% 0.8% 12,555,601$ (1,065,088)$ 13,620,689$ 10.8% 0.8%Total Real Estate 13,620,689$ 10.8% 10.0% 0.8% 12,555,601$ (1,065,088)$ 0 13,620,689$ 10.8% 0.8%

Alternatives

Risk Parity Panagora Multi Asset Risk Parity (10% Vol) 2 n/a n/a 6,899,765$ 5.5% 5.0% 0.5% 6,277,800$ (621,965)$ (620,000) 6,279,765$ 5.0% 0.0%Total Alternatives 6,899,765$ 5.5% 5.0% 0.5% 6,277,800$ (621,965)$ (620,000) 6,279,765$ 5.0% 0.0%

Cash First American Treasury Obligations FUZXX 195998BA6 8,481$ 0.0% 0.0% 0.0% ‐$ (8,481)$ (5,000) 3,481$ 0.0% 0.0%

Total Assets 126,581,008$ 100.0% 100% 0% 125,556,008$ (1,025,000)$ (1,025,000)$ 125,556,008$ 100% 0.0%

1 Including negative cash from mortgage TBD forward contracts2 As of 12/31/2021

Pasadena Fire and Police Retirement PlanFebruary 7, 2022

February Recommendation

Item: 11bDate: 02/16/22

Asset Class Manager Name Ticker Symbol CUSIP Actual $ Actual % Targets %Above / Under

Target % Target $Re‐Balance Estimate Re‐Balance Actual New $ New %

Variance to Targets (%)

Domestic EquityLarge Cap Core Vanguard Institutional Index VINIX 922040100 10,125,134$ 8.0% 8.0% 0.0% 9,880,481$ (244,653)$ (200,000) 9,925,134$ 8.0% 0.0%Large Cap Value Dodge & Cox Stock DODGX 256219106 5,391,614$ 4.3% 4.0% 0.3% 4,940,240$ (451,374)$ (400,000) 4,991,614$ 4.0% 0.0%Large Cap Growth T. Rowe Price Institutional Large Cap Growth TRLGX 45775L408 4,497,810$ 3.6% 4.0% ‐0.4% 4,940,240$ 442,430$ 4,497,810$ 3.6% ‐0.4%Small Cap Core Atlanta Capital Management n/a n/a 4,846,869$ 3.8% 4.0% ‐0.2% 4,940,240$ 93,372$ 4,846,869$ 3.9% ‐0.1%Total Domestic 24,861,427$ 19.6% 20.0% ‐0.4% 24,701,202$ (160,225)$ (600,000) 24,261,427$ 19.6% ‐0.4%

International EquityInternational Value Dodge & Cox Int'l Stock DODFX 256206103 12,964,183$ 10.2% 10.0% 0.2% 12,350,601$ (613,583)$ (445,000) 12,519,183$ 10.1% 0.1%International Growth American Funds EuroPacific Growth RERGX 298706821 11,742,257$ 9.3% 10.0% ‐0.7% 12,350,601$ 608,344$ 11,742,257$ 9.5% ‐0.5%Total International 24,706,440$ 19.5% 20.0% ‐0.5% 24,701,202$ (5,238)$ (445,000) 24,261,440$ 19.6% ‐0.4%

Total Equity 49,567,867$ 39.2% 40.0% ‐0.8% 49,402,403$ (165,463) (1,045,000) 48,522,867$ 39.3% ‐0.7%

Fixed Income

Core Fixed MetWest Core Plus 1 n/a n/a 31,086,066$ 24.6% 25.0% ‐0.4% 30,876,502$ (209,564)$ (600,000) 30,486,066$ 24.7% ‐0.3%Short‐Term Fixed Vanguard Short‐Term Investment‐Grade VFSIX 922031877 12,309,009$ 9.7% 10.0% ‐0.3% 12,350,601$ 41,591$ 12,309,009$ 10.0% 0.0%Senior Bank Loans Voya Senior Bank Loan CIT n/a n/a 6,938,752$ 5.5% 5.0% 0.5% 6,175,300$ (763,451)$ (800,000) 6,138,752$ 5.0% 0.0%Real Return Vanguard Inflation‐Protected Securities VIPIX 922031745 6,150,378$ 4.9% 5.0% ‐0.1% 6,175,300$ 24,922$ 6,150,378$ 5.0% 0.0%Total Fixed 56,484,206$ 44.6% 45.0% ‐0.4% 55,577,704$ (906,502)$ (1,400,000) 55,084,206$ 44.6% ‐0.4%

Real Estate

Real Estate Invesco Core Real Estate 2 n/a n/a 13,620,689$ 10.8% 10.0% 0.8% 12,350,601$ (1,270,088)$ 13,620,689$ 11.0% 1.0%Total Real Estate 13,620,689$ 10.8% 10.0% 0.8% 12,350,601$ (1,270,088)$ 0 13,620,689$ 11.0% 1.0%

Alternatives

Risk Parity Panagora Multi Asset Risk Parity (10% Vol) 2 n/a n/a 6,899,765$ 5.5% 5.0% 0.5% 6,175,300$ (724,465)$ (625,000) 6,274,765$ 5.1% 0.1%Total Alternatives 6,899,765$ 5.5% 5.0% 0.5% 6,175,300$ (724,465)$ (625,000) 6,274,765$ 5.1% 0.1%

Cash First American Treasury Obligations FUZXX 195998BA6 8,481$ 0.0% 0.0% 0.0% ‐$ (8,481)$ (5,000) 3,481$ 0.0% 0.0%

Total Assets 126,581,008$ 100.0% 100% 0% 123,506,008$ (3,075,000)$ (3,075,000)$ 123,506,008$ 100% 0.0%

1 Including negative cash from mortgage TBD forward contracts2 As of 12/31/2021

February ‐ April RecommendationPasadena Fire and Police Retirement Plan

February 7, 2022

PERIOD ENDING: DECEMBER 31, 2021

Investment Performance Review for


Item: 11cDate: 02/16/22

VERUSINVESTMENTS.COM

SEATTLE 206.622.3700PITTSBURGH 412.784.6678LOS ANGELES 310.297.1777

SAN FRANCISCO 415.362.3484

Table of Contents

Investment Landscape TAB I

Investment Performance Review

TAB II

1ST QUARTER 2022Investment Landscape

Recent Verus research

1st Quarter 2022Investment Landscape 2

Visit: https://www.verusinvestments.com/insights/

Consulting | Outsourced CIO (OCIO) | Risk Advisory | Private Markets

Long‐term asset class forecasts, or capital market assumptions, typically focus on the future performance of broad markets. However, most investors employ some combination of passive and active management in their portfolios. And active management is most often pursued with the expectation that returns will be different than that of the broad market (specifically, that “active return” will be achieved above and beyond the market return). If capital market assumptions are typically comprised of market forecasts, but investors tend to build portfolios with the expectation of market return plus active return, how might investors estimate the expected behavior of active management (active return) in their asset allocation work? In this Topic of Interest we look at this question from multiple angles.

INTEGRATING ACTIVE RETURN INTO ASSET ALLOCATION MODELING

Topics of interest

Many aspects of investing are fundamentally rooted in the idea that total investment return includes both investment income and investment price appreciation (growth). Nearly every asset class can be decomposed into these two characteristics—some assets being composed mostly of income and some assets being composed mostly of price appreciation. As interest rates have fallen around the world, the importance of income, and the role it plays in portfolios, has seen a dramatic increase. In this Topic of Interest, we revisit these two fundamental characteristics to provide investors with a lens with which to view decision‐making in the current market environment.

THE ROLE OF INCOME IN PORTFOLIOS

Annual research

Some important developments occurred in the last year. During our 2022 Capital Market Assumptions webinar, we discussed:― Market movements of 2021 and how these shifts

have improved our long‐term outlook,― The impact of rising inflation and interest rates on

asset class expectations,― And our newly released forecasts for specific hedge

fund styles, and forecasts for various strategies/approaches with the private credit universe.

2022 CAPITAL MARKET ASSUMPTIONS

Verus business update

— We celebrated our 35th anniversary. Wurts Johnson & Company (founding name) was established in January 1986.

— Eight employees passed their CFA exams, including two who passed Level III, earning their charters. Verus now has a total of 32 CFA charterholders.

— Jeff MacLean, CEO, was awarded the 2021 Knowledge Broker Award by CIO Magazine in September.

— Verus expanded the ownership group to 30 employees. 95% of senior consultants are shareholders.

— We continued to grow our Pittsburgh footprint by adding three professionals for a total of five and moved to a new space on Liberty Avenue. Verus established our “east coast” office in Pittsburgh, PA in May 2020.

— Our national client footprint expanded to 23 states, with our recent additions of clients in Massachusetts, Illinois, and Texas.

— Our assets under advisement has reached over $664 billion, as a result of strong markets and success in retaining several new clients. Our OCIO business saw continued growth as well, surpassing $5 billion in assets.

— We completed a third‐party verification process that supports our claim of GIPS* compliance and have implemented the verified GIPS and policies and procedure for our OCIO performance composites. We have 17 unique composites. Our E&F and Taft‐Hartley composites now have >5‐year track records.

— The IIDC grew to 24 consulting firms with over $32 trillion in assets under advisement. Verus founded the Institutional Investing Diversity Cooperative in December 2020, leading a call to action in the consulting industry for disclosure of asset manager diversity data at the investment team level.

1st Quarter 2022Investment Landscape 3Consulting | Outsourced CIO (OCIO) | Risk Advisory | Private Markets

2021— Managing Director | Senior Consultant,

Margaret Jadallah plans to retire towards the end of the year.

2022

Table of contentsVERUSINVESTMENTS.COM

SEATTLE 206.622.3700PITTSBURGH 412.784.6678LOS ANGELES 310.297.1777

SAN FRANCISCO 415.362.3484

4

Economic environment 7

Fixed income rates & credit 21

Equity 26

Other assets 35

Appendix 38

4th quarter summaryTHE ECONOMIC CLIMATE

— Real GDP grew at a 4.9% rate year‐over‐year in the third quarter (+2.3% quarterly annualized rate). A slowdown in consumer spending contributed to a lower rate of growth. This was due to a combination of factors, including new COVID‐19 restrictions, a delay in the reopening of businesses across the country, and general fear of virus spread which has led to less spending on services. p. 9

— The U.S. labor market improved further, as unemployment fell from 4.8% to 3.9%. The labor force participation rate has also improved, though very gradually, rising from 61.6% to 61.9%. p. 14

PORTFOLIO IMPACTS

— Credit spreads have reached extremely tight levels. High yield bonds traded at a credit spread of 283 bps at year‐end. However, these spread levels may be justified by record‐low bond default activity. Just 0.4% of U.S. high yield bonds defaulted in 2021, on a par‐weighted basis. p. 24

—U.S. core CPI increased 5.5% year‐over‐year in December. Headline inflation, which includes all goods, reached 7.0%. Large price increases have occurred across many goods and services, though approximately half of the rise in inflation continues to be driven by energy prices and automobiles. p. 13

1st Quarter 2022Investment Landscape

THE INVESTMENT CLIMATE

— In December it was announced that Senator Joe Manchin had communicated a hard “No” regarding his support for the Build Back Better bill. For months, Democrats have sought a solution to the disparate needs and spending interests of their party. p. 12

— Extremely fast spread of the Omicron variant worldwide does not seem to have had an outsized impact on the markets. While this new wave has in fact led to shutdowns in certain economies, much of the world has remained open, perhaps in acknowledgment that the health effects of Omicron are believed to be milder in nature. p. 10

ASSET ALLOCATION ISSUES

— Equity markets delivered strong returns in Q4, up +6.7% and ending the year up 18.5% (MSCI ACWI). U.S. equities delivered 11.0% during the quarter, while international equities delivered 2.7% and emerging market equities saw a slight loss of ‐1.3%, on an unhedged currency basis. p. 27

— Size and Value factor performance was negative once again during Q4. Large capitalization stocks significantly outperformed small capitalization stocks and Growth beat Value. Tighter monetary conditions and a pullback in some growth stocks has renewed talks of a possible Value rotation. p. 29

5

Risk assets continue to perform strongly, despite rapid global spread of the Omicron variant

What drove the market in Q4?


S&P 500 INDEX – CUMULATIVE NUMBER OF RECORD CLOSES IN 2021

IMPLIED EFFECTIVE FED FUNDS RATE

6

Source: Standard & Poor’s, Bloomberg, as of 12/31/21

Source: Bloomberg, as of 12/31/21


GLOBAL CASE GROWTH VS. LAGGED DEATHS (7‐DAY TRAILING AVERAGE)

“‘Transitory’ is out for describing inflation at the Fed… what will take its place?”HEADLINE CONSUMER PRICE INFLATION (YEAR‐OVER‐YEAR)

Jul Aug Sep Oct Nov Dec5.4% 5.3% 5.4% 6.2% 6.8% 7.0%

Article Source: MarketWatch, December 15th, 2021

“Unphased by Omicron, Fed policymakers show greater consensus for faster taper”FEDERAL RESERVE BALANCE SHEET SIZE (TRILLIONS)

Jul Aug Sep Oct Nov Dec$8.2T $8.3T $8.4T $8.6T $8.7T $8.8T

Article Source: Reuters, December 2nd, 2021

“Dow, S&P 500 end at all‐time records as U.S. stocks extend winning streak amid strong company earnings”S&P 500 INDEX – NUMBER OF CUMULATIVE YEAR‐TO‐DATE RECORD CLOSES

Jul Aug Sep Oct Nov Dec41 53 54 59 66 70

Article Source: October 26th, 2021

“World is put on high alert over the Omicron coronavirus variant”

NUMBER OF NEW DETECTED COVID‐19 INFECTIONS WORLDWIDE (MILLIONS)

Jul Aug Sep Oct Nov Dec15.6 19.9 16.0 13.0 15.7 25.4

Article Source: CNN, as of November 28th, 2021

0.0%

0.5%

1.0%

1.5%

2.0%

Sep‐21 Sep‐22 Sep‐23 Sep‐249/30/2021 12/31/2021

0

20

40

60

80

Dec‐20 Feb‐21 Apr‐21 Jun‐21 Aug‐21 Oct‐21 Dec‐21

‐

5,000

10,000

15,000

20,000

0

1

2

3


Millions

Cases [L] Deaths (two‐week lag) [R]

Economic environment


U.S. economics summary— Real GDP grew at a 4.9% rate year‐

over‐year in the third quarter (+2.3% quarterly annualized rate). A slowdown in consumer spending contributed to a lower pace of growth. This was due to a combination of factors, including new COVID‐19 restrictions, a delay in the reopening of businesses, and general fear of virus spread which has led to less spending on services. As GDP growth is stated in inflation‐adjusted terms, higher inflation has also contributed to slower economic growth.

— U.S. core CPI, which excludes food and energy prices, increased 5.5% year‐over‐year in December. Headline inflation, which includes all goods, reached 7.0%. Large price increases have occurred across many goods and services, though approximately half of the rise in inflation continues to be driven by energy prices and automobiles.

— The U.S. unemployment fell

further, from 4.8% to 3.9% during Q4. The labor force participation rate has improved, though very gradually, rising from 61.6% to 61.9%.

—After months of political brinksmanship, it appears the Build Back Better plan has stalled, as Senator Joe Manchin had communicated a hard “No” on his support for the Build Back Better bill. Democrats continue to seek a solution to the disparate needs and spending interests of their party.

—U.S. home prices increased +19.1% over the past year ending October. However, price growth may be cooling off, as the inventory of homes has expanded materially and mortgage interest rates have begun to rise.

— Consumer sentiment was mixed during the quarter. Depressed survey levels suggest we are no longer in the euphoric spending environment of mid to late 2021.


Most Recent 12 Months Prior

Real GDP (YoY) 4.9%9/30/21

(2.9%)9/30/20

Inflation(CPI YoY, Core)

5.5%12/31/21

1.6%12/31/20

Expected Inflation (5yr‐5yr forward)

2.3%12/31/21

2.0%12/31/20

Fed Funds Target Range

0% – 0.25%12/31/21

0% – 0.25%12/31/20

10‐Year Rate 1.51%12/31/21

0.91%12/31/20

U‐3 Unemployment 3.9%12/31/21

6.7%12/31/20

U‐6 Unemployment 7.3%12/31/21

11.7%12/31/20

GDP growthReal GDP grew at a 4.9% rate year‐over‐year in the third quarter (+2.3% quarterly annualized rate). During the quarter, a slowdown in consumer spending resulted in a lower pace of growth. This was partly a factor of new COVID‐19 restrictions and a delay in the reopening of businesses across the country. Fear of contracting the virus likely led to less spending on services. Government assistance to businesses and households also continued to fall, creating a drag on growth. On the other hand, a strong rebuilding of inventories by businesses had a large positive impact on economic growth.

