# EDGAR Filing Document

**Accession Number:** 0001447346
**File Stem:** 0001447346-23-000007
**Filing Date:** 2023-1
**Character Count:** 218961
**Document Hash:** 23c7ed0a35bd48538c93189be3bbfdf5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001447346-23-000007.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001447346-23-000007

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Global Multi-Sector Bond Fund, Inc.
- **CENTRAL INDEX KEY:** 0001447346
- **IRS NUMBER:** 263635029
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22243
- **FILM NUMBER:** 23561364

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T. Rowe Price Strategic Income Fund, Inc.
- **DATE OF NAME CHANGE:** 20081007

## Series and Classes Contracts Data

### T. Rowe Price Global Multi-Sector Bond Fund, Inc. (Series ID: S000024524)

| Class ID   | Class Name                                                 | Ticker Symbol   |
|:---|:---|:---|
| C000072749 | T. Rowe Price Global Multi-Sector Bond Fund, Inc.          | PRSNX           |
| C000072750 | T. Rowe Price Global Multi-Sector Bond Fund--Advisor Class | PRSAX           |
| C000169957 | T. Rowe Price Global Multi-Sector Bond Fund--I Class       | PGMSX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE GLOBAL MULTI-SECTOR BOND FUND, INC.

- **b. Investment Company Act file number:** 811-22243

- **c. CIK number of Registrant:** 0001447346

- **d. LEI of Registrant:** 549300VVUGFLLBROPG80

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

  - **Street Address 1:** 100 East Pratt Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21202

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price Global Multi-Sector Bond Fund, Inc.

- **b. EDGAR series identifier (if any):** S000024524

- **c. LEI of Series:** DZPNMRPE4CX3QYEF2U95

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1514742351.08

**Total Liabilities:** $188200521.03

**Net Assets:** $1326541830.05

**Stand-by Commitments:** $43768290.21

**Cash Not Reported:** $12950823.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -852.173053 | **1-Year:** -14868.624495 | **5-Year:** -38061.799790 | **10-Year:** -70296.025058 | **30-Year:** -8983.115327

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

- **3-Month:** 56038.895873 | **1-Year:** -10010.823288 | **5-Year:** 3055.960639 | **10-Year:** -22197.503142 | **30-Year:** -848.099692

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000169957 | -4.78%               | -1.53%               | 3.18%                |
| Class ID C000072750 | -4.81%               | -1.66%               | 3.14%                |
| Class ID C000072749 | -4.80%               | -1.64%               | 3.17%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-24252983.31            | $-51127235.77                              |
| Month 2  | $-48456005.60            | $39900989.94                               |
| Month 3  | $-15528086.29            | $73016849.50                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays Global-Aggregate Total Return Index Value Unhedged USD (Returns)