Although Q3 showed a weaker rate of growth, expectations more broadly are for further strong economic expansion—

materially above pre‐pandemic rates. The Atlanta Fed GDPNowestimate, as of January 14th, suggests a GDP growth rate of 6.8% in the fourth quarter (seasonally‐adjusted quarterly annualized rate).

U.S. GDP growth is traditionally quoted in inflation‐adjustedterms. This means that higher inflation has contributed to slower GDP growth, as shown below. It will be important to watch the rate of inflation and the impact of higher inflation on GDP figures. Multiple past U.S. recessions were caused at least partially by rising inflation rather than solely by slowing growth (see 1970s, 1980s).


Although Q3 was relatively weak, economists expect continued above-average GDP growth

Source: FRED, as of 9/30/21 Source: FRED, as of 9/30/21

9

U.S. REAL GROSS DOMESTIC PRODUCT U.S. REAL GDP COMPONENTS (QOQ)

2.62.4

‐5.0

‐31.4

33.4

4.3 6.3 6.7 2.3

‐50‐40‐30‐20‐100

1020304050

Q3 19 Q4 19 Q1 20 Q2 20 Q3 20 Q4 20 Q1 21 Q2 21 Q3 21

U.S. R

eal G

DP Growth (Q

oQ)

Consumption Investment Government Exports Imports Inventories17,000

17,500

18,000

18,500

19,000

19,500

20,000

Jan‐18 Jan‐19 Jan‐20 Jan‐21

Real GDP

($ Billions)

SOUTH AFRICAN CASES AND DEATHS STRAIN DOMINANCE IN THE UNITED STATES

Omicron variant


COVID‐19 variant B.1.1.529 (Omicron) was discovered in Botswana on November 11thand has since spread exponentially around the globe, replacing the delta variant as the dominant global strain.

Based on available studies and data, the Omicron variant is much more infectious than prior variants, but its symptoms are less severe. In the Gauteng province within South Africa, the doubling time of cases proved to be faster than each of the previous three waves at 1.2 days

While case growth has accelerated more quickly than in previous waves in South Africa, hospitalizations and deaths have not paced the increase in cases, leaving some to predict that symptoms may be less severe.

Some have argued that it is a good thing that a highly infectious but not severe strain is spreading around the world, because it will provide some level of neutralizing antibodies to the people it infects, shortening the path to herd immunity. A more pessimistic view would be that “letting it rip” would allow more time for the virus to mutate to a more deadly strain. Source: CDC, as of 1/15/22Source: Bloomberg, as of 12/31/21

COVID WAVE CASE DOUBLING TIME – GAUTENG PROVINCE, SOUTH AFRICA

Source: The Lancet

‐

100

200

300

400

500

600

700

‐

5,000

10,000

15,000

20,000

25,000

Dec‐19 Jun‐20 Dec‐20 Jun‐21 Dec‐21

Seven‐day average daily case growth [L]

Seven‐day average daily death growth (two week lag) [R]

0%

25%

50%

75%

100%

4/10

4/24 5/8

5/22 6/5

6/19 7/3

7/17

7/31

8/14

8/28

9/11

9/25

10/9

10/23

11/6

11/20

12/4

12/18

1/1

1/15

Other Omicron (Southern African variant)Iota (New York variant) Gamma (Brazil variant)Delta (India variant) Alpha (U.K. variant)

DAILY AVERAGE CASE GROWTH (SEVEN‐DAY TRAILING)

COVID-19 case growth monitors



11

DAILY AVERAGE CASE GROWTH (SEVEN‐DAY TRAILING) – PER 100,000

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

1,000,000

1,100,000

Jan‐20

Feb‐20

Mar‐20

Apr‐20

May‐20

Jun‐20

Jul‐2

0Au

g‐20

Sep‐20

Oct‐20

Nov

‐20

Dec‐20

Jan‐21

Feb‐21

Mar‐21

Apr‐21

May‐21

Jun‐21

Jul‐2

1Au

g‐21

Sep‐21

Oct‐21

Nov

‐21

Dec‐21

United States EU27 + U.K. Asia ex India

India South America ex Brazil Brazil

0

20

40

60

80

100

120

140

160

180

200

220

240

Jan‐20

Feb‐20

Mar‐20

Apr‐20

May‐20

Jun‐20

Jul‐2

0Au

g‐20

Sep‐20

Oct‐20

Nov

‐20

Dec‐20

Jan‐21

Feb‐21

Mar‐21

Apr‐21

May‐21

Jun‐21

Jul‐2

1Au

g‐21

Sep‐21

Oct‐21

Nov

‐21

Dec‐21

United States EU27 + U.K. Asia ex India

India South America ex Brazil Brazil

“Build Back Better” update

— For months, Democrats have sought a solution to the disparate needs and spending interests of their party. This ranged from the more aggressive spending demands of Bernie Sanders, who hoped for a total of nearly $6 trillion in new spending, to Senator Joe Manchin who had expressed throughout the year a willingness to support a maximum of $1.5 trillion in new spending. In December it was announced that Senator Joe Manchin communicated a hard “No” regarding his support for the bill.

— The party appears to have taken a calculated risk in continuing to push for spending in excess of the $1.5 trillion limit that Joe Manchin had indicated, as well as refusing to negotiate on other items where disagreement existed, such as tax credits and climate change legislation. Despite DNC claims that the Build Back Better would not raise the national deficit, Manchin also expressed skepticism around sunset clauses and other assumptions within the bill that he believed hid the true magnitude of spending and its likely impact on the U.S. deficit.

— Some remain hopeful for a revival of negotiations and perhaps an agreement on many or most of the items within the bill. However, in January Senator Manchin indicated that he will not support the bill altogether—a reversal from the sentiments expressed during earlier negotiations.


After months of political brinksmanship, it appears the BBB plan has stalled

12

‐4%

0%

4%

8%

12%

16%

Dec‐70 Sep‐84 May‐98 Jan‐12

US CPI Ex Food & Energy US CPI

U.S. core CPI, which excludes food & energy prices, increased 5.5% year‐over‐year in December. Headline inflation, which includes all goods, reached 7.0%. Large price increases have occurred across many goods and services, though approximately half of the rise in inflation continues to be driven by energy prices and automobiles. Inflation has proven more “sticky”, which suggests that higher prices may be less transitory than previously believed.

The price of shelter continue to be a notable driver of U.S. inflation, as shelter costs have risen 4.1% over the past year. Although the rate of price growth in this area has been fairly modest, the cost of shelter makes up nearly one third of the overall CPI basket (32.4% as of November). As we have mentioned

previously, the way in which housing costs are captured in official statistics is nuanced, and increases in home prices do not necessarily flow through directly to official inflation numbers. Instead, today’s higher shelter costs may take quarters or even years to show up in government statistics.

We maintain our view that inflation will most likely begin falling towards previous levels later in 2022, though this could be a slower process. The variables that will likely impact this outcome include: whether energy and automobile prices plateau, the speed at which supply chain problems are resolved, and the willingness of businesses to raise wages in line with rates of inflation (quickly rising wages could further pressure prices upward).

U.S. CPI (YOY) U.S. CPI (YOY) MONTHLY PRICE MOVEMENT

Inflation


Inflation has proven more “sticky”

Higher prices may be less transitory than previously believed

Source: BLS, as of 12/31/21 Source: BLS, as of 12/31/21 Source: BLS, as of 12/31/21

13

0.9%

1.7%

0.2%0.3%

0.4%

0.6%

0.8%

0.6%

0.9%

0.5%

0.3%0.4%

0.9%0.8%

0.5%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

Dec‐20

Jan‐21

Feb‐21

Mar‐21

Apr‐21

May‐21

Jun‐21

Jul‐2

1

Aug‐21

Sep‐21

Oct‐21

Nov

‐21

Dec‐21

7.0% 6.3%

29.3%

5.5%

0%

10%

20%

30%

All items Food Energy All items lessfood & energy

0%

4%

8%

Dec‐19 May‐21

U.S. UNEMPLOYMENT LABOR PARTICIPATION RATE # UNEMPLOYED VS # JOBS AVAILABLE

Labor marketThe U.S. unemployment rate fell further, from 4.8% to 3.9% during Q4. The labor force participation rate has improved, though very gradually, rising from 61.6% to 61.9%. The U.S. labor shortage has reached historic proportions. Job openings far exceed the supply of workers. As of November, 10.5 million job openings were posted, while only 6.8 million Americans were seeking work.

In 2021, using U.S. government employment and retirement data, we reached a conclusion that the sudden and historically large quantity of workers leaving the labor force was mostly caused by early retirements. At the time, multiple theories had

been proposed, such as COVID‐19 fear (workers were not seeking employment due to a fear of human interaction) or that this was due to government aid and stimulus (workers flush with cash were finding it temporarily unnecessary to hold a job). Over recent quarters it does appear that our thesis has held. The U.S. labor force participation rate remains stuck, as two million abnormally early retirements imply that the available workforce is now permanently smaller. This reduction in workforce likely reduces the productive capacity of the U.S. economy and aggregate household income, though it may have an incremental lifting effect on the wages of existing workers.


A portion of the U.S. labor force remains neither employed nor seeking work

Much of this loss appears to be due to early retirements

Source: FRED, as of 12/31/21 Source: FRED, as of 12/31/21 Source: FRED, as of 11/30/21

14

57

59

61

63

65

67

69

Mar‐48 Mar‐68 Feb‐88 Feb‐08

Participation Ra

te (%

) 2.5%

31.6

0%

4%

8%

12%

16%

20%

24%

28%

Jun‐05 Jun‐07 Jun‐09May‐11May‐13May‐15Apr‐17Apr‐19Apr‐21

U3 U6

0

5

10

15

20

25

Dec‐00 Dec‐04 Dec‐08 Dec‐12 Dec‐16 Dec‐20

Millions

Total U.S. Unemployed U.S. Job Openings

60

62

64

Dec‐19 Dec‐20 Dec‐21

Labor costs & shortages“We could see mid‐single‐digit inflation in retails, as rising raw material pricing, labor and transportation costs are all impacting us and our suppliers. We have no way to say how long this will last, but our industry has been disciplined about pricing for decades, and we expect that to continue.” ‐AutoZone (Dec. 7)

“Moving on to inflation, again, it's pretty much the same story that we told during each of the last two quarters. There have been and are a variety of inflationary pressures that we and others are seeing from labor cost to freight cost, to higher demand, to container shortages and port delays, to increased demand on certain product categories, much of what you see and read out there. Various shortages on everything from chips to oils and chemicals supplied by facilities hit by the Gulf storms a while back. Higher commodities prices.” ‐Costco (Dec. 9)

“To further impact our second‐quarter results, I will highlight several key drivers. The difficult labor market once again had the largest effect on our bottom line, representing an estimated $470 million in additional year‐over‐year costs. As I did last quarter, I'll separate the effect of the labor market into two components: higher rates and network inefficiencies resulting from labor shortages.” ‐FedEx (Dec. 16)

“To add to the challenge, industry‐wide shortages in the labor market are impacting every part of the supply chain, adding significant costs that are above and beyond inflation. We're seeing record levels of disruptions across our raw material suppliers, internal and external production facilities, our own distribution centers, our customers' warehouses and the logistics networks required to connect each of these elements of the supply chain. These disruptions are resulting in service challenges and elevated costs across the industry.” ‐General Mills (Dec. 21)

“Lost production days and unplanned downtimes were primarily due to labor shortages across our manufacturing network, including COVID‐related absenteeism.” ‐Lamb Weston (Jan. 6)


Source: FactSet, as of 1/13/22

15

U.S. real retail sales remain strong, up 10.6% year‐over‐year. It is worth noting that this was the growth rate after adjusting for inflation. American households continue to spend at a rapid pace, though this could be set to slow down as government spending and other easy money policies are likely in the rearview mirror.

Auto sales volumes fell dramatically in the second half of 2021. Multiple variables are having an impact, as microchip shortages crimp new car production, many households already purchased a vehicle recently (assisted by stimulus checks), and very high auto prices have disincentivized purchases more generally.

A rather surprising economic result of the pandemic has been the jump in household savings rates, paying down of debt, and broadly improved financial situation of domestic households. As we have discussed in recent quarters, the inability of Americans to take vacations during much of the past two years, as well as reduced spending on services such as dining out, meant greater saving and less spending. However, it is incredibly important to point out that economic metrics such as the ones discussed here inherently involve an averaging of all household situations. The recent recession has had particularly destructive effects on specific sectors of the economy, and many have yet to recover.

REAL RETAIL SALES GROWTH (MONTHLY) AUTO SALES U.S. HOUSEHOLD DEBT BURDEN

The consumer


Source: FRED, as of 11/30/21 Source: Federal Reserve, as of 12/31/21 Source: FRED, as of 9/30/21 – household debt service payments as a percent of disposable personal income

16

14%

7

8

9

10

11

12

13

14

Jan‐80 Apr‐86 Jul‐92 Oct‐98 Jan‐05 Apr‐11 Jul‐17

$1,500

$1,700

$1,900

$2,100

$2,300

$2,500

Dec‐16 Dec‐17 Dec‐18 Dec‐19 Dec‐20 Dec‐21 0

5

10

15

20

25

Dec‐00 Jun‐06 Dec‐11 Jun‐17

Millions (ann

ual)

20

30

40

50

60

70

Oct‐91 Oct‐96 Oct‐01 Oct‐06 Oct‐11 Oct‐16 Oct‐21

Langer US Weekly Consumer Comfort Index

405060708090100110120

Sep‐85 May‐97 Jan‐09 Sep‐20

U of Michigan Consumer Sentiment Survey80

85

90

95

100

105

110

Dec‐00 Dec‐05 Dec‐10 Dec‐15 Dec‐20

CONSUMER COMFORT CONSUMER SENTIMENT SMALL BUSINESS OPTIMISM

SentimentConsumer sentiment was mixed during the quarter. The University of Michigan survey indicated relatively depressed but stable sentiment. Announced increases to Social Security payments (+5.9% YoY) due to inflation and a rise in wages among younger workers lifted sentiment slightly. On the other hand, the Langer U.S. Weekly Consumer Comfort Index suggested a sharp falloff in sentiment. Rising inflation, the spreading Omicron variant, and the steepest one week drop in “buying conditions” in 36 years translated to much poorer sentiment to start 2022. Both surveys seem to communicate an end to the euphoric spending spree that occurred in mid to late 2021.

The NFIB Small Business Optimism index was rangebound during the quarter but remained near the long‐term average level. As outlined by the survey, 59% of small businesses have increased prices, which was the highest reading since 1979. The December survey suggests that business conditions are not encouraging to small business owners, as new government mandates and tax increases have been discussed in the legislature. Furthermore, high inflation and supply chain issues continue to create challenges.


Sentiment remains depressed, as concerns exist around inflation, Omicron, and economic restrictions

Source: Bloomberg, as of 1/9/22 Source: University of Michigan, as of 12/31/21 Source: NFIB, as of 12/31/21

17

70.641.9

0

5

10

15

20

1980 1990 2000 2010 2020

30yr Fixed

Mortgage Ra

te

2

4

6

8

10

12

14

May‐63 May‐73 May‐83 May‐93 May‐03 May‐13

Monthly Supply of Homes

50

100

200

Jan‐87 May‐95 Sep‐03 Jan‐12 May‐20

Price (lo

g scale)

30YR FIXED MORTGAGE RATE (AVERAGE) SUPPLY OF HOMES CASE‐SHILLER HOME PRICE INDEX

Housing U.S. home prices increased +19.1% over the past year, ending October. However, price growth may be cooling off, as the inventory of homes has expanded materially and mortgage interest rates have begun to rise. The dramatic surge in real estate values throughout the pandemic resulted in considerable wealth gains for those who owned homes, but has also created real financial issues for many who rent as housing costs have risen faster than incomes.

Much higher living costs may lead to further social unrest and political discussions on topics such as the relaxation of

zoning restrictions and rent control. The growing homeless crisis in many U.S. areas further compounds the need, both real and perceived, for bringing the costs of housing under control.

U.S. mortgage rates have risen off the all‐time‐low (2.65%) achieved earlier in 2021. During the first week of January, the 30‐year average fixed rate mortgage reached 3.22%. Given high home prices, small increases in interest rates will have a larger impact on affordability. Higher borrowing costs would act as a headwind to further home price appreciation.


A dramatic jump in shelter costs may be adding pressure to household budgets

Source: U.S. Census Bureau, as of 12/31/21 Source: FRED, as of 11/30/21 Source: FRED, as of 10/31/21

18

2.5

3.0

3.5

Dec‐20 Dec‐21

6.5

International economics summary— COVID‐19 variant B.1.1.529

(Omicron) was discovered in Botswana on November 11th and has since spread exponentially around the globe, replacing the delta variant as the dominant global strain. Based on available studies and data, the Omicron variant is much more infectious than prior variants, but its symptoms are less severe. Many countries have taken a cautious approach and have reinstituted social distancing controls.

— Several countries including China and New Zealand have implemented zero‐COVID approaches with the goal of completely eradicating the virus within their borders. These policies may present upside risks for inflation looking ahead, as they are likely to result in more uncertainty and therefore potentially sustain or even worsen current supply chain problems.

— Prices paid by global producers of

goods and services have surged over the last year. Chinese producer price growth (+10.3% in December) hit its highest level in 26 years, and German producer prices (+19.2% in November) grew very quickly as supply chain disruptions squeezed prices for timber and raw metal materials.

— Eurozone GDP grew +3.7% year‐over‐year in Q3, lagging U.S. growth over the same period (+4.9%). Economic growth was more robust in Italy (+3.8%) and a bit weaker in Germany (+2.5%).

— China’s real estate crisis seems to be spreading. In early December, Evergrande, one of the largest property developers in China, defaulted on its debt. An increasing number of Chinese property developers have been strained. Given that real estate development makes up nearly one third of China’s economy, a crisis in this sector could have serious ramifications.


AreaGDP

(Real, YoY)Inflation (CPI, YoY) Unemployment

United States 4.9%9/30/21

7.0%12/31/21

3.9%12/31/21

Eurozone 3.9%9/30/21

5.0%12/31/21

7.2%11/30/21

Japan 1.2%9/30/21

0.8%12/31/21

2.7%11/30/21

BRICS Nations

5.2%9/30/21

3.3%12/31/21

5.4%6/30/21

Brazil 4.0%9/30/21

10.1%12/31/21

12.1%10/31/21

Russia 4.3%9/30/21

8.4%12/31/21

4.3%11/30/21

India 8.4%9/30/21

5.6%12/31/21

7.9%12/31/21

China 4.0%12/31/21

1.5%12/31/21

5.1%12/31/21

NOTE: India lacks reliable government unemployment data. Unemployment rate shown above is estimated from the Centre for Monitoring Indian Economy. The Chinese unemployment rate represents the monthly surveyed urban unemployment rate in China.

‐18%‐15%‐12%‐9%‐6%‐3%0%3%6%9%

12%15%

Sep‐03 Sep‐06 Sep‐09 Sep‐12 Sep‐15 Sep‐18 Sep‐21

U.S. Japan Eurozone BRICS

‐3%

0%

3%

6%

9%

Nov‐05 Nov‐08 Nov‐11 Nov‐14 Nov‐17 Nov‐20U.S. Japan ChinaU.K. Eurozone

0%

2%

4%

6%

8%

10%

12%

14%


U.S. Eurozone Japan BRICS

REAL GDP GROWTH (YOY) INFLATION (CPI YOY) UNEMPLOYMENT

International economicsThe rate of economic growth across most economies has moved back towards average levels, as the global recession and recovery fades from the rearview mirror. In October, the International Monetary Fund cut their 2021 advanced economy growth projections (from 5.6% to 5.2%), citing supply chain disruptions which have dampened the outlook for these economies. Worsening pandemic dynamics were flagged as a greater risk for emerging and developing economies, though 2021 growth expectations were revised up 0.1% to 6.4%.

Inflation moved higher in many areas, and the United States continues to cope with one of the highest rates of inflation among other major developed economies. Several countries

including China and New Zealand have implemented zero‐COVID approaches with the goal of completely eradicating the virus within their borders. These policies may present upside risks for inflation looking ahead, as they are likely to result in more uncertainty and therefore potentially sustain or even worsen current supply chain problems. Inflation trends and the reaction of central banks to these trends will have important implications for markets.

Unemployment has generally improved to pre‐pandemic levels, as government restrictions are relaxed, people regain comfort in moving out and about, and economies trend back towards normalcy.


Source: Bloomberg, as of 9/30/21 Source: Bloomberg, as of 12/31/21 – or most recent release Source: Bloomberg, as of 12/31/21 – or most recent release

20

Fixed income rates & credit


Fixed income environment— The 10‐year U.S. Treasury yield was

relatively rangebound during the quarter, remaining at a yield of 1.5%. Thus far, U.S. interest rates have not noticeably reacted to an inflation rate of 7.0%. Market pricing seems to indicate that investors generally expect inflation to be transitory—perhaps falling towards normal levels by the end of this year.

— One of the largest stories over the quarter was the Fed’s pivot on inflation, the retirement of the word “transitory” to describe inflation, and a more aggressive policy path expected by investors. The conversation around the balance sheet shifted from concluding the taper in June to concluding in March, and perhaps selling assets as soon as June. The conversation around interest rates shifted from potentially hiking around June to the market fully pricing in a hike by March and maybe two by May. The Fed is now clearly more concerned with inflation relative to

unemployment.

— Although credit spreads are tight, bond defaults have dropped to incredibly low levels. The one‐year high‐yield bond default rate reached 0.4% in December, one of the lowest rates on record.

— New issue activity across credit markets has been historically high. In the fourth quarter, $285 billion of investment grade credit was issued. Over the full year, gross issuance totaled $1.4 trillion, which was second only to the $1.8 trillion issued in 2020.

— In early December, Evergrande, one of the largest property developers in China, defaulted on its debt. At the start of 2022, property developer Shimao also defaulted on its debt. These bonds had been classified as investment grade until recently. Credit spreads of Chinese debt have expanding enormously, from near 750 bps in June to 2,175 bps in November.



22

QTD Total Return

1 Year Total Return

Core Fixed Income(Bloomberg U.S. Aggregate) 0.0% (1.5%)

Core Plus Fixed Income (Bloomberg U.S. Universal) 0.0% (1.1%)

U.S. Treasuries (Bloomberg U.S. Treasury) 0.2% (2.3%)

U.S. High Yield (Bloomberg U.S. Corporate HY)

0.7% 5.3%

Bank Loans(S&P/LSTA Leveraged Loan) 0.7% 5.2%

Emerging Market Debt Local (JPM GBI‐EM Global Diversified)

(2.5%) (8.7%)

Emerging Market Debt Hard (JPM EMBI Global Diversified) (0.4%) (1.8%)

Mortgage‐Backed Securities (Bloomberg MBS) (0.4%) (1.0%)

Yield environment



23

YIELD CURVE CHANGES OVER LAST FIVE YEARS IMPLIED CHANGES OVER NEXT YEAR

U.S. YIELD CURVE GLOBAL GOVERNMENT YIELD CURVES

‐1%

0%

1%

2%

3%

1M3M6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30YUnited States Curve 12/31/21 Japan Curve 12/31/21Canada Curve 12/31/21 Germany Curve 12/31/21UK Curve 12/31/21 France Curve 12/31/21Italy Curve 12/31/21 Australia Curve 12/31/21

‐2%

‐1%

0%

1%

1M3M6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30YUS Treasury Japan Treasury Canada TreasuryGermany Treasury UK Treasury France TreasuryItaly Treasury Australia Treasury

‐0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1M 3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30Y

Yield Ch

ange

US Treasury UK Treasury Japan TreasuryGermany Treasury Canada Treasury France TreasuryItaly Treasury Australia Treasury

‐1%

0%

1%

2%

3%

4%

5%

1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 20y 30Y

US Treasury Curve 12/31/21 US Treasury Curve 12/31/20US Treasury Curve 12/31/19 US Treasury Curve 12/31/18US Treasury Curve 12/31/17 US Treasury Curve 12/31/10

0%

5%

10%

15%

20%

25%


Barclays Long US Corp. Barclays US Agg.Barclays US HY Bloomberg US HY EnergyIG Energy

200

500

800

1100

1400

1700

2000

2300

Dec‐15 Dec‐16 Dec‐17 Dec‐18 Dec‐19 Dec‐20 Dec‐21Bloomberg US HY Energy USD HY ConsDisc. OASUSD HY Financials Snr OAS USD HY Comm. OASUSD HY Comm. OAS USD HY Materials OASUSD HY Technology OAS USD HY Industrial OASUSD HY HealthCare OAS USD HY ConsStaple OAS

Market

Credit Spread (OAS)

12/31/21 12/31/20

Long U.S. Corp 1.3% 1.4%

U.S. Inv Grade Corp 0.9% 1.0%

U.S. High Yield 2.8% 3.6%

U.S. Bank Loans* 4.3% 4.6%

SPREADS HIGH YIELD SECTOR SPREADS (BPS)

Credit environmentDuring the fourth quarter, high yield bonds returned 0.7%, matching the performance of loans and outperforming investment grade credit (+0.2%). Over the full year, leveraged loans returned 5.4%, exceeding high yield performance (+5.3%) as well as investment grade credit (‐1.2%). Credit spreads tightened modestly over the course of the year with pockets of volatility. This was also the case during Q4 as the Omicron variant circulated across the globe, reducing the appetite for risk. Investment grade spreads widened 8 basis points to 92 bps, which was 4 bps tighter relative to the beginning of the year. High yield corporate spreads finished 2021 at 283 bps, 6 bps tighter for the quarter and 77 bps tighter to end the year.

The search for yield continues within credit markets as option‐adjusted

spreads continue to be at or near historic lows and short‐term interest rates remain near zero. We have observed that numerous managers are positioning portfolios relatively more defensively with an eye toward capitalizing on potential future volatility, as well as placing greater focus on more niche segments within credit markets. Despite tight spreads, increased rate volatility, and surging inflation, a record amount of funds ($583 billion) flowed into fixed income funds and ETFs in 2021, exceeding the previous record set in 2019 ($459 billion). Demand was broad‐based, driven by demographics, an abundance of cash on corporate balance sheets, and strong equity market returns which led to increased rebalancing activity. Furthermore, given continued low rates across developed markets, U.S. fixed income remains an attractive market for foreign investors to pick up yield.


Source: Barclays, Credit Suisse, Bloomberg, as of 12/31/21Source: Barclays, Bloomberg, as of 12/31/21 Source: Bloomberg, as of 12/31/21 *Discount margin (4‐year life)

24

U.S. HY 2.8%

U.S. HY Energy 3.9%

U.S. Agg 0.9%

HY DEFAULT RATE (ROLLING 1‐YEAR) U.S. HY SECTOR DEFAULTS (LAST 12 MONTHS) U.S. ISSUANCE ($ BILLIONS)

Default & issuance


Source: BofA Merrill Lynch, as of 12/31/21 Source: BofA Merrill Lynch, as of 12/31/21 – par weighted Source: BofA Merrill Lynch, as of 12/31/21

25

Contrasting the pandemic‐driven surge of credit defaults in 2020, which resulted in the second highest annual dollar volume of defaulted bonds and loans on record, default activity in 2021 was very modest. Overall, 14 companies defaulted on loans and bonds during the year on debt totaling $9.8 billion. The year‐over‐year improvement was largely fueled by robust economic growth, improving credit fundamentals, and greater access to capital markets, as record bond and loan refinancing activity totaling roughly $1 trillion since 2020 has improved corporate liquidity.

The par‐weighted U.S. high yield default rate ended the year at a historic low of 0.4%, down 82 bps for the quarter and down 656 bps for the year. The par‐weighted loan default rate ended the year at 0.5%, down 23 bps for the quarter and 348 bps for the year. For context, the 25‐year average annual

default rate of high yield was 3.1%, while the default rate for loans has averaged 3.0% since 1998.

While new issue activity across credit markets fell broadly during the second half of the year, total credit issuance in 2021 was historically high. In the fourth quarter, $285 billion of investment grade credit was issued. Over the full year, gross issuance totaled $1.4 trillion, which was second only to the $1.8 trillion issued in 2020. Similarly, the fourth quarter was the lightest quarter for new issue activity for both high yield bonds and loans with $87.3 billion and $114.4 billion, respectively. However, each asset class experienced record issuance over the year with $557.1 billion in high yield bonds and $534.4 billion in loans.

0%

5%

10%

15%

20%

25%

Jan‐06 Jan‐09 Jan‐12 Jan‐15 Jan‐18 Jan‐21

Default (%)

U.S. High Yield U.S. High Yield ex‐Energy 0% 2% 4% 6% 8% 10%

CableGaming

Packaging/PaperUtilities

ChemicalsFood ProducersCapital Goods

AutosMetalsMedia

Real EstateTravel

HealthcareFinancialsServicesEnergy

TelecomsRetail

TechnologyTransportation

0

100

200

300

400

500

600

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

$ Billion

U.S. Bank Loan Issuance U.S. HY Issuance

Equity


Equity environmentQTD TOTAL RETURN 1 YEAR TOTAL RETURN

(unhedged) (hedged) (unhedged) (hedged)

U.S. Large Cap (S&P 500)

11.0% 28.7%

U.S. Small Cap (Russell 2000)

2.1% 14.8%

U.S. Equity(Russell 3000)

9.3% 25.7%

U.S. Large Value(Russell 1000 Value)

7.8% 25.2%

US Large Growth(Russell 1000 Growth)

11.6% 27.6%

Global Equity(MSCI ACWI)

6.7% 7.1% 18.5% 20.9%

International Large(MSCI EAFE)

2.7% 4.2% 11.3% 19.4%

Eurozone (Euro Stoxx 50)

4.4% 6.9% 14.6% 24.4%

U.K. (FTSE 100)

5.2% 5.1% 17.3% 18.9%

Japan (NIKKEI 225)

(5.3%) (2.0%) (4.7%) 6.7%

Emerging Markets(MSCI Emerging Markets)

(1.3%) (1.3%) (2.5%) (1.3%)


Source: Russell Investments, MSCI, STOXX, FTSE, Nikkei, as of 12/31/21

— Equity markets delivered strong returns in Q4, up 6.7% and ending the year up 18.5% (MSCI ACWI). U.S. equities delivered 11.0% during the quarter, while international equities delivered 2.7% and emerging market equities saw a slight loss of ‐1.3%, on an unhedged currency basis.

— Size and Value factor performance was negative once again during Q4. Large capitalization stocks significantly outperformed small capitalization stocks (Russell 1000 +9.8%, Russell 2000 +2.1%) and Growth exceeded Value (Russell 1000 Growth +11.6%, Russell 1000 Value +7.8%). This theme held for full‐year 2021.

— Extremely fast spread of the Omicron variant worldwide does not seem to have had an outsized impact on the markets. While this new wave has in fact led to shutdowns in certain countries,

much of the world has remained open, perhaps in acknowledgment that the health effects of Omicron are milder in nature.

— Labor costs and labor supply issuesare front‐of‐mind in corporate boardrooms, and 60% of S&P 500 companies have reported negative impacts to Q4 earnings during quarterly calls so far, as reported by FactSet.

—Weakness in Chinese equities (MSCI China ‐6.1%) continued to drive the broader underperformance of emerging market equities. Chinese policymakers have signaled a shift in focus from containing excessive leverage in the property sector to promoting growth and stability ahead of next year’s parliamentary meeting. Still, the risk of further crackdowns on targeted sectors of the economy remains in place.

27

2200

2700

3200

3700

4200

4700

5200

Dec‐19 Jun‐20 Dec‐20 Jun‐21 Dec‐21

5%

5%

5%

5%

15%

15%

40%

45%

50%

50%

60%

0% 20% 40% 60% 80%

China

Fed & interest rates

Oil & gas prices

Weather

Europe

Currency

Raw material & commodity costs

Transport & freight costs

COVID costs & impact

Supply chain disruptions

Labor costs & shortages

0.0%

4.6%

8.0%

8.6%

11.0%

11.2%

12.8%

12.9%13.3%

15.2%

16.7%

17.5%

‐5% 0% 5% 10% 15% 20%

Telecom

Financials

Energy

Industrials

S&P 500

Health Care


Utilities

Consumer Staples

Materials


Real Estate

S&P 500 INDEX S&P 500 COS. CITING NEGATIVE IMPACT – 4Q21 Q4 SECTOR PERFORMANCE

Domestic equityU.S. equities were a top performer in Q4, delivering 11.0% (S&P 500). The S&P 500 Index achieved all‐time closing highs on 70 days over the course of the year, which was nearly a record number in and of itself. Performance across sectors was broadly positive during Q4, though those with a greater “value” bias lagged the index (ex: Financials, Energy, Industrials). Per FactSet, the bottom‐up price target for the S&P 500 Index by 2022 year‐end is around 5300, which implies a price return of roughly 11% for the year.