- **Index Identifier:** LEGATRUU

### Schedule of Portfolio Investments

| Name                                                 | Title                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| N/A                                                  | AUST 3YR BOND FUT DEC22                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        1531 | NC      | $726067.93    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                  | AUST 3YR BOND FUT DEC22                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           1 | NC      | $474.24       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Albania Government International Bond                | ALBANIA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: BS5203325<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     4345000 | PA      | $3620475.96   | 0.27%             | 2031-11-23      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Bank Negara Indonesia Persero Tbk PT                 | BANK NEGARA INDONESIA PERSERO TBK PT                                          | CUSIP: BO7338565<br>LEI: 549300HZ8J3MLVXQ8F85 | Long             | DBT              | CORP              | ID        |     2400000 | PA      | $2181434.57   | 0.16%             | 2026-03-30      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Tower Bersama Infrastructure Tbk PT                  | TOWER BERSAMA INFRASTRUCTURE TBK PT                                           | CUSIP: BN4505226<br>LEI: 213800ELUARKGNPAPY10 | Long             | DBT              | CORP              | ID        |     3380000 | PA      | $3041999.80   | 0.23%             | 2026-01-20      | Fixed         | 2.75%                 | No            | 2                  | On Loan: —       |
| Manila Water Co Inc                                  | MANILA WATER CO INC                                                           | CUSIP: BK6310977<br>LEI: 5493004SJIK0GOUIZM45 | Long             | DBT              | CORP              | PH        |     4800000 | PA      | $4072320.00   | 0.31%             | 2030-07-30      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                  | US ULTRA BOND CBT MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         165 | NC      | $369727.05    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/PHP FWD 20221209 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3031.60      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK                                        | INR/USD FWD 20230119 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | IN        |           1 | NC      | $-2233.75     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED SECURITIES                        | MYR/USD FWD 20221209 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $-35493.93    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | PHP/USD FWD 20230310 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | PH        |           1 | NC      | $-6299.45     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK                                        | HUF/USD FWD 20230113 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-1552583.89  | -0.12%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | PHP/USD FWD 20221209 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | PH        |           1 | NC      | $-327734.87   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | JPY/USD FWD 20230120 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $515914.70    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | JPY/USD FWD 20230120 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $244368.16    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | US 10YR NOTE (CBT)MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         672 | NC      | $597542.40    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                  | US 2YR NOTE (CBT) MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        2256 | NC      | $1234457.48   | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| GOLDMAN SACHS & CO                                   | USD/CNH FWD 20221216 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $88035.38     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | USD/BRL FWD 20230302 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-174526.63   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | MRIYA FARMING RECOVERY CERTIFICATES                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |      127586 | NS      | $13.28        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| N/A                                                  | MRIYA FARMING B ORDINARY SHS PP                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |         773 | NS      | $0.09         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| N/A                                                  | BONA FIDE INVSTMNT HLDNG LLC A                                                | CUSIP: TC1FCHS82<br>LEI: N/A                  | Long             | EC               | CORP              | US        |           0 | NS      | $655981.00    | 0.05%             |  |  |  | Yes           | N/A                | On Loan: No      |
| N/A                                                  | EURO-BUND FUTURE DEC22                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          35 | NC      | $-148609.46   | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| CITIBANK N A                                         | RSD/USD FWD 20221216 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | RS        |           1 | NC      | $-118092.80   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | CAD/USD FWD 20230120 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $369124.72    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| RBC DOMINION SECURITIES INC                          | JPY/USD FWD 20230120 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $219813.08    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | MXN/USD FWD 20230113 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $27616.87     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | USD/MXN FWD 20230113 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-499749.90   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | AUD/USD FWD 20230120 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | AU        |           1 | NC      | $4283.21      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | CAD/USD FWD 20230120 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-329987.21   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | USD/CLP FWD 20230119 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $237631.12    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | USD/BRL FWD 20221202 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $172103.85    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | THB/USD FWD 20221209 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-1070082.56  | -0.08%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | ZAR/USD FWD 20230113 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | ZA        |           1 | NC      | $329620.96    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | EURO-BOBL FUTURE DEC22                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         -51 | NC      | $-78065.30    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| UBS SECURITIES LLC                                   | CHF/USD FWD 20230120 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CH        |           1 | NC      | $2467700.89   | 0.19%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/CHF FWD 20230120 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-254461.96   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                         | CLP/USD FWD 20230119 WFBIUS6W                                                 | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $228416.35    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED SECURITIES                        | USD/MYR FWD 20221209 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |           1 | NC      | $263655.40    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | USD/SEK FWD 20230224 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $34926.75     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LCH - EUR IRS 11/30/32 REC FIX                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $4225.02      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LCH - EUR IRS 11/30/32 REC FIX                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $6982.86      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | BASF SE CDS 06/20/2027                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $26673.65     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS & CO                                   | POST HOLDINGS INC CDS 12/20/2027                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-42036.23    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Iron Mountain Inc                                    | ICE_IRON MOUNTAIN INC CDS 12/20/2027                                          | CUSIP: 000000000<br>LEI: SQL3F6CKNNBM3SQGHX24 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-70592.17    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LCH - EUR IRS 11/23/32 REC FIX                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $124556.92    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | FXO_USD_OTC_E_CALL_CAD_USD_K_1.358_EFF_2022-11-14_MAT_2023-02-10              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $290084.10    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | FXO_USD_OTC_E_CALL_EUR_USD_K_0.987_EFF_2022-11-14_MAT_2023-01-06              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $62378.21     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | FXO_USD_OTC_E_CALL_EUR_USD_K_0.9875_EFF_2022-11-11_MAT_2022-12-30             | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $45056.62     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | FXO_USD_OTC_E_CALL_EUR_USD_K_0.97_EFF_2022-11-10_MAT_2022-12-30               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20157.99     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LANXESS AG                                           | ICE_LANXESS AG CDS 12/20/2027                                                 | CUSIP: 000000000<br>LEI: 529900PTLRE72EMYIJ77 | N/A              | DCR              | CORP              | US        |           1 | NC      | $305909.85    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | ICE_ITRX XOVER CDSI S38 5Y 12/20/2027                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2152779.38  | -0.16%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | ICE_ITRX EUR SNRFIN CDSI S38 5Y 12/20/2027                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $-61941.25    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| BASF SE                                              | ICE_BASF SE CDS 06/20/2027                                                    | CUSIP: 000000000<br>LEI: 529900PM64WH8AF1E917 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-26673.34    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - CZK IRS 6/22/27 REC FIX                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $309043.01    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - CZK IRS 6/22/27 REC FIX                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $150361.85    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - CZK IRS 6/21/27 REC FIX                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $137428.60    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - CZK IRS 6/21/27 REC FIX                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $137428.60    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LCH - EUR IRS 4/21/32 REC FIX                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-2076432.54  | -0.16%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LCH - EUR IRS 4/4/32 REC FIX                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-2463138.76  | -0.19%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LCH - EUR IRS 3/2/32 REC FIX                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-5115277.09  | -0.39%            |  |  |  | No            | 2                  | On Loan: No      |