While supply chain disruptions remain a key concern for chief financial officers in the United States and around the globe, the number one headwind for earnings in Q4 shifted to labor costs and shortages, based on earnings calls transcribed by FactSet. Workers have been quitting their jobs in great numbers

for a wide variety of reasons, pushing many employers to raise wages in order to retain employees, which could erode margins. Of companies that had reported Q4 earnings, 60% reported that rising labor costs had negatively impacted earnings. On a more optimistic note, those companies reported aggregate year‐over‐year earnings growth of around 28%, suggesting somewhat defensible margins and modest pricing power. Of companies mentioning labor issues, 85% discussed increasing prices or improving price realization on their earnings calls.

Net profit margins have fallen a percentage point from the record level of 13% achieved in Q2 2021, but remain historically high. If earnings growth in Q4 2021 meets expectations (21.4%), it will mark the fourth consecutive quarter of 20% YoY earnings growth.


Source: Standard & Poor’s, as of 12/31/21 Source: FactSet, as of 1/13/22 Source: Standard & Poor’s, as of 12/31/21

28

‐20

‐15

‐10

‐5

0

5

10

15

20

Jan‐10 Jan‐12 Jan‐14 Jan‐16 Jan‐18

Return Differen

ce (%

)

R3000 Value minus R3000 Growth

SMALL CAP VS LARGE CAP (YOY) VALUE VS GROWTH (YOY) VALUE VS. GROWTH RELATIVE VALUATIONS

Domestic equity size & styleSize and Value factor performance was negative once again during Q4. Large capitalization stocks significantly outperformed small capitalization stocks (Russell 1000 +9.8%, Russell 2000 +2.1%) and Growth exceeded Value (Russell 1000 Growth +11.6%, Russell 1000 Value +7.8%). This theme held for full‐year 2021.

Within MSCI’s suite of long‐only factor indices, Quality (+11.0%) was the top performer in Q4 which generally implies investor appetite for more defensive positioning. The strong performance of the Quality factor was skewed by Nvidia (+42.0%), Apple (+25.7%) and Microsoft (+19.5%).

Towards the end of the year, investor expectations for tighter Fed policy and interest rate hikes increased markedly. If the market is in fact undergoing a transition to tighter monetary conditions, this could have a notable impact on Value and Growth stock performance. The general cheapness of certain Value stocks and richness of certain Growth stocks may accentuate a value rotation, if and when this occurs. As always, we like to keep in mind that factor performance tends to be noisy and difficult to predict, which suggests that style investing should in most cases involve a longer‐term focus.


Size and Value underperformed during Q4 2021

Source: FTSE, as of 12/31/21 Source: FTSE, as of 12/31/21 Source: Standard & Poor’s, as of 12/31/21

29

‐20

‐15

‐10

‐5

0

5

10

15

20

Jan‐01 Jan‐04 Jan‐07 Jan‐10 Jan‐13 Jan‐16

Return Differen

ce (%

)

‐24%

‐16%

‐8%

0%

8%

16%

24%

32%

40%

Dec‐03 Dec‐08 Dec‐13 Dec‐18

Russell 2000 minus Russell 1000

‐46%

‐38%

‐30%

‐22%

‐14%

‐6%

2%

10%


R1000 Value minus R1000 Growth

‐15%

‐10%

‐5%

0%

5%

10%

15%

20%

0.0

0.5

1.0

1.5

2.0

2.5

Relative P/E (Value/Growth) (Left)Relative Average Valuation (Left)Subsequent 5 Year Rolling Excess Returns (Value/Growth) (Right)

625

1250

2500

Oct‐92 Oct‐99 Oct‐06 Oct‐13 Oct‐20

Log scale

MSCI EAFE

‐20%

‐10%

0%

10%

20%

30%

Dec‐09 Dec‐11 Dec‐13 Dec‐15 Dec‐17 Dec‐19 Dec‐21

MSCI EAFE MSCI ACWI ex USA MSCI EM (200,000)

(150,000)

(100,000)

(50,000)

‐

50,000

100,000

Jan‐02 Jan‐07 Jan‐12 Jan‐17 Jan‐22

Thou

sand

s of con

tracts

EFFECT OF CURRENCY (1‐YEAR ROLLING) INTERNATIONAL DEVELOPED EQUITIES YEN NET FUTURES POSITIONING

International developed equityInternational developed equities delivered 2.7% during the quarter. U.S. equities were the top performer (S&P 500 +11.0%) while emerging market equities saw a slight loss (MSCI Emerging Markets ‐1.3%), on an unhedged currency basis. Currency movement during the quarter resulted in a loss of ‐1.5% (MSCI EAFE) relative to those investors with a currency hedging program.

Japanese equities (MSCI Japan ‐4.0%) underperformed most developed markets, reversing strong third quarter returns, though this was mostly caused by currency market movement (Yen ‐3.1%). The yen fell to its weakest level relative to the dollar since early 2017 in the fourth quarter as

the Bank of Japan’s dovish policy increasingly diverged from peers, many of which have signaled the beginning of a normalization process from pandemic stimulus. Rising interest rate differentials, as well as speculation that the new strain of COVID‐19 might not be as disruptive as had been feared, has likely contributed to investor flows out of yen positions.

Swiss equities (MSCI Switzerland +12.8%) were the top performer in developed European markets, and unhedged U.S. investors benefitted from a 2.1% appreciation in the Swiss Franc relative to the U.S. dollar.


Source: MSCI, as of 12/31/21 Source: MSCI, as of 12/31/21 Source: CFTC, non‐commercial positioning, as of 1/11/22

30

200

400

800

1600

Sep‐96 Sep‐01 Sep‐06 Sep‐11 Sep‐16 Sep‐21

Log Scale

MSCI Emerging Markets

‐2

2

6

10

14

18

2009 2010 2012 2013 2014 2016 2017 2019 2020 2021

Infla

tion (%

)

Brazil CPI YoY China CPI Russia CPI YoY

‐2.0%

3.0% 1.8% 0.0% 0.0%

14.0%9.3% 8.5%

3.0% 4.0%

36.1%

10.1% 8.4%5.6%

1.5%

‐5.0%0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%

Turkey Brazil Russia India China

Q4 2021 main rate change 12/31/2021 main rateCPI (yoy, 12/31/2021)

EMERGING MARKET EQUITY INFLATION (YOY) CENTRAL BANK RATE CHANGES AND INFLATION

Emerging market equityEmerging market equities saw a mild loss (MSCI EM ‐1.5%) on an unhedged currency basis, underperforming global markets again in the fourth quarter. Latin American and Asian emerging markets performed generally on par during the quarter (MSCI EM Latin America ‐2.7%, MSCI EM Asia ‐1.0%).

Weakness in Chinese equities (MSCI China ‐6.1%) continues to drive broader emerging market underperformance, as China delivered ‐21.7% return in 2021, while the broader complex was down ‐2.5% (MSCI China, MSCI Emerging Markets).

Inflation in Brazil has reached 10.7%, while Russia saw an 8.4% rise in prices and China sits near the longer‐term average at 1.5%. Emerging market central banks have continued to raise interest rates. Brazil hiked their rate during the quarter from 6.25% to 9.25% in order to fight rising prices, while Russia hiked its rate from 6.75% to 8.50%. It is worth noting that many of these central banks have very recently implemented a domestic interest rate tightening cycle in order to battle price fluctuations and/or unwanted domestic currency movements. In other words, many emerging central banks deal with these types of issues more often than developed central bankers.


Source: MSCI, as of 12/31/21 Source: Bloomberg, as of 12/31/21 or most recent data Source: Bloomberg, various, as of 12/31/21

31

IMF Forecasts

5

10

15

20

25


U.S. EAFE EM

0%

2%

4%

6%

8%

10%

12%

14%


U.S. EAFE EM

4.8

26.3

30.3

1.33.8

1.8

17.2

11.3

2.75.8

1.8

14.0 14.1

2.4

7.1

0

5

10

15

20

25

30

35

P/B P/E P/FCF DividendYield (%)

EarningsYield (%)

United States EAFE Emerging Markets

FORWARD P/E RATIOS CURRENT EARNINGS YIELD (3‐MONTH AVERAGE) VALUATION METRICS (3‐MONTH AVERAGE)

Equity valuationsForward price/earnings equity multiples have been falling around the world, as earnings expectations rise faster than equity prices. U.S. equities remain the exception in this regard, as U.S. valuations have stayed elevated. The domestic equity market offers one half of the dividend yield of international developed equities (MSCI EAFE), with a forward P/E multiple that is 50% higher. The valuation difference between U.S. and the rest of the world is wider than ever before. This effect is partly due to the rising share of domestic technology stocks, as the technology sector tends to demand loftier valuations than most other sectors, but only partly so. The high prices of U.S. equities may imply more muted returns over the longer‐term.

U.S. equity trailing P/E ratio was unmoved during the quarter, while international developed equity valuations fell (19.3 to 17.2) along with emerging market equity valuations (15.8 to 14.0). Relative valuation differences across global markets are apparent in the yield (carry) offered by each market. U.S. equities offer a 3.8% earnings yield, while international developed offer 5.8% and emerging market equities offer 7.1%. In simple terms, for the U.S. market to deliver future performance equivalent to other markets, domestic stocks will either need to deliver outsized profit growth or higher valuations.


Most equity valuations have moved back towards normal levels, though U.S. prices remain exceptionally rich

Source: MSCI, 12m forward P/E, as of 12/31/21 Source: Bloomberg, MSCI, as of 12/31/21 Source: Bloomberg, MSCI as of 12/31/21 ‐ trailing P/E

32

0

10

20

30

40

50

60

70

80

90

Jun‐90 Dec‐95 Jun‐01 Nov‐06 May‐12 Nov‐17

VIX

0%5%

10%15%20%25%30%35%40%45%50%

Mar‐03 Mar‐08 Mar‐13 Mar‐18

Volatility

(1yr Rolling)

S&P 500 MSCI EAFE MSCI EM0

10

20

30

40

50

60

70

80


U.S. IMPLIED VOLATILITY (VIX) REALIZED VOLATILITYS&P 500 INDEX – CUMULATIVE NUMBER OF RECORD CLOSES IN 2021

Equity volatilityThe Cboe VIX Index stayed near average levels throughout the fourth quarter, with the exception of market choppiness at the end of November which briefly sent the VIX Index above 30. Realized volatility over the past year was muted. U.S. and emerging market equities exhibited 11% volatility during the calendar year, while international developed showed 9.8%. Historically, it has been uncommon for global markets to show similar levels of volatility, as developed markets tend to deliver lower volatility, and emerging markets higher volatility.

Market response to the Omicron variant was minimal, with a few larger market drops followed by quick recoveries. We

believe that investors have largely moved beyond COVID‐19, and that markets have adjusted to the transition away from fiscal stimulus and many of the recent unique government spending programs. As we enter 2022, investors seem to be focused on Federal Reserve plans for tapering and interest rate hikes. It is very possible that this rate hike cycle will look similar to those of the past decade—bouts of volatility as markets either accept or push back against tightening financial conditions, “good news is bad news” as positive economic developments are seen as potentially encouraging tighter Fed policy, and “bad news is good news” as economic weakness is interpreted as an excuse for Federal Reserve easiness and accommodation.


Source: Cboe, as of 12/31/21 Source: Standard & Poor’s, MSCI, as of 12/31/21 Source: Standard & Poor’s, Bloomberg, as of 12/31/21

33

10

30

Dec‐20 Jul‐21

500

1000

1500

2000

2500

3000

3500

4000

4500

5000


Growth of $

1,00

0

S&P 500 Russell 2000 MSCI EAFE MSCI EAFE Small MSCI Emerging Markets MSCI ACWI

Long-term equity performance


Source: Morningstar, as of 12/31/21

34

Other assets


0

5

10

15

20

2003

220

042

2005

220

062

2007

220

082

2009

220

102

2011

220

122

2013

220

142

2015

220

162

2017

220

182

2019

220

202

2021

2

Apartment IndustrialOffice Retail

‐15%

‐10%

‐5%

0%

5%

10%

1991

319

932

1995

119

964

1998

320

002

2002

120

034

2005

320

072

2009

120

104

2012

320

142

2016

120

174

2019

320

212

Income Return Appreciation ReturnTotal Returns

‐40

‐25

‐10

5

20

2001

3

2002

4

2004

1

2005

2

2006

3

2007

4

2009

1

2010

2

2011

3

2012

4

2014

1

2015

2

2016

3

2017

4

2019

1

2020

2

2021

3

Apartment IndustrialOffice Retail

VACANCY BY PROPERTY TYPE NCREIF PROPERTY INDEX QUARTERLY RETURNSNOI GROWTH BY PROPERTY TYPE (4‐QTR ROLLING)

Private real estate fundamentalsPrivate real estate fundamentals have seen steady improvement in vacancy rates and net operating income (NOI) growth during 2021.

Performance has also been very strong. In Q3 2021, the NCREIF ODCE posted a 6.4% net return, the highest single quarter return in the history of the index, beating the previous high of 6.2% (Q4 1978). Early indications are Q4 2021 will be another strong quarter.

The office sector has been one exception where vacancy rates have continued to climb and NOI growth has been modest (although still positive).


Source: NCREIF, as of 9/30/21

36

REIT PERFORMANCE BY SUB SECTOR (2021 VS 2020) REIT PREMIUM/DISCOUNT TO NAV BY SUB SECTOR

Strong rebound in REITsREITs rebounded strongly in 2021 posting an overall return of +42.3% for the FTSE NAREIT Equity Index. Several of the strongest sectors of 2021 were those that struggled the most in 2020, such as Regional Malls, Shopping Centers, and Apartments. Sectors with pandemic‐driven tailwinds such as Industrial and Data Centers continued to perform well in 2021.

Valuations have become rich across a number of sectors, trading at substantial premiums to their net asset values (NAVs). The U.S. REIT market overall is currently trading at a 16% premium to NAV.

Source: Cohen & Steers, as of 11/30/21 Source: Heitman, as of 12/31/21

37

34.7%30.4%

19.5% 19.3% 16.7% 16.4% 15.3% 12.2%

‐15.4% ‐18.7%‐30%

‐20%

‐10%

0%

10%

20%

30%

40%


‐60%‐40%‐20%0%20%40%60%80%100%

2021 YTD 2020

Appendix


Periodic table of returns

Source Data: Morningstar, Inc., Hedge Fund Research, Inc. (HFR), National Council of Real Estate Investment Fiduciaries (NCREIF). Indices used: Russell 1000, Russell 1000 Value, Russell 1000 Growth, Russell 2000, Russell 2000 Value, Russell 2000 Growth, MSCI EAFE, MSCI EM, Bloomberg US Aggregate, T‐Bill 90 Day, Bloomberg Commodity, NCREIF Property, HFRI FOF, MSCI ACWI, Bloomberg Global Bond. NCREIF Property Index performance data as of 9/30/21.

Large Cap Equity Small Cap Growth Commodities

Large Cap Value International Equity Real Estate

Large Cap Growth Emerging Markets Equity Hedge Funds of Funds

Small Cap Equity US Bonds 60% MSCI ACWI/40% BBgBarc Global Bond

Small Cap Value Cash

BEST

WORS

T


1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 5‐Year 10‐Year

Small Cap Value 66.4 31.8 14.0 25.9 56.3 26.0 34.5 32.6 39.8 5.2 79.0 29.1 14.3 18.6 43.3 13.5 13.3 31.7 37.3 6.7 36.4 38.5 28.3 25.3 19.8

Large Cap Growth 43.1 22.8 8.4 10.3 48.5 22.2 21.4 26.9 16.2 1.4 37.2 26.9 7.8 18.1 38.8 13.2 5.7 21.3 30.2 1.9 31.4 34.6 27.6 18.4 16.5

Commodities 33.2 12.2 7.3 6.7 47.3 20.7 20.1 23.5 15.8 ‐6.5 34.5 24.5 2.6 17.9 34.5 13.0 0.9 17.3 25.0 0.0 28.5 21.0 27.1 14.5 14.1

Large Cap Equity 27.3 11.6 3.3 1.6 46.0 18.3 14.0 22.2 11.8 ‐21.4 32.5 19.2 1.5 17.5 33.5 11.8 0.6 12.1 22.2 ‐1.5 26.5 20.0 26.5 12.0 13.2

Large Cap Value 26.5 7.0 2.8 1.0 39.2 16.5 7.5 18.4 11.6 ‐25.9 28.4 16.8 0.4 16.4 33.1 6.0 0.0 11.8 21.7 ‐3.5 25.5 18.3 25.2 11.2 13.0

Small Cap Equity 21.3 4.1 ‐2.4 ‐6.0 29.9 14.3 6.3 15.5 10.3 ‐33.8 23.3 16.1 ‐2.1 15.3 23.3 4.9 ‐0.8 11.2 14.6 ‐6.0 22.4 14.0 14.8 10.1 12.0

International Equity 24.3 6.0 2.5 ‐5.9 30.0 14.5 7.1 16.6 10.9 ‐28.9 27.2 16.7 0.1 16.3 32.5 5.6 ‐0.4 11.3 17.1 ‐4.8 22.0 10.3 11.3 9.9 9.0

Real Estate 20.9 ‐3.0 ‐5.6 ‐11.4 29.7 12.9 5.3 15.1 7.0 ‐35.6 20.6 15.5 ‐2.9 14.6 12.1 4.2 ‐1.4 8.0 13.7 ‐8.3 18.6 7.8 10.9 9.5 8.0

60/40 Global Portfolio 13.2 ‐7.3 ‐9.1 ‐15.5 25.2 11.4 4.7 13.3 7.0 ‐36.8 19.7 13.1 ‐4.2 11.5 11.0 3.4 ‐2.5 7.1 7.8 ‐9.3 18.4 7.5 8.9 9.1 7.9

Hedge Funds of Funds 11.4 ‐7.8 ‐9.2 ‐15.7 23.9 9.1 4.6 10.4 5.8 ‐37.6 18.9 10.2 ‐5.5 10.5 9.0 2.8 ‐3.8 5.7 7.7 ‐11.0 8.7 4.6 6.5 6.8 5.5

Small Cap Growth 7.3 ‐14.0 ‐12.4 ‐20.5 11.6 6.9 4.6 9.1 4.4 ‐38.4 11.5 8.2 ‐5.7 4.8 0.1 0.0 ‐4.4 2.6 7.0 ‐11.2 7.8 2.8 2.8 5.8 4.6

Cash 4.8 ‐22.4 ‐19.5 ‐21.7 9.0 6.3 4.2 4.8 ‐0.2 ‐38.5 5.9 6.5 ‐11.7 4.2 ‐2.0 ‐1.8 ‐7.5 1.0 3.5 ‐12.9 7.7 0.5 0.0 3.6 2.9

US Bonds ‐0.8 ‐22.4 ‐20.4 ‐27.9 4.1 4.3 3.2 4.3 ‐1.6 ‐43.1 0.2 5.7 ‐13.3 0.1 ‐2.3 ‐4.5 ‐14.9 0.5 1.7 ‐13.8 6.4 0.5 ‐1.5 3.7 0.6

Emerging Markets Equity ‐1.5 ‐30.6 ‐21.2 ‐30.3 1.0 1.4 2.4 2.1 ‐9.8 ‐53.2 ‐16.9 0.1 ‐18.2 ‐1.1 ‐9.5 ‐17.0 ‐24.7 0.3 0.9 ‐14.6 2.1 ‐3.1 ‐2.5 1.1 ‐2.9

ONE YEAR ENDING DECEMBER

Major asset class returns

*Only publicly traded asset performance is shown here. Performance of private assets is typically released with a 3‐ to 6‐month delay.Source: Morningstar, as of 12/31/21 Source: Morningstar, as of 12/31/21

TEN YEARS ENDING DECEMBER


‐2.9%

1.6%

2.1%

2.9%

4.4%

5.5%

6.8%

8.0%

11.5%

12.0%

13.0%

13.2%

14.1%

16.6%

19.8%

‐5% 0% 5% 10% 15% 20% 25%

Bloomberg Commodity

Bloomberg US Agency Interm

Bloomberg US Treasury

Bloomberg US Agg Bond

Bloomberg US Credit

MSCI EM

Bloomberg US Corp. High Yield

MSCI EAFE

Wilshire US REIT

Russell 2000 Value

Russell 1000 Value

Russell 2000

Russell 2000 Growth

S&P 500

Russell 1000 Growth

‐2.5%

‐2.3%

‐1.5%

‐1.2%

‐1.1%

2.8%

5.3%

11.3%

14.8%

25.2%

27.1%

27.6%

28.3%

28.7%

46.2%

‐10% 0% 10% 20% 30% 40% 50%

MSCI EM

Bloomberg US Treasury

Bloomberg US Agg Bond

Bloomberg US Agency Interm

Bloomberg US Credit

Russell 2000 Growth

Bloomberg US Corp. High Yield

MSCI EAFE

Russell 2000

Russell 1000 Value

Bloomberg Commodity

Russell 1000 Growth

Russell 2000 Value

S&P 500

Wilshire US REIT

Q4 2021

S&P 500 sector returns

Source: Morningstar, as of 12/31/21 Source: Morningstar, as of 12/31/21

ONE YEAR ENDING DECEMBER


17.7%

18.6%

21.1%

21.6%

24.4%

26.1%

27.3%

28.7%

34.5%

35.0%

46.2%

54.6%

0% 15% 30% 45% 60%

Utilities

Consumer Staples

Industrials

Telecom


Health Care

Materials

S&P 500


Financials

Real Estate

Energy

0.0%

4.6%

8.0%

8.6%

11.0%

11.2%

12.8%

12.9%

13.3%

15.2%

16.7%

17.5%

‐5% 0% 5% 10% 15% 20%

Telecom

Financials

Energy

Industrials

S&P 500

Health Care


Utilities

Consumer Staples

Materials


Real Estate

Private equity vs. traditional assets performance

42

17.3%

6.8% 3.8% 1.8% 2.2%

‐10%

10%

30%

50%

70%

90%

1 Year 3 Year 5 Year 10 Year 20 Year

VC/Gr Buyouts Debt/SS Total Direct Russell 3000 Barclays Agg.

18.6%

5.2%1.3% ‐0.7% 0.5%

0%

20%

40%

60%

80%

1 Year 3 Year 5 Year 10 Year 20 YearFoF Secondaries Total "Passive" Russell 3000 Barclays Agg.

Direct P.E Fund Investments outperformed comparable public equites across all time periods.

“Passive” strategies outperformed comparable public equities across all time periods, aside from the 10-year basis.

Investment Landscape1st Quarter 2022

Sources: Refinitiv C|A PME: U.S. Private Equity Funds sub asset classes as of June 30, 2021. Public Market Equivalent returns resulted from “Total Passive” and Total Direct’s identical cash flows invested into and distributed from respective traditional asset comparable.

DIRECT PRIVATE EQUITY FUND INVESTMENTS

“PASSIVE” STRATEGIES

Private vs. liquid real assets performance

43

‐16.1%

‐1.0% ‐0.9% 1.1%

‐30%‐10%10%30%50%

1 Year 3 Year 5 Year 10 Year

Global Natural Resources Private Fund Universe MSCI World Natural Resources

N.R. funds underperformed the MSCI World Natural Resources benchmark across all time periods, aside from the 10-year basis.

Infra. funds outperformed the S&P Infra. across all periods, aside from the 1-year basis.

‐5.4%

5.3% 5.8% 4.5%

‐15%

‐5%

5%

15%

25%

1 Year 3 Year 5 Year 10 Year

Global Infrastructure Private Fund Universe S&P Infrastructure


Sources: Refinitiv C|A PME: Global Natural Resources (vintage 1999 and later, inception of MSCI World Natural Resources benchmark) and Global Infrastructure (vintage 2002 and later, inception of S&P Infrastructure benchmark) universes as of June 30, 2021. Public Market Equivalent returns resulted from identical cash flows invested into and distributed from respective liquid real assets universes.

GLOBAL NATURAL RESOURCES FUNDS

GLOBAL INFRASTRUCTURE FUNDS

12.2%

2.9% 3.2%2.5%

0.8%

0%

5%

10%

15%

20%

25%

1 Year 3 Year 5 Year 10 Year 20 YearU.S. Real Estate Private Fund Universe NCREIF Property Index

Private vs. liquid and core real estate performance

44

‐17.6%

‐1.8% 3.3%2.0% ‐1.5%

0%

10%

20%

30%

40%

1 Year 3 Year 5 Year 10 Year 20 YearU.S. Real Estate Private Fund Universe Wilshire US REIT

U.S. Private R.E. funds underperformed the Wilshire U.S. REIT Index across all time periods, aside on a 5-year and 10-year basis.

U.S. Private R.E. Funds outperformed the NCREIF Property Index across all time periods.


U.S. PRIVATE REAL ESTATE FUNDS VS. LIQUID UNIVERSE

U.S. PRIVATE REAL ESTATE FUNDS VS. CORE FUNDS

Sources: Refinitiv C|A PME: Global and U.S. Real Estate universes as of June 30, 2021. Public Market Equivalent returns resulted from identical cash flows invested into and distributed from respective liquid real estate universes.

Detailed index returns

Source: Morningstar, HFRI, as of 12/31/21


DOMESTIC EQUITY FIXED INCOMEMonth QTD YTD 1 Year 3 Year 5 Year 10 Year Month QTD YTD 1 Year 3 Year 5 Year 10 Year

Core Index Broad Index

S&P 500 4.5 11.0 28.7 28.7 26.1 18.5 16.6 Bloomberg US TIPS 0.3 2.4 6.0 6.0 8.4 5.3 3.1

S&P 500 Equal Weighted 6.2 9.0 29.6 29.6 23.6 15.7 15.6 Bloomberg US Treasury Bills 0.0 0.0 0.0 0.0 1.0 1.2 0.7

DJ Industrial Average 5.5 7.9 20.9 20.9 18.5 15.5 14.2 Bloomberg US Agg Bond (0.3) 0.0 (1.5) (1.5) 4.8 3.6 2.9

Russell Top 200 4.0 11.0 27.9 27.9 27.3 19.7 17.2 Bloomberg US Universal (0.1) (0.0) (1.1) (1.1) 5.2 3.8 3.3

Russell 1000 4.1 9.8 26.5 26.5 26.2 18.4 16.5 Duration

Russell 2000 2.2 2.1 14.8 14.8 20.0 12.0 13.2 Bloomberg US Treasury 1‐3 Yr (0.2) (0.6) (0.6) (0.6) 2.0 1.6 1.1

Russell 3000 3.9 9.3 25.7 25.7 25.8 18.0 16.3 Bloomberg US Treasury Long (1.4) 3.1 (4.6) (4.6) 8.8 6.5 4.5

Russell Mid Cap 4.1 6.4 22.6 22.6 23.3 15.1 14.9 Bloomberg US Treasury (0.5) 0.2 (2.3) (2.3) 4.1 3.1 2.1

Style Index Issuer

Russell 1000 Growth 2.1 11.6 27.6 27.6 34.1 25.3 19.8 Bloomberg US MBS (0.1) (0.4) (1.0) (1.0) 3.0 2.5 2.3

Russell 1000 Value 6.3 7.8 25.2 25.2 17.6 11.2 13.0 Bloomberg US Corp. High Yield 1.9 0.7 5.3 5.3 8.8 6.3 6.8

Russell 2000 Growth 0.4 0.0 2.8 2.8 21.2 14.5 14.1 Bloomberg US Agency Interm (0.2) (0.7) (1.2) (1.2) 2.4 2.0 1.6

Russell 2000 Value 4.1 4.4 28.3 28.3 18.0 9.1 12.0 Bloomberg US Credit (0.1) 0.2 (1.1) (1.1) 7.2 5.1 4.4

INTERNATIONAL EQUITY OTHER Broad Index Index

MSCI ACWI 4.0 6.7 18.5 18.5 20.4 14.4 11.9 Bloomberg Commodity 3.5 (1.6) 27.1 27.1 9.9 3.7 (2.9)

MSCI ACWI ex US 4.1 1.8 7.8 7.8 13.2 9.6 7.3 Wilshire US REIT 8.8 17.1 46.2 46.2 19.2 10.9 11.5

MSCI EAFE 5.1 2.7 11.3 11.3 13.5 9.5 8.0 CS Leveraged Loans 0.6 0.7 5.4 5.4 5.4 4.3 4.8

MSCI EM 1.9 (1.3) (2.5) (2.5) 10.9 9.9 5.5 S&P Global Infrastructure 6.6 4.6 11.9 11.9 10.2 7.8 7.7

MSCI EAFE Small Cap 4.4 0.1 10.1 10.1 15.6 11.0 10.8 Alerian MLP 3.7 0.9 40.9 40.9 1.0 (3.7) (0.3)

Style Index Regional Index

MSCI EAFE Growth 4.3 4.1 11.3 11.3 19.0 13.6 10.1 JPM EMBI Global Div 1.4 (0.4) (1.8) (1.8) 5.9 4.7 5.3

MSCI EAFE Value 6.0 1.2 10.9 10.9 7.8 5.3 5.8 JPM GBI‐EM Global Div 1.6 (2.5) (8.7) (8.7) 2.1 2.8 0.7

Regional Index Hedge Funds

MSCI UK 7.3 5.6 18.5 18.5 8.7 6.2 5.1 HFRI Composite 1.3 0.6 10.3 10.3 10.9 7.1 5.8

MSCI Japan 1.9 (4.0) 1.7 1.7 11.7 8.5 8.3 HFRI FOF Composite 0.8 0.7 6.5 6.5 8.6 5.8 4.6

MSCI Euro 6.3 3.9 14.9 14.9 14.6 9.7 8.4 Currency (Spot)

MSCI EM Asia 1.5 (1.0) (5.1) (5.1) 13.3 11.9 8.1 Euro 1.0 (1.9) (7.1) (7.1) (0.2) 1.5 (1.3)

MSCI EM Latin American 5.9 (2.7) (8.1) (8.1) (2.4) 1.5 (2.2) Pound Sterling 2.4 0.5 (0.9) (0.9) 2.1 1.9 (1.4) Yen (1.4) (3.1) (10.3) (10.3) (1.6) 0.3 (4.0)

Definitions


Bloomberg US Weekly Consumer Comfort Index ‐ tracks the public’s economic attitudes each week, providing a high‐frequency read on consumer sentiment. The index, based on cell and landline telephone interviews with a random, representative national sample of U.S. adults, tracks Americans' ratings of the national economy, their personal finances and the buying climate on a weekly basis, with views of the economy’s direction measured separately each month. (www.langerresearch.com)

University of Michigan Consumer Sentiment Index ‐ A survey of consumer attitudes concerning both the present situation as well as expectations regarding economic conditions conducted by the University of Michigan. For the preliminary release approximately three hundred consumers are surveyed while five hundred are interviewed for the final figure. The level of consumer sentiment is related to the strength of consumer spending. (www.Bloomberg.com)

NFIB Small Business Outlook ‐ Small Business Economic Trends (SBET) is a monthly assessment of the U.S. small‐business economy and its near‐term prospects. Its data are collected through mail surveys to random samples of the National Federal of Independent Business (NFIB) membership. The survey contains three broad question types: recent performance, near‐term forecasts, and demographics. The topics addressed include: outlook, sales, earnings, employment, employee compensation, investment, inventories, credit conditions, and single most important problem. (http://www.nfib‐sbet.org/about/)

NAHB Housing Market Index – the housing market index is a weighted average of separate diffusion induces for three key single‐family indices: market conditions for the sale of new homes at the present time, market conditions for the sale of new homes in the next six months, and the traffic of prospective buyers of new homes. The first two series are rated on a scale of Good, Fair, and Poor and the last is rated on a scale of High/Very High, Average, and Low/Very Low. A diffusion index is calculated for each series by applying the formula “(Good‐Poor + 100)/2” to the present and future sales series and “(High/Very High‐Low/Very Low + 100)/2” to the traffic series. Each resulting index is then seasonally adjusted and weighted to produce the HMI. Based on this calculation, the HMI can range between 0 and 100.

Notices & disclosuresPast performance is no guarantee of future results. This report or presentation is provided for informational purposes only and is directed to institutional clients and eligible institutional counterparties only and should not be relied upon by retail investors. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security or pursue a particular investment vehicle or any trading strategy. The opinions and information expressed are current as of the date provided or cited only and are subject to change without notice. This information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. Verus Advisory Inc. expressly disclaim any and all implied warranties or originality, accuracy, completeness, non‐infringement, merchantability and fitness for a particular purpose. This report or presentation cannot be used by the recipient for advertising or sales promotion purposes.

The material may include estimates, outlooks, projections and other “forward‐looking statements.” Such statements can be identified by the use of terminology such as “believes,” “expects,” “may,” “will,” “should,” “anticipates,” or the negative of any of the foregoing or comparable terminology, or by discussion of strategy, or assumptions such as economic conditions underlying other statements. No assurance can be given that future results described or implied by any forward looking information will be achieved. Actual events may differ significantly from those presented. Investing entails risks, including possible loss of principal. Risk controls and models do not promise any level of performance or guarantee against loss of principal.

“VERUS ADVISORY™ and any associated designs are the respective trademarks of Verus Advisory, Inc. Additional information is available upon request.

is a registered trademark of Verus Advisory, Inc.