| BANK OF AMERICA                                      | GREECE CDS 12/20/2029                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-90219.70    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| BANK OF AMERICA                                      | GREECE CDS 12/20/2029                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-90219.70    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | IRS_MXN_3226573893_CME_5.4986_28D_MXN-TIIE-BANXICO_28D_MAT_2027-05-04_FXD-FLT | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-334888.18   | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - PLN IRS 3.1584 02/14/2028 - JPM                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $244496.95    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | IRS_PLN_CME_1.775_1Y_PLN-WIBOR-WIBO_6M_EFF_2019-10-22_MAT_2029-10-22_FXD-FLT  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $768712.82    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - PLN IRS 3.14900 02/13/2028 - JPM                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $324618.08    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | IRS_PLN_CME_1.78_1Y_PLN-WIBOR-WIBO_6M_EFF_2019-10-22_MAT_2029-10-22_FXD-FLT   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $537431.92    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CME - PLN IRS 3.16 02/12/2028 - JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $123150.18    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | CLP/USD FWD 20230119 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $174387.40    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | GBP/USD FWD 20230224 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-559468.19   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK                                        | THB/USD FWD 20230310 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-30075.14    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | USD/CNH FWD 20221216 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $112009.90    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | INR/USD FWD 20230119 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | IN        |           1 | NC      | $-35057.53    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | KOREA 3YR BND FUT DEC22                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | KR        |         763 | NC      | $328475.01    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                  | KOREA 10YR BND FU DEC22                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | KR        |         279 | NC      | $1284192.43   | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| UBS SECURITIES LLC                                   | CZK/USD FWD 20230113 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CZ        |           1 | NC      | $-945642.83   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | USD/PHP FWD 20221209 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1921.68      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | BRL/USD FWD 20221202 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $138701.01    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | USD/BRL FWD 20221202 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-44142.15    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | USD/CNH FWD 20230113 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-267837.04   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | CNH/USD FWD 20230113 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $554977.52    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS & CO                                   | THB/USD FWD 20221209 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-111517.77   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | ZAR/USD FWD 20230113 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | ZA        |           1 | NC      | $-1879.90     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | JPY/USD FWD 20230120 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $270880.41    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/ZAR FWD 20230113 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4809.69      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                         | CLP/USD FWD 20221209 WFBIUS6W                                                 | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $132694.15    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | LONG GILT FUTURE MAR23                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |         101 | NC      | $-82215.95    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                  | US 5YR NOTE (CBT) MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         943 | NC      | $568051.94    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                  | US 5YR NOTE (CBT) MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         194 | NC      | $116863.28    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | USD/HUF FWD 20230113 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $21537.11     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK                                        | USD/MYR FWD 20221209 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $398683.60    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | JPY/USD FWD 20230120 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $-30969.07    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | USD/JPY FWD 20230120 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4598179.55  | -0.35%            |  |  |  | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK                                        | THB/USD FWD 20221209 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $30395.90     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | CLP/USD FWD 20230119 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $-787681.17   | -0.06%            |  |  |  | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | CLP/USD FWD 20221209 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $-91800.60    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | USD/CAD FWD 20230120 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10170.42     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                 | BRL/USD FWD 20221202 BARCGB5G                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $-24655.43    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | CLP/USD FWD 20230119 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $84377.75     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | EURO-SCHATZ FUT DEC22                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -972 | NC      | $1396695.75   | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| UBS SECURITIES LLC                                   | AUD/USD FWD 20230120 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | AU        |           1 | NC      | $-2518388.20  | -0.19%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | AUD/USD FWD 20230120 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |           1 | NC      | $51568.32     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | GBP/USD FWD 20230224 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-287879.47   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | MXN/USD FWD 20230113 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $-253009.18   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                 | INR/USD FWD 20230119 BARCGB5G                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | IN        |           1 | NC      | $14421.06     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                  | CAN 10YR BOND FUT MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         117 | NC      | $24226.92     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                  | CAN 10YR BOND FUT MAR23                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         226 | NC      | $46797.30     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| DEUTSCHE BANK                                        | JPY/USD FWD 20230120 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $-683887.04   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| Cologix Canadian Issuer LP                           | COLOGIX CANADIAN ISSUER LP                                                    | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     3940000 | PA      | $2686956.10   | 0.20%             | 2052-01-25      | Fixed         | 4.94%                 | No            | 2                  | On Loan: No      |
| Canadian Treasury Bill                               | CANADIAN TREASURY BILL                                                        | CUSIP: 1350Z7BB9<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    98260000 | PA      | $72671420.29  | 5.48%             | 2023-01-19      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | CLP/USD FWD 20230119 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $53468.77     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Brazil Notas do Tesouro Nacional Serie F             | BRAZIL NOTAS DO TESOURO NACIONAL SERIE F                                      | CUSIP: JV5341526<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    38105000 | PA      | $6733637.58   | 0.51%             | 2027-01-01      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Japanese Government CPI Linked Bond                  | JAPANESE GOVERNMENT CPI LINKED BOND                                           | CUSIP: EK9047615<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1029980000 | PA      | $7722724.25   | 0.58%             | 2025-03-10      | Fixed         | 0.10%                 | No            | 2                  | On Loan: No      |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: BY2971822<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    30000000 | PA      | $4119575.37   | 0.31%             | 2032-08-15      | Fixed         | 2.69%                 | No            | 2                  | On Loan: No      |
| Japan Treasury Discount Bill                         | JAPAN TREASURY DISCOUNT BILL                                                  | CUSIP: ZN1227489<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  3800000000 | PA      | $27531851.69  | 2.08%             | 2023-05-10      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe             | BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE                                      | CUSIP: BT2450315<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   100608000 | PA      | $88372142.17  | 6.66%             | 2032-02-15      | None          | 0.00%                 | No            | 2                  | On Loan: —       |
| JP MORGAN CHASE BANK                                 | JPY/USD FWD 20230120 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $41582.88     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Japan Treasury Discount Bill                         | JAPAN TREASURY DISCOUNT BILL                                                  | CUSIP: BZ4304763<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  9705000000 | PA      | $70291567.13  | 5.30%             | 2023-01-16      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: BV8098048<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    10000000 | PA      | $1408626.41   | 0.11%             | 2052-04-15      | Fixed         | 3.32%                 | No            | 2                  | On Loan: No      |
| Hungary Government International Bond                | HUNGARY GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: ZN3745520<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     1243000 | PA      | $1293465.80   | 0.10%             | 2027-02-22      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Axian Telecom                                        | AXIAN TELECOM                                                                 | CUSIP: BU2732222<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |     1950000 | PA      | $1716000.00   | 0.13%             | 2027-02-16      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                    | ITALY BUONI POLIENNALI DEL TESORO                                             | CUSIP: BS1324091<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    13117000 | PA      | $10688269.36  | 0.81%             | 2032-06-01      | Fixed         | 0.95%                 | No            | 2                  | On Loan: —       |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: BY6368488<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   110000000 | PA      | $14991867.58  | 1.13%             | 2032-09-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| Bundesobligation                                     | BUNDESOBLIGATION                                                              | CUSIP: BT4293416<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    52975000 | PA      | $50757617.80  | 3.83%             | 2027-04-16      | None          | 0.00%                 | No            | 2                  | On Loan: —       |
| Hungary Government Bond                              | HUNGARY GOVERNMENT BOND                                                       | CUSIP: ZO9985268<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        | 10186590000 | PA      | $15514268.58  | 1.17%             | 2033-04-20      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Petroleos de Venezuela SA                            | PETROLEOS DE VENEZUELA SA                                                     | CUSIP: EK2909308<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      770000 | PA      | $37537.50     | 0.00%             | 2024-05-16      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Brazil Notas do Tesouro Nacional Serie B             | BRAZIL NOTAS DO TESOURO NACIONAL SERIE B                                      | CUSIP: ZP2084785<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    14288598 | PA      | $2737363.60   | 0.21%             | 2025-05-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Japan Government Thirty Year Bond                    | JAPAN GOVERNMENT THIRTY YEAR BOND                                             | CUSIP: BX7150259<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1611500000 | PA      | $11096581.98  | 0.84%             | 2052-06-20      | Fixed         | 1.30%                 | No            | 2                  | On Loan: No      |
| Agrosuper SA                                         | AGROSUPER SA                                                                  | CUSIP: BT5013623<br>LEI: 5493006KNWOGYPTZZ371 | Long             | DBT              | CORP              | CL        |     5360000 | PA      | $4549300.00   | 0.34%             | 2032-01-20      | Fixed         | 4.60%                 | No            | 2                  | On Loan: —       |
| Albania Government International Bond                | ALBANIA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: BJ9488302<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     1635000 | PA      | $1523576.48   | 0.11%             | 2027-06-16      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Czech Republic Government Bond                       | CZECH REPUBLIC GOVERNMENT BOND                                                | CUSIP: EK1213702<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |   133640000 | PA      | $5304622.53   | 0.40%             | 2025-09-17      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: BR8945304<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    10000000 | PA      | $1448988.16   | 0.11%             | 2051-10-18      | Fixed         | 3.53%                 | No            | 2                  | On Loan: No      |
| Leviathan Bond Ltd                                   | LEVIATHAN BOND LTD                                                            | CUSIP: BK6709004<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |     4025000 | PA      | $3944500.00   | 0.30%             | 2025-06-30      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Serbia International Bond                            | SERBIA INTERNATIONAL BOND                                                     | CUSIP: BR4415765<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     1655000 | PA      | $1047923.44   | 0.08%             | 2036-09-23      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| Thailand Government Bond                             | THAILAND GOVERNMENT BOND                                                      | CUSIP: BP2211780<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   447729000 | PA      | $12145031.60  | 0.92%             | 2031-12-17      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Serbia Treasury Bonds                                | SERBIA TREASURY BONDS                                                         | CUSIP: BG1390940<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |  1470930000 | PA      | $10657699.44  | 0.80%             | 2032-08-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: BP5955698<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    70000000 | PA      | $9896989.34   | 0.75%             | 2031-05-27      | Fixed         | 3.02%                 | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/SEK FWD 20230224 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $64316.99     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe             | BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE                                      | CUSIP: BR2469814<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    13307000 | PA      | $8344499.88   | 0.63%             | 2052-08-15      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Romanian Government International Bond               | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: BJ5968158<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     5390000 | PA      | $4761333.57   | 0.36%             | 2030-05-26      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Citadel Securities LP                                | CITADEL SECURITIES LP                                                         | CUSIP: 17288YAE2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |      640000 | PA      | $634803.20    | 0.05%             | 2028-02-02      | Floating      | 7.20%                 | No            | 2                  | On Loan: No      |
| PERRIGO INVESTMENTS LLC                              | PERRIGO INVESTMENTS LLC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1780538 | PA      | $1751603.77   | 0.13%             | 2029-04-20      | Floating      | 6.69%                 | No            | 2                  | On Loan: No      |
| Entegris Inc                                         | ENTEGRIS INC                                                                  | CUSIP: 29362LAL8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | LON              | CORP              | US        |     1900000 | PA      | $1882311.00   | 0.14%             | 2029-07-06      | Floating      | 7.09%                 | No            | 2                  | On Loan: No      |
| Naked Juice LLC                                      | NAKED JUICE LLC                                                               | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |     1385000 | PA      | $1203218.75   | 0.09%             | 2030-01-20      | Floating      | 9.65%                 | No            | 2                  | On Loan: No      |
| UKG Inc                                              | UKG INC                                                                       | CUSIP: 90385KAK7<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |     5325423 | PA      | $5136796.84   | 0.39%             | 2026-05-04      | Floating      | 7.00%                 | No            | 2                  | On Loan: No      |
| Ascend Learning LLC                                  | ASCEND LEARNING LLC                                                           | CUSIP: 04349HAM6<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |     2635000 | PA      | $2233162.50   | 0.17%             | 2029-12-10      | Floating      | 9.82%                 | No            | 2                  | On Loan: No      |
| NEXUS BUYER LLC                                      | NEXUS BUYER LLC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      940000 | PA      | $871069.80    | 0.07%             | 2029-11-05      | Floating      | 10.32%                | No            | 2                  | On Loan: No      |
| Loyalty Ventures Inc                                 | LOYALTY VENTURES INC                                                          | CUSIP: 54912FAD2<br>LEI: 549300Q3YKVWNY6JIJ44 | Long             | LON              | CORP              | US        |      664714 | PA      | $262562.02    | 0.02%             | 2027-11-03      | Floating      | 8.57%                 | No            | 2                  | On Loan: No      |