Pasadena Fire & Police Retirement SystemInvestment Performance Review

Period Ending: December 31, 2021

Portfolio Reconciliation

Last ThreeMonths Fiscal Year-To-Date

_

Beginning Market Value $130,612,432 $133,569,122

Contributions $3,150,000 $6,400,000

Withdrawals -$6,337,121 -$12,848,073

Net Cash Flow -$3,187,121 -$6,448,073

Net Investment Change $3,479,320 $3,783,582

Ending Market Value $130,904,631 $130,904,631

Net Change $292,199 -$2,664,491_

Contributions and withdrawals may include intra-account transfers between managers/funds. Portfolio Reconciliation does not include Pooled Cash.

Total FundPortfolio Reconciliation Period Ending: December 31, 2021

Pasadena Fire & Police Retirement System 1

Does not include Pooled Cash. Invesco Core Real Estate ending market value includes dividend payable. First American Treasury funded 12/1/2015. Vanguard Short-Term Investment Grade funded 3/27/2017. Vanguard Growth Index Insliquidated 5/29/2018. Vanguard Institutional Index Ins and T. Rowe Price Instl Large Cap Growth funded 5/30/2018. PanAgora Risk Parity funded 11/16/2020.

BeginningMarket Value Contributions Withdrawals Net Investment

ChangeEnding

Market Value_

Vanguard Institutional Index Ins $10,250,363 $0 -$650,000 $1,111,035 $10,711,398T. Rowe Price Large-Cap Growth Fund - I Class $5,042,801 $0 -$250,000 $311,846 $5,104,646Dodge & Cox Stock $5,222,662 $0 -$250,000 $305,326 $5,277,989Atlanta Capital Management Company $5,174,482 $0 -$410,349 $569,090 $5,333,224Dodge & Cox Intl Stock $12,987,985 $0 -$400,000 $321,895 $12,909,880American Funds Europacific Growth R6 $12,812,342 $0 $0 -$144,404 $12,667,938Metropolitan West Core Plus Fixed Income $32,835,167 $0 -$711,772 -$7,296 $32,116,099Voya Senior Loan Fund $6,874,175 $0 $0 $40,627 $6,914,802Vanguard Short-Term Investment Grade Inst $13,232,524 $0 -$275,000 -$90,330 $12,867,194Vanguard Inflation-Protected Securities Inst $6,568,772 $0 -$240,000 $143,754 $6,472,526Invesco Core Real Estate $12,901,883 $0 $0 $718,806 $13,620,689PanAgora Risk Parity Multi-Asset $6,700,796 $0 $0 $198,970 $6,899,765First American Treasury Obligation Z $8,480 $3,150,000 -$3,150,000 $1 $8,481Total $130,612,432 $3,150,000 -$6,337,121 $3,479,320 $130,904,631

XXXXX

Total FundCash Flow by Manager Period Ending: December 31, 2021



Total FundAsset Allocation vs. Policy Period Ending: December 31, 2021

CurrentBalance

CurrentAllocation Policy Difference Policy Range Within IPS

Range?_

Domestic Equity Large CapCore $10,711,398 8.2% 8.0% $239,028 3.0% - 20.0% Yes

Domestic Equity Large CapGrowth $5,104,646 3.9% 4.0% -$131,539 0.0% - 10.0% Yes

Domestic Equity Large CapValue $5,277,989 4.0% 4.0% $41,803 0.0% - 10.0% Yes

Domestic Equity Small CapCore $5,333,224 4.1% 4.0% $97,038 0.0% - 10.0% Yes

International Equity $25,577,818 19.5% 20.0% -$603,108 10.0% - 25.0% YesDomestic Fixed Income Core $32,116,099 24.5% 25.0% -$610,059 15.0% - 40.0% YesDomestic Fixed Income BankLoans $6,914,802 5.3% 5.0% $369,571 0.0% - 10.0% Yes

Domestic Fixed Income ShortTerm $12,867,194 9.8% 10.0% -$223,269 0.0% - 15.0% Yes

Domestic Fixed Income RealReturn $6,472,526 4.9% 5.0% -$72,706 0.0% - 10.0% Yes

Real Estate $13,620,689 10.4% 10.0% $530,226 0.0% - 15.0% YesAlternative Investment $6,899,765 5.3% 5.0% $354,534 0.0% - 10.0% YesCash and Equivalents $8,481 0.0% 0.0% $8,481 0.0% - 10.0% YesTotal $130,904,631 100.0% 100.0%

XXXXX

Policy Index as of 11/1/2020: 8% S&P 500, 4% Russell 1000 Value, 4% Russell 1000 Growth, 4% Russell 2000, 20% MSCI ACWI ex USA, 25% Bloomberg US Aggregate, 5% Bloomberg US TIPS, 5% S&P/LSTA Leveraged Loan, 10%Bloomberg US Credit 1-5 Year, 10% NCREIF-ODCE NR, 5% S&P Risk Parity 10% Target Volatility. On 7/1/2019 the NCREIF-ODCE Index in the policy index changed from gross to net. CPI LOCAL (LA) included LosAngeles-Riverside-Orange County until 12/31/2017. Effective 1/1/2018 due to geographical revisions, CPI LOCAL (LA) includes Los Angeles-Long Beach-Anaheim. FY: 6/30.

Market Value % ofPortfolio 3 Mo Fiscal

YTD 1 Yr 3 Yrs 5 Yrs Fiscal2021

Fiscal2020

Fiscal2019

Fiscal2018

Fiscal2017

_

Total Fund 130,904,631 100.0 2.6 2.8 9.0 11.2 8.4 19.0 2.8 5.5 5.6 10.7Policy Index 3.2 3.4 9.3 11.4 8.4 17.5 3.7 5.9 5.8 8.9

Total Domestic Equity 26,427,257 20.2 9.0 8.4 26.6 24.3 17.7 44.8 4.4 8.9 15.3 22.5S&P 500 11.0 11.7 28.7 26.1 18.5 40.8 7.5 10.4 14.4 17.9

Total International Equity 25,577,818 19.5 0.6 -2.2 6.9 14.9 10.1 40.5 -4.1 0.8 4.9 26.2MSCI ACWI ex USA 1.8 -1.2 7.8 13.2 9.6 35.7 -4.8 1.3 7.3 20.5MSCI EAFE 2.7 2.2 11.3 13.5 9.5 32.4 -5.1 1.1 6.8 20.3

Total Domestic Fixed 58,370,621 44.6 0.1 0.5 0.4 5.1 3.7 2.9 6.3 6.0 1.2 0.9Bloomberg US Aggregate TR 0.0 0.1 -1.5 4.8 3.6 -0.3 8.7 7.9 -0.4 -0.3

Total Real Estate 13,620,689 10.4 5.6 13.3 19.9 7.2 7.4 6.7 0.3 5.8 7.0 7.3NCREIF-ODCE 8.0 15.1 22.2 9.2 8.7 8.0 2.2 6.4 8.4 7.9NCREIF ODCE Net 7.7 14.6 21.1 8.2 7.8 7.1 1.3 5.5 7.5 6.9NCREIF Property Index 6.2 11.7 17.7 8.4 7.8 7.4 2.7 6.5 7.2 7.0

Total Alternatives 6,899,765 5.3 3.0 3.5 9.0 9.0 7.0 18.3 -2.2 5.0 4.2 10.8S&P Risk Parity 10% Target Volatility Index TR USD 3.5 5.3 15.0 16.4 10.7 26.2 2.2 10.3 8.8 3.0CPI (UNADJUSTED) 1.6 2.6 7.0 3.5 2.9 5.4 0.6 1.6 2.9 1.6CPI LOCAL (LA) 2.0 3.0 6.6 3.7 3.6 4.0 1.4 3.3 4.0 2.2CPI + 5% 2.9 5.1 12.4 8.7 8.1 10.6 5.7 6.7 8.0 6.7


Total FundExecutive Summary (Net of Fees) Period Ending: December 31, 2021

Total MarketValue

% ofPortfolio

DomesticEquity Large

Cap Core

DomesticEquity LargeCap Growth

DomesticEquity Large

Cap Value

DomesticEquity Small

Cap Core

InternationalEquity

DomesticFixed

IncomeCore

DomesticFixed

IncomeBank Loans

DomesticFixed

IncomeShort Term

DomesticFixed

Income RealReturn

Real Estate AlternativeInvestment

Cash andEquivalents

_

Total Domestic Equity Vanguard Institutional Index Ins $10,711,398 8.2% $10,711,398T. Rowe Price Large-Cap Growth Fund - I Class $5,104,646 3.9% $5,104,646Dodge & Cox Stock $5,277,989 4.0% $5,277,989Atlanta Capital Management Company $5,333,224 4.1% $5,333,224

Total International Equity Dodge & Cox Intl Stock $12,909,880 9.9% $12,909,880American Funds Europacific Growth R6 $12,667,938 9.7% $12,667,938

Total Domestic Fixed Metropolitan West Core Plus Fixed Income $32,116,099 24.5% $32,116,099Voya Senior Loan Fund $6,914,802 5.3% $6,914,802Vanguard Short-Term Investment Grade Inst $12,867,194 9.8% $12,867,194Vanguard Inflation-Protected Securities Inst $6,472,526 4.9% $6,472,526

Total Real Estate Invesco Core Real Estate $13,620,689 10.4% $13,620,689

Total Alternatives PanAgora Risk Parity Multi-Asset $6,899,765 5.3% $6,899,765

Cash First American Treasury Obligation Z $8,481 0.0% $8,481

Total $130,904,631 100.0% $10,711,398 $5,104,646 $5,277,989 $5,333,224 $25,577,818 $32,116,099 $6,914,802 $12,867,194 $6,472,526 $13,620,689 $6,899,765 $8,481XXXXX

Invesco Core Real Estate market value includes dividend payable. Total Fund does not include Pooled Cash.


Total FundAsset Allocation by Account Period Ending: December 31, 2021

TotalMarketValue

% ofPortfolio

DomesticEquity

Large CapCore

DomesticEquity

Large CapGrowth

DomesticEquity

Large CapValue

DomesticEquity

Small CapCore

International Equity

DomesticFixed

IncomeCore

DomesticFixed

IncomeBank Loans

DomesticFixed

IncomeShort Term

DomesticFixed

IncomeReal Return


Cash andEquivalents

_

Total Fund Total Domestic Equity

Vanguard Institutional Index Ins $10,711,398 8.1% $10,711,398T. Rowe Price Large-Cap Growth Fund - I Class $5,104,646 3.9% $5,104,646Dodge & Cox Stock $5,277,989 4.0% $5,277,989Atlanta Capital Management Company $5,333,224 4.0% $5,333,224






Pooled Cash $1,336,000 1.0% $1,336,000Total $132,240,631 100.0% $10,711,398 $5,104,646 $5,277,989 $5,333,224 $25,577,818 $32,116,099 $6,914,802 $12,867,194 $6,472,526 $13,620,689 $6,899,765 $1,344,481

Total Fund with Pooled CashAsset Allocation by Account with Pooled Cash Period Ending: December 31, 2021

Invesco Core Real Estate market value includes dividend payable.


Attribution SummaryLast Three Months

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

InteractionEffects

TotalEffects

Total Domestic Equity 9.0% 8.7% 0.3% 0.1% 0.0% 0.0% 0.0%Total International Equity 0.6% 1.8% -1.2% -0.2% 0.0% 0.0% -0.2%Total Domestic Fixed 0.1% 0.2% -0.1% 0.0% 0.0% 0.0% -0.1%Total Real Estate 5.6% 7.7% -2.1% -0.2% 0.0% 0.0% -0.2%Total Alternatives 3.0% 3.5% -0.5% 0.0% 0.0% 0.0% 0.0%Total 2.6% 3.2% -0.5% -0.5% -0.1% 0.0% -0.5%

Weighted returns shown in attribution analysis may differ from actual returns.

Performance AttributionQuarter YTD

Wtd. Actual Return 2.64% 8.99%Wtd. Index Return * 3.16% 9.30%Excess Return -0.52% -0.31%Selection Effect -0.46% -0.20%Allocation Effect -0.07% -0.10%Interaction Effect 0.00% -0.01%

*Calculated from benchmark returns and weightings of each component.

Total FundAttribution Analysis - Asset Class Level (Net of Fees) Period Ending: December 31, 2021


Anlzd StandardDeviation Anlzd Alpha Beta R-Squared Up Mkt

Capture RatioDown Mkt

Capture RatioInformation

Ratio Tracking Error Sharpe Ratio_

Total Fund 8.35% -1.11% 1.08 0.99 103.65% 110.34% -0.16 1.07% 1.23

Total Domestic Equity 18.25% -2.71% 1.04 0.98 97.72% 104.73% -0.66 2.62% 1.28

Total International Equity 20.07% -0.42% 1.17 0.98 123.01% 111.50% 0.44 4.05% 0.70

Total Domestic Fixed 3.12% 1.44% 0.77 0.70 91.51% 66.37% 0.17 1.89% 1.33

Total Real Estate 6.62% -1.65% 0.96 0.86 90.34% 300.69% -0.81 2.50% 0.94

Total FundRisk Analysis - 3 Years (Net of Fees) Period Ending: December 31, 2021


Total FundRolling Risk Statistics (Net of Fees) Period Ending: December 31, 2021



Total FundRolling Performance Relative to Policy (Net of Fees) Period Ending: December 31, 2021

Page excludes managers with less than 5 years of history.

Anlzd StandardDeviation Anlzd Alpha Beta R-Squared Up Mkt

Capture RatioDown Mkt

Capture RatioInformation

Ratio Tracking Error Sharpe Ratio_

Vanguard Institutional Index Ins 15.39% -0.03% 1.00 1.00 99.88% 100.03% -2.77 0.01% 1.13

T. Rowe Price Large-Cap Growth Fund - IClass 16.38% 1.73% 0.96 0.94 93.04% 90.09% 0.17 4.06% 1.52

Dodge & Cox Stock 19.14% 1.48% 1.13 0.96 128.18% 104.49% 0.66 4.49% 0.68

Atlanta Capital Management Company 16.46% 5.16% 0.75 0.89 78.11% 80.87% 0.28 7.59% 0.79

Dodge & Cox Intl Stock 19.42% -4.97% 1.26 0.93 123.42% 119.96% -0.38 6.44% 0.31

American Funds Europacific Growth R6 15.70% 2.93% 1.03 0.95 115.34% 96.20% 0.93 3.50% 0.75

Metropolitan West Core Plus Fixed Income 3.03% 0.51% 0.98 0.98 103.02% 89.97% 0.97 0.45% 0.95

Voya Senior Loan Fund 6.45% -0.71% 0.95 0.99 86.99% 100.73% -1.43 0.67% 0.35

Vanguard Short-Term Investment Grade Inst 2.24% -0.09% 0.99 0.98 94.94% 93.58% -0.36 0.30% 0.76

Vanguard Inflation-Protected Securities Inst 3.39% 0.15% 0.95 0.98 95.94% 94.71% -0.26 0.47% 1.21

Invesco Core Real Estate 5.47% -0.98% 0.96 0.87 91.47% 300.69% -0.68 1.99% 1.14XXXXX

Total FundRisk Analysis by Manager - 5 Years (Net of Fees) Period Ending: December 31, 2021




Fiscal2020

Fiscal2019

Fiscal2018

Fiscal2017 Inception Inception

Date_

Total Domestic Equity 9.0 8.4 26.6 24.3 17.7 44.8 4.4 8.9 15.3 22.5Vanguard Institutional Index Ins 10,711,398 40.5 11.0 11.7 28.7 26.0 18.4 40.8 7.5 10.4 14.3 17.9 18.9 May-18

S&P 500 11.0 11.7 28.7 26.1 18.5 40.8 7.5 10.4 14.4 17.9 18.9 May-18T. Rowe Price Large-Cap Growth Fund - I Class 5,104,646 19.3 6.1 5.6 23.2 30.2 26.0 47.0 20.5 10.0 29.1 31.5 22.5 May-18

Russell 1000 Growth 11.6 12.9 27.6 34.1 25.3 42.5 23.3 11.6 22.5 20.4 24.9 May-18Dodge & Cox Stock 5,277,989 20.0 5.9 4.5 31.7 20.8 14.1 58.9 -6.2 4.1 11.9 28.6 10.0 Aug-00

Russell 1000 Value 7.8 6.9 25.2 17.6 11.2 43.7 -8.8 8.5 6.8 15.5 7.7 Aug-00Atlanta Capital Management Company 5,333,224 20.2 11.0 8.8 20.2 18.9 14.2 36.2 -3.9 9.7 18.3 14.8 16.0 Jun-09

Russell 2000 2.1 -2.3 14.8 20.0 12.0 62.0 -6.6 -3.3 17.6 24.6 14.1 Jun-09Russell 2500 3.8 1.0 18.2 21.9 13.8 57.8 -4.7 1.8 16.2 19.8

XXXXX

Dodge & Cox Stock Inception: 8/31/2000. Vanguard Growth Index Ins and Atlanta Capital Management Company Inception: 6/30/2009. Dodge & Cox separate account performance shown prior to 6/19/2009. Effective 3/1/2015 Atlanta SMIDCap strategy changed to Atlanta Small Cap Core strategy. Vanguard Growth Index Ins liquidated 5/29/2018. Vanguard Institutional Index Ins and T. Rowe Price Instl Large Cap Growth funded 5/30/2018.