| CP Iris Holdco I Inc                                 | CP IRIS HOLDCO I INC                                                          | CUSIP: 12659EAF5<br>LEI: 25490024F0AS5UR7DB02 | Long             | LON              | CORP              | US        |     1830000 | PA      | $1537200.00   | 0.12%             | 2029-10-01      | Floating      | 11.07%                | No            | 3                  | On Loan: No      |
| Engineered Machinery Holdings Inc                    | ENGINEERED MACHINERY HOL                                                      | CUSIP: 26658NAQ2<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |     2583729 | PA      | $2381061.73   | 0.18%             | 2029-05-21      | Floating      | 9.67%                 | No            | 2                  | On Loan: No      |
| AIR CANADA                                           | AIR CANADA                                                                    | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |     2284275 | PA      | $2255721.56   | 0.17%             | 2028-08-11      | Floating      | 6.42%                 | No            | 2                  | On Loan: No      |
| Engineered Machinery Holdings Inc                    | ENGINEERED MACHINERY HOL                                                      | CUSIP: 26658NAN9<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |      430000 | PA      | $395780.60    | 0.03%             | 2029-05-21      | Floating      | 10.17%                | No            | 2                  | On Loan: No      |
| CORELOGIC INC                                        | CORELOGIC INC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1195000 | PA      | $811106.25    | 0.06%             | 2029-06-04      | Floating      | 10.62%                | No            | 2                  | On Loan: No      |
| KFC Holding Co                                       | KFC HOLDING CO                                                                | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |     4073337 | PA      | $4010770.07   | 0.30%             | 2028-03-15      | Floating      | 5.66%                 | No            | 2                  | On Loan: No      |
| RealPage Inc                                         | REALPAGE INC                                                                  | CUSIP: 75605VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      995000 | PA      | $952095.60    | 0.07%             | 2029-04-23      | Floating      | 10.57%                | No            | 2                  | On Loan: No      |
| PetVet Care Centers LLC                              | PETVET CARE CENTERS LLC                                                       | CUSIP: 70476XAK1<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |     7038446 | PA      | $6501764.50   | 0.49%             | 2025-02-14      | Floating      | 7.57%                 | No            | 2                  | On Loan: No      |
| Woof Holdings Inc                                    | WOOF HOLDINGS INC                                                             | CUSIP: 98082EAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2445000 | PA      | $2200500.00   | 0.17%             | 2028-12-21      | Floating      | 10.82%                | No            | 2                  | On Loan: No      |
| Woof Holdings Inc                                    | WOOF HOLDINGS INC                                                             | CUSIP: 98082EAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2255650 | PA      | $2120311.00   | 0.16%             | 2027-12-21      | Floating      | 7.32%                 | No            | 2                  | On Loan: No      |
| Tacala Investment Corp                               | TACALA INVESTMENT CORP                                                        | CUSIP: 873412AA8<br>LEI: 549300XTM341KBSTDI88 | Long             | LON              | CORP              | US        |     4097818 | PA      | $3925586.89   | 0.30%             | 2027-02-05      | Floating      | 7.57%                 | No            | 2                  | On Loan: No      |
| Level 3 Financing Inc                                | LEVEL 3 FINANCING INC                                                         | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |     2614142 | PA      | $2484244.94   | 0.19%             | 2027-03-01      | Floating      | 5.82%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                 | CHARTER COMMUNICATIONS OPER                                                   | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     4825443 | PA      | $4700512.30   | 0.35%             | 2027-02-01      | Floating      | 5.83%                 | No            | 2                  | On Loan: No      |
| Nexstar Media Inc                                    | NEXSTAR MEDIA INC                                                             | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |     2828315 | PA      | $2802973.50   | 0.21%             | 2026-09-18      | Floating      | 6.57%                 | No            | 2                  | On Loan: No      |
| Asurion LLC                                          | ASURION LLC                                                                   | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     2279831 | PA      | $2182459.17   | 0.16%             | 2024-11-03      | Floating      | 7.07%                 | No            | 2                  | On Loan: No      |
| Summit Materials LLC                                 | SUMMIT MATERIALS LLC                                                          | CUSIP: 86614DAH1<br>LEI: 549300C97P3BW8QROE16 | Long             | LON              | CORP              | US        |     3725841 | PA      | $3696742.31   | 0.28%             | 2024-11-21      | Floating      | 6.07%                 | No            | 2                  | On Loan: No      |
| Tacala Investment Corp                               | TACALA INVESTMENT CORP                                                        | CUSIP: 873412AC4<br>LEI: 549300XTM341KBSTDI88 | Long             | LON              | CORP              | US        |      455000 | PA      | $411888.75    | 0.03%             | 2028-02-04      | Floating      | 11.57%                | No            | 2                  | On Loan: No      |
| Cyprus Government International Bond                 | CYPRUS GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: ZP4820376<br>LEI: 213800IOEYYAHPDLUL60 | Long             | DBT              | NUSS              | CY        |      120000 | PA      | $82800.13     | 0.01%             | 2040-01-21      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Romanian Government International Bond               | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: ZP6061268<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1530000 | PA      | $1119020.14   | 0.08%             | 2032-01-28      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: ZQ5976324<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    50000000 | PA      | $7160733.17   | 0.54%             | 2029-11-21      | Fixed         | 3.13%                 | No            | 2                  | On Loan: No      |
| Fraport AG Frankfurt Airport Services Worldwide      | FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE                               | CUSIP: BO7983782<br>LEI: 5299001ERX0K10IZUL40 | Long             | DBT              | CORP              | DE        |     4455000 | PA      | $4054024.58   | 0.31%             | 2028-03-31      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| French Republic Government Bond OAT                  | FRENCH REPUBLIC GOVERNMENT BOND OAT                                           | CUSIP: ZP7360719<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    16886000 | PA      | $11173762.38  | 0.84%             | 2052-05-25      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| Serbia International Bond                            | SERBIA INTERNATIONAL BOND                                                     | CUSIP: AZ2272021<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     1350000 | PA      | $1059524.56   | 0.08%             | 2029-06-26      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Serbia International Bond                            | SERBIA INTERNATIONAL BOND                                                     | CUSIP: AZ2286302<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    14845000 | PA      | $11650845.99  | 0.88%             | 2029-06-26      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Romanian Government International Bond               | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: AZ5782398<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     5667000 | PA      | $4296376.75   | 0.32%             | 2031-07-16      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| Bangkok Bank PCL/Hong Kong                           | BANGKOK BANK PCL/HONG KONG                                                    | CUSIP: ZR6527587<br>LEI: 549300CCL2BKJGMYXV60 | Long             | DBT              | CORP              | TH        |     4120000 | PA      | $3350029.31   | 0.25%             | 2034-09-25      | Variable      | 3.73%                 | No            | 2                  | On Loan: No      |
| Kaisa Group Holdings Ltd                             | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: AX9574382<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |     5000000 | PA      | $524811.25    | 0.04%             | 2023-04-09      | Fixed         | 11.25%                | No            | 2                  | On Loan: No      |
| China Government Bond                                | CHINA GOVERNMENT BOND                                                         | CUSIP: AZ1695297<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    10000000 | PA      | $1625368.27   | 0.12%             | 2069-06-24      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Country Garden Holdings Co Ltd                       | COUNTRY GARDEN HOLDINGS CO LTD                                                | CUSIP: BK6819225<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     7075000 | PA      | $2632763.08   | 0.20%             | 2030-08-06      | Fixed         | 4.80%                 | No            | 2                  | On Loan: —       |
| CITIBANK N A                                         | INR/USD FWD 20230119 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | IN        |           1 | NC      | $-46011.16    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Albania Government International Bond                | ALBANIA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: AU6543170<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     1490000 | PA      | $1435177.56   | 0.11%             | 2025-10-09      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Cyprus Government International Bond                 | CYPRUS GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: AW9847533<br>LEI: 213800IOEYYAHPDLUL60 | Long             | DBT              | NUSS              | CY        |      917000 | PA      | $837919.08    | 0.06%             | 2034-02-26      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Albania Government International Bond                | ALBANIA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: AU6543147<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     1500000 | PA      | $1444809.62   | 0.11%             | 2025-10-09      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Czech Republic Government Bond                       | CZECH REPUBLIC GOVERNMENT BOND                                                | CUSIP: AR3931334<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |   214620000 | PA      | $8131904.34   | 0.61%             | 2029-07-23      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| MAF Global Securities Ltd                            | MAF GLOBAL SECURITIES LTD                                                     | CUSIP: AR7375777<br>LEI: 54930037VUDNYTS17017 | Long             | DBT              | CORP              | KY        |     4100000 | PA      | $3902585.00   | 0.29%             | N/A             | Variable      | 6.38%                 | No            | 2                  | On Loan: No      |
| Mexico City Airport Trust                            | MEXICO CITY AIRPORT TRUST                                                     | CUSIP: AP1360043<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     2545000 | PA      | $1908557.01   | 0.14%             | 2047-07-31      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Landsbankinn HF                                      | LANDSBANKINN HF                                                               | CUSIP: AQ1095068<br>LEI: 549300TLZPT6JELDWM92 | Long             | DBT              | CORP              | IS        |     3450000 | PA      | $3536720.84   | 0.27%             | 2023-05-30      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| Suriname Government International Bond               | SURINAME GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: QZ9321253<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |     6675000 | PA      | $5360025.00   | 0.40%             | 2026-10-26      | Fixed         | 9.25%                 | No            | 2                  | On Loan: —       |
| Banco de Bogota SA                                   | BANCO DE BOGOTA SA                                                            | CUSIP: AO5432809<br>LEI: 549300LYHE7LWSKDZT53 | Long             | DBT              | CORP              | CO        |     2325000 | PA      | $2080003.13   | 0.16%             | 2027-08-03      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Banco Comercial Portugues SA                         | BANCO COMERCIAL PORTUGUES SA                                                  | CUSIP: AQ1803867<br>LEI: JU1U6S0DG9YLT7N8ZV32 | Long             | DBT              | CORP              | PT        |     2200000 | PA      | $1994570.05   | 0.15%             | 2027-12-07      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| 1MDB Global Investments Ltd                          | 1MDB GLOBAL INVESTMENTS LTD                                                   | CUSIP: EJ6045714<br>LEI: N/A                  | Long             | DBT              | NUSS              | VG        |    30000000 | PA      | $29418219.90  | 2.22%             | 2023-03-09      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Petroleos de Venezuela SA                            | PETROLEOS DE VENEZUELA SA                                                     | CUSIP: EI8799468<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      510000 | PA      | $24862.50     | 0.00%             | 2022-11-17      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| Sweden Government Bond                               | SWEDEN GOVERNMENT BOND                                                        | CUSIP: EJ0857460<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   181585000 | PA      | $17905103.87  | 1.35%             | 2032-06-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Mexican Bonos                                        | MEXICAN BONOS                                                                 | CUSIP: EH6834517<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    38394000 | PA      | $1909934.84   | 0.14%             | 2029-05-31      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Venezuela Government International Bond              | VENEZUELA GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: EH9901297<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      400000 | PA      | $28758.24     | 0.00%             | 2023-10-13      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| Petroleos de Venezuela SA                            | PETROLEOS DE VENEZUELA SA                                                     | CUSIP: EI5787318<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       15000 | PA      | $731.37       | 0.00%             | 2023-02-17      | Fixed         | 12.75%                | No            | 2                  | On Loan: No      |
| Venezuela Government International Bond              | VENEZUELA GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: EF1877168<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      205000 | PA      | $14738.60     | 0.00%             | 2022-12-09      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA                                      | CHF/USD FWD 20230120 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-75794.88    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | CLP/USD FWD 20230119 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $-342108.74   | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | USD/JPY FWD 20230120 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-246490.64   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | JPY/USD FWD 20230120 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $657100.36    | 0.05%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | USD/JPY FWD 20230120 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1213860.14   | 0.09%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | SGD/USD FWD 20221216 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | SG        |           1 | NC      | $-112031.22   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | PHP/USD FWD 20230310 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | PH        |           1 | NC      | $-6633.99     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | CNH/USD FWD 20230113 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $-871359.31   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | PLN/USD FWD 20230217 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | PL        |           1 | NC      | $-1042455.44  | -0.08%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | CLP/USD FWD 20221209 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $115277.68    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | USD/THB FWD 20221209 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14125.21     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | SGD/USD FWD 20221216 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SG        |           1 | NC      | $210025.66    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | FI TRS USD PAY IBOXHY 12/20/22                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-742326.61   | -0.06%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | FI TRS USD PAY IBOXHY 12/20/22                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-534415.34   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | FI TRS USD PAY IBOXHY 12/20/22                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $53873.89     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS & CO                                   | FI TRS USD PAY IBOXHY 12/20/22                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1870920.07  | -0.14%            |  |  |  | No            | 2                  | On Loan: No      |
| BARCLAYS                                             | FI TRS USD PAY IBOXHY 12/20/22                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-834321.81   | -0.06%            |  |  |  | No            | 2                  | On Loan: No      |
| Wendy s Funding LLC                                  | WENDY'S FUNDING LLC                                                           | CUSIP: 95058XAP3<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |     3052350 | PA      | $2621751.93   | 0.20%             | 2052-03-15      | Fixed         | 4.54%                 | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | THB/USD FWD 20221209 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-57917.06    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Vivo Energy Investments BV                           | VIVO ENERGY INVESTMENTS BV                                                    | CUSIP: 92856HAB0<br>LEI: 724500P3OXMB2IERLM56 | Long             | DBT              | CORP              | NL        |     4095000 | PA      | $3695737.50   | 0.28%             | 2027-09-24      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Vista Point Securitization Trust 2020-1              | VISTA POINT SECURITIZATION TRUST 2020-1                                       | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1560000 | PA      | $1380923.86   | 0.10%             | 2065-03-25      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| VTR Comunicaciones SpA                               | VTR COMUNICACIONES SPA                                                        | CUSIP: 918367AC7<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |     7800000 | PA      | $4131487.23   | 0.31%             | 2029-04-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4766000 | PA      | $4952171.88   | 0.37%             | 2032-11-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20793000 | PA      | $21056161.41  | 1.59%             | 2027-10-31      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6671000 | PA      | $6331195.94   | 0.48%             | 2027-05-31      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25011000 | PA      | $21540723.75  | 1.62%             | 2032-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    91250000 | PA      | $85304492.19  | 6.43%             | 2029-02-15      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8598000 | PA      | $7718048.44   | 0.58%             | 2042-05-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3260000 | PA      | $2353312.50   | 0.18%             | 2052-02-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury Note/Bond                     | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5445000 | PA      | $4364507.81   | 0.33%             | 2047-08-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury Bill                          | UNITED STATES TREASURY BILL                                                   | CUSIP: 912796S34<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28140000 | PA      | $27961842.56  | 2.11%             | 2023-01-26      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue 2017-280P Mortgage Trust             | 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                      | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      995000 | PA      | $954896.03    | 0.07%             | 2034-09-15      | Variable      | 4.94%                 | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED SECURITIES                        | USD/CNH FWD 20221216 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |           1 | NC      | $87716.05     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Tobacco Settlement Financing Corp/VA                 | TOBACCO SETTLEMENT FINANCING CORP/VA                                          | CUSIP: 88880NAT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    12830000 | PA      | $11677184.73  | 0.88%             | 2046-06-01      | Fixed         | 6.71%                 | No            | 2                  | On Loan: No      |