Total Domestic EquityPerformance Summary (Net of Fees) Period Ending: December 31, 2021




Fiscal2020

Fiscal2019

Fiscal2018


Date_

Total International Equity 0.6 -2.2 6.9 14.9 10.1 40.5 -4.1 0.8 4.9 26.2Dodge & Cox Intl Stock 12,909,880 50.5 2.4 -1.0 11.0 11.6 7.2 40.4 -11.3 -0.3 0.5 30.4 6.6 Sep-04

MSCI ACWI ex USA 1.8 -1.2 7.8 13.2 9.6 35.7 -4.8 1.3 7.3 20.5 6.5 Sep-04American Funds Europacific Growth R6 12,667,938 49.5 -1.1 -3.4 2.8 18.0 12.9 40.1 3.2 1.9 9.3 22.2 8.9 Feb-12

MSCI ACWI ex USA 1.8 -1.2 7.8 13.2 9.6 35.7 -4.8 1.3 7.3 20.5 6.2 Feb-12XXXXX

Dodge & Cox Intl Stock Inception: 9/30/2004. American Funds Europacific Growth R6 Inception: 2/24/2012. Dodge & Cox separate account performance shown prior to 6/19/2009.

Total International EquityPerformance Summary (Net of Fees) Period Ending: December 31, 2021


Metropolitan West Core Plus Fixed Income Inception: 7/31/2000. Vanguard Inflation-Protected Securities Ins Inception: 6/30/2011. Voya Senior Loan Fund Inception: 6/27/2014. Vanguard Inflation-Protected Securities underwent share classchange on 4/27/2016. Vanguard Short-Term Investment Grade funded 3/27/2017. Vanguard Short-Term Investment Grade and Vanguard Inflation-Protected Securities underwent share class change on 5/27/2020.



Fiscal2020

Fiscal2019

Fiscal2018


Date_

Total Domestic Fixed 0.1 0.5 0.4 5.1 3.7 2.9 6.3 6.0 1.2 0.9Metropolitan West Core Plus Fixed Income 32,116,099 55.0 -0.1 0.0 -1.1 5.3 4.0 1.1 8.8 7.8 0.3 0.6 5.5 Jul-00

Bloomberg US Aggregate TR 0.0 0.1 -1.5 4.8 3.6 -0.3 8.7 7.9 -0.4 -0.3 4.7 Jul-00Voya Senior Loan Fund 6,914,802 11.8 0.6 1.7 4.4 4.4 3.3 9.9 -3.1 3.4 3.9 5.8 3.4 Jun-14

S&P/LSTA Leveraged Loan Index 0.7 1.9 5.2 5.6 4.3 11.7 -2.0 4.0 4.4 7.4 3.9 Jun-14Vanguard Short-Term Investment Grade Inst 12,867,194 22.0 -0.7 -0.5 -0.2 3.6 2.8 2.2 5.0 5.5 0.3 1.3 2.5 May-20

Bloomberg US Credit 1-5 Yr TR -0.7 -0.6 -0.6 3.7 2.9 1.8 5.4 6.1 0.1 1.3 2.0 May-20Vanguard Inflation-Protected Securities Inst 6,472,526 11.1 2.2 4.0 5.7 8.3 5.2 6.5 8.1 4.7 1.9 -0.8 7.3 May-20

Bloomberg US TIPS TR 2.4 4.2 6.0 8.4 5.3 6.5 8.3 4.8 2.1 -0.6 7.3 May-20XXXXX

Total Domestic FixedPerformance Summary (Net of Fees) Period Ending: December 31, 2021




Fiscal2020

Fiscal2019

Fiscal2018


Date_

Total Real Estate 5.6 13.3 19.9 7.2 7.4 6.7 0.3 5.8 7.0 7.3Invesco Core Real Estate 13,620,689 100.0 5.6 13.3 19.9 7.2 7.4 6.7 0.3 5.8 7.0 7.3 9.2 Oct-12

NCREIF-ODCE 8.0 15.1 22.2 9.2 8.7 8.0 2.2 6.4 8.4 7.9 10.4 Oct-12NCREIF ODCE Net 7.7 14.6 21.1 8.2 7.8 7.1 1.3 5.5 7.5 6.9

XXXXX

Invesco Core Real Estate Inception: 10/1/2012. Invesco Core Real Estate market value includes dividend payable.

Total Real EstatePerformance Summary (Net of Fees) Period Ending: December 31, 2021


PIMCO All Asset Ins Inception: 5/28/2013. PIMCO liquidated 11/9/2020. PanAgora funded 11/16/2020.



Fiscal2020

Fiscal2019

Fiscal2018


Date_

Total Alternatives 3.0 3.5 9.0 9.0 7.0 18.3 -2.2 5.0 4.2 10.8PanAgora Risk Parity Multi-Asset 6,899,765 100.0 3.0 3.5 9.0 -- -- -- -- -- -- -- 13.2 Nov-20

S&P Risk Parity 10% Target Volatility Index TR USD 3.5 5.3 15.0 -- -- -- -- -- -- -- 19.8 Nov-2060% MSCI ACWI Net/40% Bloomberg Global Aggregate 3.7 2.7 8.8 -- -- -- -- -- -- --

XXXXX


Total AlternativesPerformance Summary (Net of Fees) Period Ending: December 31, 2021

Name Asset Class Identifier Fee Schedule Market Value Estimated FeeValue Estimated Fee

Vanguard Institutional Index Ins Domestic Equity VINIX 0.04% of Assets $10,711,398 $3,749 0.04%T. Rowe Price Large-Cap Growth Fund - I Class Domestic Equity TRLGX 0.56% of Assets $5,104,646 $28,586 0.56%Dodge & Cox Stock Domestic Equity DODGX 0.52% of Assets $5,277,989 $27,446 0.52%

Atlanta Capital Management Company Domestic Equity0.80% of First 50.0 Mil,0.70% of Next 105.0 Mil,0.60% of Next 255.0 Mil

$5,333,224 $42,666 0.80%

Dodge & Cox Intl Stock International Equity DODFX 0.63% of Assets $12,909,880 $81,332 0.63%American Funds Europacific Growth R6 International Equity RERGX 0.46% of Assets $12,667,938 $58,273 0.46%

Metropolitan West Core Plus Fixed Income Domestic Fixed Income0.35% of First 25.0 Mil,0.25% of Next 75.0 Mil,0.20% of Next 100.0 Mil

$32,116,099 $105,290 0.33%

Voya Senior Loan Fund Domestic Fixed Income 0.45% of Assets $6,914,802 $31,117 0.45%Vanguard Short-Term Investment Grade Inst Domestic Fixed Income VFSIX 0.07% of Assets $12,867,194 $9,007 0.07%Vanguard Inflation-Protected Securities Inst Domestic Fixed Income VIPIX 0.07% of Assets $6,472,526 $4,531 0.07%Invesco Core Real Estate Real Estate 1.10% of Assets $13,620,689 $149,828 1.10%PanAgora Risk Parity Multi-Asset Alternatives 0.35% of Assets $6,899,765 $24,149 0.35%First American Treasury Obligation Z Cash and Equivalents FUZXX 0.18% of Assets $8,481 $15 0.18%Total $130,904,631 $565,988 0.43%

XXXXX

Does not include Pooled Cash. Invesco Core Real Estate market value includes dividend payable. First American Treasury Obligation expense ratio is discounted to fund's actual yield when below 20 bps. Mutual fund fees shown are sourcedfrom Morningstar and are as of the most current prospectus.

Total FundInvestment Fund Fee Analysis Period Ending: December 31, 2021



Total FundAsset Allocation History Period Ending: December 31, 2021


Total FundPeer Universe Comparison: Cumulative Performance (Gross of Fees) Period Ending: December 31, 2021

Total FundPeer Universe Comparison: Consecutive Periods (Gross of Fees) Period Ending: December 31, 2021



Total FundPeer Universe Comparison: Asset Allocation Period Ending: December 31, 2021

Data Sources & Methodology Period Ending: December 31, 2021


Glossary

Allocation Effect: An attribution effect that describes the amount attributable to the managers' asset allocation decisions, relative to the benchmark.

Alpha: The excess return of a portfolio after adjusting for market risk. This excess return is attributable to the selection skill of the portfolio manager. Alpha is calculated as: Portfolio Return ‐ [Risk‐free Rate + Portfolio Beta x (Market Return ‐ Risk‐free Rate)].

Benchmark R‐squared: Measures how well the Benchmark return series fits the manager's return series. The higher the Benchmark R‐squared, the more appropriate the benchmark is for the manager. Beta: A measure of systematic, or market risk; the part of risk in a portfolio or security that is attributable to general market movements. Beta is calculated by dividing the covariance of a security by the variance of the market.

Book‐to‐Market: The ratio of book value per share to market price per share. Growth managers typically have low book‐to‐market ratios while value managers typically have high book‐to‐market ratios.

Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investment manager performed relative to an

index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager's returns by the returns of the index during the up/down market,

and multiplying that factor by 100.

Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities move in lock step, a correlation of ‐1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits of diversification when constructing an investment

portfolio.

Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usually expressed as a percentage and may be annualized over a number of years or represent a single period.

Information Ratio: A measure of a manager's ability to earn excess return without incurring additional risk. Information ratio is calculated as: excess return divided by tracking error.

Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect. This can also be explained as an effect that cannot be easily traced to a source.

Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategy while high portfolio turnover implies a more active form of management.

Price‐to‐Earnings Ratio (P/E): Also called the earnings multiplier, it is calculated by dividing the price of a company's stock into earnings per share. Growth managers typically hold stocks with high price‐to‐earnings ratios whereas value managers hold stocks with low price‐to‐earnings ratios.

R‐Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to a benchmark. In the case of investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio's benchmark.

Selection Effect: An attribution effect that describes the amount attributable to the managers' stock selection decisions, relative to the benchmark.

Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher the Sharpe Ratio, the more efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation.

Sortino Ratio: Measures the risk‐adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below a specified benchmark. The Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio.

Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in the series differ from the arithmetic mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two‐thirds of the time, one would expect to receive an annual rate of return between 5% and 15%.

Style Analysis: A return based analysis designed to identify combinations of passive investments to closely replicate the performance of funds

Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two‐dimensional plane. This is simply a way of viewing the asset loadings in a different context. The coordinates are calculated by rescaling the asset loadings to range from ‐1 to 1 on each axis and are dependent on the Style Indices comprising the Map.

Disclaimer

This report contains confidential and proprietary information and is subject to the terms and conditions of the Consulting Agreement. It is being provided for use solely by the customer. The report may not be sold or otherwise provided, in whole or in part, to any other person or entity without written permission from Verus Advisory, Inc., (hereinafter Verus) or as required by law or any regulatory authority. The information presented does not constitute a recommendation by Verus and cannot be used for advertising or sales promotion purposes. This does not constitute an offer or a solicitation of an offer to buy or sell securities, commodities or any other financial instruments or products.

The information presented has been prepared using data from third party sources that Verus believes to be reliable. While Verus exercised reasonable professional care in preparing the report, it cannot guarantee the accuracy of the information provided by third party sources. Therefore, Verus makes no representations or warranties as to the accuracy of the information presented. Verus takes no responsibility or liability (including damages) for any error, omission, or inaccuracy in the data supplied by any third party. Nothing contained herein is, or should be relied on as a promise, representation, or guarantee as to future performance or a particular outcome. Even with portfolio diversification, asset allocation, and a long‐term approach, investing involves risk of loss that the investor should be prepared to bear.

The information presented may be deemed to contain forward‐looking information. Examples of forward looking information include, but are not limited to, (a) projections of or statements regarding return on investment, future earnings, interest income, other income, growth prospects, capital structure and other financial terms, (b) statements of plans or objectives of management, (c) statements of future economic performance, and (d) statements of assumptions, such as economic conditions underlying other statements. Such forward‐looking information can be identified by the use of forward looking terminology such as believes, expects, may, will, should, anticipates, or the negative of any of the foregoing or other variations thereon comparable terminology, or by discussion of strategy. No assurance can be given that the future results described by the forward‐looking information will be achieved. Such statements are subject to risks, uncertainties, and other factors which could cause the actual results to differ materially from future results expressed or implied by such forward looking information. The findings, rankings, and opinions expressed herein are the intellectual property of Verus and are subject to change without notice. The information presented does not claim to be all‐inclusive, nor does it contain all information that clients may desire for their purposes. The information presented should be read in conjunction with any other material provided by Verus, investment managers, and custodians.

Verus will make every reasonable effort to obtain and include accurate market values. However, if managers or custodians are unable to provide the reporting period's market values prior to the report issuance, Verus may use the last reported market value or make estimates based on the manager's stated or estimated returns and other information available at the time. These estimates may differ materially from the actual value. Hedge fund market values presented in this report are provided by the fund manager or custodian. Market values presented for private equity investments reflect the last reported NAV by the custodian or manager net of capital calls and distributions as of the end of the reporting period. These values are estimates and may differ materially from the investments actual value. Private equity managers report performance using an internal rate of return (IRR), which differs from the time‐weighted rate of return (TWRR) calculation done by Verus. It is inappropriate to compare IRR and TWRR to each other. IRR figures reported in the illiquid alternative pages are provided by the respective managers, and Verus has not made any attempts to verify these returns. Until a partnership is liquidated (typically over 10‐12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not known until the final liquidation.

Verus receives universe data from InvMetrics, eVestment Alliance, and Morningstar. We believe this data to be robust and appropriate for peer comparison. Nevertheless, these universes may not be comprehensive of all peer investors/managers but rather of the investors/managers that comprise that database. The resulting universe composition is not static and will change over time. Returns are annualized when they cover more than one year. Investment managers may revise their data after report distribution. Verus will make the appropriate correction to the client account but may or may not disclose the change to the client based on the materiality of the change.

Policy Index as of 11/1/2020: 8% S&P 500, 4% Russell 1000 Value, 4% Russell 1000 Growth, 4% Russell 2000, 20% MSCI ACWI ex USA, 25% Bloomberg US Aggregate, 5% Bloomberg US TIPS, 10% Bloomberg US 1-5 Yr Credit, 5%S&P/LSTA Leveraged Loan, 10% NCREIF-ODCE, 5% S&P Risk Parity 10% Target Volatility Index. On 7/1/2019 NCREIF-ODCE Index in the policy index changed from gross to net. FY: 6/30. Pooled Cash not included in Total Fund calculation.CPI LOCAL (LA) included Los Angeles-Riverside-Orange County until 12/31/2017. Effective 1/1/2018 due to geographical revisions, CPI LOCAL (LA) includes Los Angeles-Long Beach-Anaheim. Effective 3/1/2015 Atlanta SMID Cap strategychanged to Atlanta Small Cap Core strategy. Vanguard Growth Index Ins liquidated 5/29/2018. T. Rowe Price Instl Large Cap Growth Ins and Vanguard Institutional Index Ins funded 5/30/2018. Vanguard Short-Term Investment Grade Admchanged share classes to Vanguard Short-Term Investment Grade Inst on 5/27/2020. Vanguard Inflation-Protected Securities Adm changed share classes to Vanguard Inflation-Protected Securities Inst on 5/27/2020. PIMCO All Asset Insliquidated 11/9/2020. PanAgora Risk Parity Multi-Asset funded 11/10/2020. All data is preliminary.