| Tobacco Settlement Finance Authority                 | TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | CUSIP: 88880LAW3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2940000 | PA      | $2523086.24   | 0.19%             | 2049-06-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Symphony CLO XX Ltd                                  | SYMPHONY CLO XX LTD                                                           | CUSIP: 87166VAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1535000 | PA      | $1466228.52   | 0.11%             | 2032-01-16      | Variable      | 6.43%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | CLP/USD FWD 20221209 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $115173.78    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | USD/CLP FWD 20221209 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69408.04    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-INV         | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV                                  | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      407568 | PA      | $373786.04    | 0.03%             | 2055-11-25      | Variable      | 1.59%                 | No            | 2                  | On Loan: No      |
| Standard Chartered PLC                               | STANDARD CHARTERED PLC                                                        | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     7205000 | PA      | $6658587.21   | 0.50%             | 2026-01-30      | Variable      | 2.82%                 | No            | 2                  | On Loan: No      |
| SLIDE 2018-FUN                                       | SLIDE 2018-FUN                                                                | CUSIP: 831350AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3097355 | PA      | $2986206.89   | 0.23%             | 2031-06-15      | Variable      | 6.42%                 | No            | 2                  | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH4                      | SEQUOIA MORTGAGE TRUST 2018-CH4                                               | CUSIP: 81747LAU5<br>LEI: 5493003EWUCLH0O45S72 | Long             | ABS-MBS          | CORP              | US        |       10882 | PA      | $10763.11     | 0.00%             | 2048-10-25      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                      | SEQUOIA MORTGAGE TRUST 2018-CH3                                               | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |       26970 | PA      | $26408.33     | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Sequoia Mortgage Trust 2017-2                        | SEQUOIA MORTGAGE TRUST 2017-2                                                 | CUSIP: 81746KCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3194848 | PA      | $2546644.89   | 0.19%             | 2047-02-25      | Variable      | 3.56%                 | No            | 2                  | On Loan: No      |
| Sea Ltd                                              | SEA LTD                                                                       | CUSIP: 81141RAG5<br>LEI: 529900OM6JLLW44YKI15 | Long             | DBT              | CORP              | KY        |     1800000 | PA      | $1349186.40   | 0.10%             | 2026-09-15      | Fixed         | 0.25%                 | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | MYR/USD FWD 20221209 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $310304.18    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | USD/MYR FWD 20221209 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-214061.65   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| SMRT 2022-MINI                                       | SMRT 2022-MINI                                                                | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4470000 | PA      | $4178657.02   | 0.32%             | 2039-01-15      | Variable      | 5.75%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust 2022-D              | SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                       | CUSIP: 78454XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1975000 | PA      | $1974621.79   | 0.15%             | 2058-10-15      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| SG Residential Mortgage Trust 2019-3                 | SG RESIDENTIAL MORTGAGE TRUST 2019-3                                          | CUSIP: 78432BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226534 | PA      | $216935.13    | 0.02%             | 2059-09-25      | Variable      | 3.08%                 | No            | 2                  | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund      | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral                  | CUSIP: 76105YYY8<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |   110369277 | NS      | $110369277.42 | 8.32%             |  |  |  | No            | 1                  | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund      | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND                               | CUSIP: 76105Y109<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |    18531806 | NS      | $18531806.41  | 1.40%             |  |  |  | No            | 1                  | On Loan: No      |
| Qatar Energy                                         | QATARENERGY TRADING LLC                                                       | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     8930000 | PA      | $6792515.20   | 0.51%             | 2041-07-12      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Commonwealth of Puerto Rico                          | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |    10788725 | PA      | $4908869.73   | 0.37%             | 2043-11-01      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                  | PETROLEOS MEXICANOS                                                           | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     3450000 | PA      | $2837437.35   | 0.21%             | 2030-01-23      | Fixed         | 6.84%                 | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | RSD/USD FWD 20230217 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | RS        |           1 | NC      | $-345252.36   | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | CNH/USD FWD 20230113 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $-490161.94   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| Palmer Square CLO 2021-2 Ltd                         | PALMER SQUARE CLO 2021-2 LTD                                                  | CUSIP: 69701XAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2030000 | PA      | $1865097.40   | 0.14%             | 2034-07-15      | Variable      | 6.98%                 | No            | 2                  | On Loan: No      |
| OBX 2021-NQM1 Trust                                  | OBX 2021-NQM1 TRUST                                                           | CUSIP: 67114BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1095000 | PA      | $855249.09    | 0.06%             | 2066-02-25      | Variable      | 2.22%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-NQM5        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM5                                 | CUSIP: 64830PAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $1822029.64   | 0.14%             | 2059-11-25      | Variable      | 3.44%                 | No            | 2                  | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-D     | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D                              | CUSIP: 63941HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2005000 | PA      | $1645850.16   | 0.12%             | 2069-05-15      | Fixed         | 3.33%                 | No            | 2                  | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-B     | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                              | CUSIP: 63941GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2365000 | PA      | $1861231.35   | 0.14%             | 2069-01-15      | Fixed         | 2.77%                 | No            | 2                  | On Loan: No      |
| Navient Private Education Loan Trust 2017-A          | NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A                                   | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      805000 | PA      | $748856.00    | 0.06%             | 2058-12-16      | Fixed         | 3.91%                 | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | CNH/USD FWD 20221216 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $856429.51    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| Metalsa S A P I De Cv                                | METALSA S A P I DE CV                                                         | CUSIP: 59132VAB4<br>LEI: 549300F2FONGJR575V67 | Long             | DBT              | CORP              | MX        |     6330000 | PA      | $4838612.18   | 0.36%             | 2031-05-04      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| MercadoLibre Inc                                     | MERCADOLIBRE INC                                                              | CUSIP: 58733RAD4<br>LEI: 549300DKPDN9M5S8GB14 | Long             | DBT              | CORP              | US        |      720000 | PA      | $1572084.00   | 0.12%             | 2028-08-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Manhattan West 2020-1MW Mortgage Trust               | MANHATTAN WEST 2020-1MW MORTGAGE TRUST                                        | CUSIP: 563136AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1185000 | PA      | $938462.65    | 0.07%             | 2039-09-10      | Variable      | 2.41%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding XXXIII Ltd                      | MADISON PARK FUNDING XXXIII LTD                                               | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2385000 | PA      | $2313701.43   | 0.17%             | 2032-10-15      | Variable      | 5.15%                 | No            | 2                  | On Loan: No      |
| MVW 2020-1 LLC                                       | MVW 2020-1 LLC                                                                | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      440856 | PA      | $408527.07    | 0.03%             | 2037-10-20      | Fixed         | 4.21%                 | No            | 2                  | On Loan: No      |