Current % Policy %_

Domestic Equity LargeCap Core $10,156,546 8.0% $10,160,490 8.0%

Domestic Equity LargeCap Growth $4,566,548 3.6% $5,080,245 4.0%

Domestic Equity LargeCap Value $5,343,625 4.2% $5,080,245 4.0%

Domestic Equity SmallCap Core $4,945,838 3.9% $5,080,245 4.0%

International Equity $24,624,516 19.4% $25,401,225 20.0%Domestic FixedIncome Core $31,289,735 24.6% $31,751,532 25.0%

Domestic FixedIncome Bank Loans $6,933,892 5.5% $6,350,306 5.0%

Domestic FixedIncome Short Term $12,367,181 9.7% $12,700,613 10.0%

Domestic FixedIncome Real Return $6,249,312 4.9% $6,350,306 5.0%

Real Estate $13,620,689 10.7% $12,700,613 10.0%Alternative Investment $6,899,765 5.4% $6,350,306 5.0%Cash and Equivalents $8,481 0.0% $0 0.0%Total $127,006,127 100.0% $127,006,127 100.0%

XXXXX

Market Value % ofPortfolio 1 Mo QTD Fiscal

YTD 1 Yr 3 Yrs 5 Yrs_

Total Fund 127,006,127 100.0 -2.2 -2.2 0.6 7.0 9.0 7.6Policy Index -2.8 -2.8 0.5 6.3 9.0 7.5Total Domestic Equity 25,012,556 19.7 -5.4 -5.4 2.6 20.1 18.8 15.9

S&P 500 -5.2 -5.2 5.9 23.3 20.7 16.8Vanguard Institutional Index Ins 10,156,546 8.0 -5.2 -5.2 5.9 23.2 20.7 16.8

S&P 500 -5.2 -5.2 5.9 23.3 20.7 16.8T. Rowe Price Large-Cap Growth Fund - IClass 4,566,548 3.6 -10.5 -10.5 -5.5 9.2 21.3 22.0

Russell 1000 Growth -8.6 -8.6 3.2 17.5 26.4 22.3Dodge & Cox Stock 5,343,625 4.2 1.2 1.2 5.8 33.7 18.0 13.9

Russell 1000 Value -2.3 -2.3 4.4 23.4 13.8 10.5Atlanta Capital Management Company 4,945,838 3.9 -7.3 -7.3 0.9 11.4 13.3 12.6

Russell 2000 -9.6 -9.6 -11.7 -1.2 12.0 9.7Russell 2500 -8.3 -8.3 -7.4 5.8 14.2 11.5

Total International Equity 24,624,516 19.4 -2.2 -2.2 -4.3 5.8 11.1 8.7MSCI ACWI ex USA -3.7 -3.7 -4.9 3.6 9.1 8.0MSCI EAFE -4.8 -4.8 -2.7 7.0 9.3 7.8Dodge & Cox Intl Stock 12,890,087 10.1 3.0 3.0 2.0 15.2 9.7 6.9

MSCI ACWI ex USA -3.7 -3.7 -4.9 3.6 9.1 8.0American Funds Europacific Growth R6 11,734,429 9.2 -7.4 -7.4 -10.6 -3.2 12.0 10.2

MSCI ACWI ex USA -3.7 -3.7 -4.9 3.6 9.1 8.0Total Domestic Fixed 56,840,120 44.8 -1.5 -1.5 -1.0 -1.0 4.1 3.4

Bloomberg US Aggregate TR -2.2 -2.2 -2.1 -3.0 3.7 3.1Metropolitan West Core Plus FixedIncome 31,289,735 24.6 -2.0 -2.0 -2.0 -2.5 4.3 3.5

Bloomberg US Aggregate TR -2.2 -2.2 -2.1 -3.0 3.7 3.1Voya Senior Loan Fund 6,933,892 5.5 0.3 0.3 2.0 3.7 3.7 3.3

S&P/LSTA Leveraged Loan Index 0.4 0.4 2.2 4.3 4.9 4.2

Pasadena Fire & Police Retirement SystemExecutive Summary - Preliminary (Net of Fees) Period Ending: January 31, 2022


Item: 11dDate: 02/16/22

Policy Index as of 11/1/2020: 8% S&P 500, 4% Russell 1000 Value, 4% Russell 1000 Growth, 4% Russell 2000, 20% MSCI ACWI ex USA, 25% Bloomberg US Aggregate, 5% Bloomberg US TIPS, 10% Bloomberg US 1-5 Yr Credit, 5%S&P/LSTA Leveraged Loan, 10% NCREIF-ODCE, 5% S&P Risk Parity 10% Target Volatility Index. On 7/1/2019 NCREIF-ODCE Index in the policy index changed from gross to net. FY: 6/30. Pooled Cash not included in Total Fund calculation.CPI LOCAL (LA) included Los Angeles-Riverside-Orange County until 12/31/2017. Effective 1/1/2018 due to geographical revisions, CPI LOCAL (LA) includes Los Angeles-Long Beach-Anaheim. Effective 3/1/2015 Atlanta SMID Cap strategychanged to Atlanta Small Cap Core strategy. Vanguard Growth Index Ins liquidated 5/29/2018. T. Rowe Price Instl Large Cap Growth Ins and Vanguard Institutional Index Ins funded 5/30/2018. Vanguard Short-Term Investment Grade Admchanged share classes to Vanguard Short-Term Investment Grade Inst on 5/27/2020. Vanguard Inflation-Protected Securities Adm changed share classes to Vanguard Inflation-Protected Securities Inst on 5/27/2020. PIMCO All Asset Insliquidated 11/9/2020. PanAgora Risk Parity Multi-Asset funded 11/10/2020. All data is preliminary.

Pasadena Fire & Police Retirement SystemExecutive Summary - Preliminary (Net of Fees) Period Ending: January 31, 2022


Market Value % ofPortfolio 1 Mo QTD Fiscal

YTD 1 Yr 3 Yrs 5 Yrs_

Vanguard Short-Term Investment GradeInst 12,367,181 9.7 -1.2 -1.2 -1.7 -1.5 2.9 2.5

Bloomberg US Credit 1-5 Yr TR -1.2 -1.2 -1.7 -1.7 2.9 2.6Vanguard Inflation-Protected SecuritiesInst 6,249,312 4.9 -1.9 -1.9 2.0 3.3 7.1 4.6

Bloomberg US TIPS TR -2.0 -2.0 2.0 3.5 7.2 4.7Total Real Estate 13,620,689 10.7 NA NA 13.3 19.9 7.2 7.4

NCREIF-ODCE NA NA 15.1 22.2 9.2 8.7NCREIF ODCE Net NA NA 14.6 21.1 8.2 7.8NCREIF Property Index NA NA 11.7 17.7 8.4 7.8Invesco Core Real Estate 13,620,689 10.7 NA NA 13.3 19.9 7.2 7.4

NCREIF-ODCE NA NA 15.1 22.2 9.2 8.7NCREIF ODCE Net NA NA 14.6 21.1 8.2 7.8

Total Alternatives 6,899,765 5.4 NA NA 3.5 9.3 7.4 6.5S&P Risk Parity 10% Target VolatilityIndex TR USD -1.3 -1.3 4.0 13.2 13.8 10.5

CPI LOCAL (LA) NA NA 3.0 6.3 3.4 3.4CPI + 5% NA NA 5.1 11.4 8.5 7.8PanAgora Risk Parity Multi-Asset 6,899,765 5.4 NA NA 3.5 9.3 -- --

S&P Risk Parity 10% Target VolatilityIndex TR USD -1.3 -1.3 4.0 13.2 -- --

60% MSCI ACWI Net/40% BloombergGlobal Aggregate -3.8 -3.8 -1.1 5.3 -- --

Cash 8,481 0.0 0.0 0.0 0.0 0.0 0.8 1.0FTSE T-Bill 3 Months TR 0.0 0.0 0.0 0.0 0.9 1.1First American Treasury Obligation Z 8,481 0.0 0.0 0.0 0.0 0.0 0.8 1.0

FTSE T-Bill 3 Months TR 0.0 0.0 0.0 0.0 0.9 1.1XXXXX

Pasadena Fire & Police Retirement SystemExecutive Summary with Pooled Cash - Preliminary Period Ending: January 31, 2022


TotalMarketValue

% ofPortfolio

DomesticEquity

Large CapCore

DomesticEquity

Large CapGrowth

DomesticEquity

Large CapValue

DomesticEquity

Small CapCore

International Equity

DomesticFixed

IncomeCore

DomesticFixed

IncomeBank Loans

DomesticFixed

IncomeShort Term

DomesticFixed

IncomeReal Return


Cash andEquivalents

_

Total Fund Total Domestic Equity

Vanguard Institutional Index Ins $10,156,546 7.9% $10,156,546T. Rowe Price Large-Cap Growth Fund - I Class $4,566,548 3.6% $4,566,548Dodge & Cox Stock $5,343,625 4.2% $5,343,625Atlanta Capital Management Company $4,945,838 3.9% $4,945,838






Pooled Cash $1,351,000 1.1% $1,351,000Total $128,357,127 100.0% $10,156,546 $4,566,548 $5,343,625 $4,945,838 $24,624,516 $31,289,735 $6,933,892 $12,367,181 $6,249,312 $13,620,689 $6,899,765 $1,359,481

FEBRUARY 16, 2022

Annual Relationship Review


Item: 11eDate: 02/16/22

Objectives— Our mission is to support you in your fulfilment of your fiduciary duties, providing

thoughtful investment advice and responsive service. To ensure we’re achieving this mission, we value your feedback on our efforts.

— We will use this presentation to:

Share an update on Verus and your consulting team

Review and receive feedback on our work with you

Look ahead at your priorities, initiatives, and key projects

February 16, 2022Pasadena Fire & Police Retirement System 2

Verus update

— Expanded ownership group to 31 employees. 95% of senior consultants are shareholders.

— After establishing our “east coast” office in Pittsburgh, PA in May 2020, we continued to grow the footprint by adding three professionals in 2021 for a total of five.

— Our national client footprint now touches 23 states, with our recent additions of clients in Massachusetts, Illinois, and Texas.

— A result of strong markets and success in retaining several new clients, our assets under advisement is now $658 billion. Our OCIO business saw continued growth as well, surpassing $5 billion in assets.

— We completed the process to attain GIPS* certification for our OCIO performance composites. We have 17 unique composites, each of which are independently audited for accuracy. Our Endowment & Foundation and Taft‐Hartley composites now have >5‐year track records.

— We founded the Institutional Investing Diversity Cooperative in December 2020, leading a call to action in the consulting industry for disclosure of asset manager diversity data at the investment team level. The IIDC now represents 24 consulting firms with over $32 trillion in assets under advisement.

— Jeff MacLean, CEO was awarded the 2021 Knowledge Broker Award by CIO Magazine in September.

February 16, 2022Pasadena Fire & Police Retirement System

— Annie Taylor has been working with you since 2011.

— Annie Taylor will be celebrating her 19th anniversary with Verus this July

Annie leads Verus’ Taft‐Hartley Sector Team and serves on the OIC Committee.

She was appointed to the Management Committee in 2021.

— Tim Joo joined as a senior consulting associate in 2021.

*Global Investment Performance Standards

3

2021 BUSINESS UPDATE TEAM UPDATE

4

Our work with you this past year

— Presented portfolio duration summary

— Presented the closed public pension plan review, showing asset allocation and forecasted returns of the comparable universe


PORTFOLIO MILESTONES & PROBLEMS SOLVED THIS YEAR TRANSACTIONS

— Pooled cash funding: $12,700,000

— Rebalancing: $3,150,000

— Total: $15,850,000

Looking forward – 2022 plan— February 16

Annual relationship review

Pooled cash recommendation

— March

Active management environment review

Asset allocation study

Duration presentation

— May

Closed public pension plan review


— July

Investment manager and custodian bank fee analysis


Real assets outlook

— September


— October

— November

Liquidity analysis



Investment performance and transaction summary will be reviewed at each meeting

5

A B C D E F G H

Acct # Descriptions

ActualFor

Month

BudgetFor

Month

VarianceFor

Month

ActualYear To

DateBudget

Year To Date

VarianceYear To

Date1 System Revenue:2 668900 Miscellaneous Cash/Income 0 0 0 0 0 03 703200 City Cash Contributions 0 0 0 0 0 04 751000 Concord Asset Income 0 0 0 0 0 05 Total System Revenues 0 0 0 0 0 067 Expenses:8 800500/6000 Personnel Costs 22,677 25,466 2,789 131,321 144,381 13,0609 802200 Retiree Payroll 997,962 1,026,000 28,038 7,097,313 7,224,000 126,68710 Subtotal Pers./Retiree Payroll 1,020,639 1,051,466 30,827 7,228,633 7,368,381 139,7481112 Services & Supplies:13 810100 Materials and Supplies 0 63 63 410 438 2814 810700 Equipment Lease 132 133 1 926 933 715 810800 Computer Related Supplies - Software 0 0 0 0 0 016 810900 Small Equipment Purchases 0 0 0 0 0 017 811000 Outside Printing & Duplication 0 0 0 63 100 3718 811300 Equipment Maintenance 0 20 20 30 140 11019 812400 Dues and Memberships 0 500 500 0 760 76020 812700/2900 Conferences/Meetings - Board/Staff 0 83 83 100 583 48321 813500 Reference Materials - Subscriptions 0 0 0 0 0 022 813900 Water 0 26 26 32 181 14923 815600 Insurance 28 0 (28) 167 25,607 25,44024 Contract Services: 0 0 0 0 0 025 811400 Misc Services 0 0 0 0 0 026 811400 Actuarial Services 0 0 0 16,750 17,000 25027 811400 Asset Managers 0 0 0 0 0 028 811400 Auditing Services 0 0 0 49,875 49,875 029 811400 Payroll Services 539 623 84 3,795 4,360 56530 811400 Outside Legal Counsel 0 0 0 0 0 031 860700 Berwyn Group 0 0 0 300 300 032 Subtotal Contract Services 539 623 84 70,720 71,535 81533 Investment Expenses:34 814800 Misc/Other Fees 0 0 0 0 0 035 814800 Custodial Bank Svs 1,930 1,902 (28) 13,537 13,317 (220)36 814800 Investment Consultant Svs 10,000 10,000 0 70,000 70,000 037 Subtotal Investment Expenses 11,930 11,902 (28) 83,537 83,317 (220)38 Subtotal Services & Supplies 12,629 13,600 971 179,306 185,345 6,0393940 Internal Service Charges:41 814400 Postage 92 54 (38) 195 379 18442 860700 Printing 0 33 33 78 133 5543 861100 IS-Applic. Devel. & Support 0 0 0 0 0 044 861200 IS-PC Network Support 0 0 0 0 0 045 862600 Mail Services 13 13 0 25 88 6346 Subtotal Int. Service Charges 105 100 (5) 298 600 30247

Fire and Police Retirement Board

FY 2022Comparison of Actual to Budget

For the Month and Year Ended January 31, 2022

Administration and Operating Expenses

Item: 12Date: 02/16/22

A B C D E F G H

Acct # Descriptions

ActualFor

Month

BudgetFor

Month

VarianceFor

Month

ActualYear To

DateBudget

Year To Date

VarianceYear To

Date

Fire and Police Retirement Board

FY 2022Comparison of Actual to Budget

For the Month and Year Ended January 31, 2022

Administration and Operating Expenses

48 Equipment:49 850400 Equipment/Furniture 0 0 0 0 0 050 850600 Computer Equipment 0 0 0 0 0 051 Subtotal Equipment 0 0 0 0 0 05253 City Service Charges:54 860100/2000/3400 Struct Maint/Prev Maint/Sec 525 546 21 3,675 3,821 14655 860400 Utilities and Insurance 181 188 7 1,267 1,316 4956 860500 Housekeeping 155 161 6 1,085 1,130 4557 862200 Telephones 8 9 1 56 61 558 863600 DoIT Desktop Replacement Prog 30 31 1 210 215 559 Subtotal City Serv Charges 899 935 36 6,293 6,544 25160

61 Subtotal FPRS Admin Expenses 36,310 40,101 3,791 317,218 336,870 19,65262

63 Total FPRS Operating Expenses 1,034,271 1,066,101 31,830 7,414,530 7,560,870 146,340

64

65 City Legal Expenses (I. Safie) 0 42,927

Balance of FPRS Funds Actual for Actual forUS Bank - Beg. Of Month 130,800,388 Investment Expenses Month YTD Receipts 0 Atlanta Cap Qtly (USB) 10,666 31,967 Investment Income 0 MetWest Qtly (USB) 26,323 80,157 Disbursements 0 Invesco (USB) 34,052 96,369 Fees & Expenses 0 PanAgora (USB) 6,037 17,735 Net Chg in Unrealized Gain/Loss 0 Voya (USB) 2,634 18,056 Realized Gains/Losses 0 Class Action Fees (USB) 0 0US Bank - End Of Month* 127,006,127 Misc/Other 0 0Equity in Pooled Cash (100667) 1,351,862 US Bank** 1,930 13,537Concord Investment 0 Verus Investments 10,000 70,000Total FPRS Funds on Deposit 128,357,989 Total Investment Exp 91,642 327,822

* Note: Total is from Verus' January 31, 2022 Performance Update (Custodial Statements not available at time of posting).** Note: Custodial Statements not available at time of posting - estimated amount.

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