| MVW Owner Trust 2017-1                               | MVW OWNER TRUST 2017-1                                                        | CUSIP: 553896AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       42156 | PA      | $40780.80     | 0.00%             | 2034-12-20      | Fixed         | 2.99%                 | No            | 2                  | On Loan: No      |
| MVW Owner Trust 2017-1                               | MVW OWNER TRUST 2017-1                                                        | CUSIP: 553896AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       34910 | PA      | $33842.75     | 0.00%             | 2034-12-20      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | USD/MYR FWD 20221209 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-52935.07    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                          | MYR/USD FWD 20221209 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $429174.26    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | USD/CNH FWD 20221216 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-40908.53    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| HSBC SECURITIES INC                                  | USD/CNH FWD 20221216 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $389879.56    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | USD/GBP FWD 20230224 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15442.82     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| State of Illinois                                    | STATE OF ILLINOIS                                                             | CUSIP: 452152GB1<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     3000000 | PA      | $3150855.60   | 0.24%             | 2035-07-01      | Fixed         | 7.10%                 | No            | 2                  | On Loan: No      |
| ILPT Commercial Mortgage Trust 2022-LPFX             | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPFX                                      | CUSIP: 449653AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4315000 | PA      | $3433914.54   | 0.26%             | 2032-03-15      | Variable      | 3.95%                 | No            | 2                  | On Loan: No      |
| Humana Inc                                           | HUMANA INC                                                                    | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     6650000 | PA      | $5734288.35   | 0.43%             | 2027-02-03      | Fixed         | 1.35%                 | No            | 2                  | On Loan: No      |
| Howard University                                    | HOWARD UNIVERSITY                                                             | CUSIP: 442851BG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1505000 | PA      | $1120740.39   | 0.08%             | 2051-10-01      | Fixed         | 4.76%                 | No            | 2                  | On Loan: No      |
| Hilton Orlando Trust 2018-ORL                        | HILTON ORLANDO TRUST 2018-ORL                                                 | CUSIP: 432885AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2145000 | PA      | $2058651.31   | 0.16%             | 2034-12-15      | Variable      | 5.08%                 | No            | 2                  | On Loan: No      |
| Hilton Grand Vacations Trust 2017-A                  | HILTON GRAND VACATIONS TRUST 2017-A                                           | CUSIP: 43283AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       61257 | PA      | $59593.60     | 0.00%             | 2028-12-26      | Fixed         | 2.96%                 | No            | 2                  | On Loan: No      |
| Hardee s Funding LLC                                 | HARDEE'S FUNDING LLC                                                          | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1208475 | PA      | $1034405.05   | 0.08%             | 2050-12-20      | Fixed         | 3.98%                 | No            | 2                  | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                      | HPS LOAN MANAGEMENT 11-2017 LTD                                               | CUSIP: 40436VAJ0<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |     7190000 | PA      | $6740386.72   | 0.51%             | 2030-05-06      | Variable      | 6.48%                 | No            | 2                  | On Loan: No      |
| RBC DOMINION SECURITIES INC                          | USD/CAD FWD 20230120 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $30992.66     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | CAD/USD FWD 20230120 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $223821.79    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | USD/CAD FWD 20230120 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-594369.08   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| JP MORGAN CHASE BANK                                 | USD/MYR FWD 20221209 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $295112.86    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | BRL/USD FWD 20230302 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $-139587.80   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Great Wolf Trust 2019-WOLF                           | GREAT WOLF TRUST 2019-WOLF                                                    | CUSIP: 39152TAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6150000 | PA      | $5751697.10   | 0.43%             | 2036-12-15      | Variable      | 7.01%                 | No            | 2                  | On Loan: No      |
| Great Wolf Trust 2019-WOLF                           | GREAT WOLF TRUST 2019-WOLF                                                    | CUSIP: 39152TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1955000 | PA      | $1845585.10   | 0.14%             | 2036-12-15      | Variable      | 6.61%                 | No            | 2                  | On Loan: No      |
| Aris Mining Corp                                     | ARIS MINING CORP                                                              | CUSIP: 38501DAR6<br>LEI: 5493001GJ5TILX6L1F82 | Long             | DBT              | CORP              | CA        |     4455000 | PA      | $3327261.30   | 0.25%             | 2026-08-09      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34376 | PA      | $5216.66      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Globo Comunicacao e Participacoes SA                 | GLOBO COMUNICACAO E PARTICIPACOES SA                                          | CUSIP: 37959DAC8<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |     2175000 | PA      | $1789482.34   | 0.13%             | 2032-01-14      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                 | GALTON FUNDING MORTGAGE TRUST 2017-1                                          | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102228 | PA      | $90875.18     | 0.01%             | 2057-11-25      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 3622AAYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1144076 | PA      | $1065973.08   | 0.08%             | 2049-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 3622A26K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1242916 | PA      | $1170094.87   | 0.09%             | 2048-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3765 | PA      | $3874.58      | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      125662 | PA      | $122512.31    | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6766 | PA      | $6596.07      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11103664 | PA      | $10881401.10  | 0.82%             | 2052-10-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8607859 | PA      | $8220732.23   | 0.62%             | 2052-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1935131 | PA      | $1650336.36   | 0.12%             | 2052-01-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6731629 | PA      | $6083314.48   | 0.46%             | 2051-10-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2890696 | PA      | $2625022.71   | 0.20%             | 2051-07-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8034467 | PA      | $6864488.39   | 0.52%             | 2051-07-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1110231 | PA      | $1003205.96   | 0.08%             | 2052-06-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      705515 | PA      | $678058.60    | 0.05%             | 2050-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      130301 | PA      | $116130.99    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      208705 | PA      | $187061.50    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      145652 | PA      | $146407.06    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60214 | PA      | $60781.40     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72546 | PA      | $73491.39     | 0.01%             | 2048-01-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      265503 | PA      | $269586.49    | 0.02%             | 2047-11-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       80835 | PA      | $80589.33     | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15702 | PA      | $15943.07     | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99019 | PA      | $98514.53     | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9286 | PA      | $9242.93      | 0.00%             | 2047-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      218662 | PA      | $211842.66    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33364 | PA      | $33380.75     | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3353126 | PA      | $3163033.44   | 0.24%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      267622 | PA      | $253348.84    | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120541 | PA      | $113818.80    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      746129 | PA      | $705960.10    | 0.05%             | 2046-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      662830 | PA      | $642170.34    | 0.05%             | 2047-05-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      537104 | PA      | $496013.73    | 0.04%             | 2045-10-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3860514 | PA      | $3649691.04   | 0.28%             | 2045-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102014 | PA      | $96450.74     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE II POOL                                                            | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1980342 | PA      | $1888401.14   | 0.14%             | 2043-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2020-DNA6              | FREDDIE MAC STACR REMIC TRUST 2020-DNA6                                       | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1192102 | PA      | $1170679.66   | 0.09%             | 2050-12-25      | Variable      | 5.52%                 | No            | 2                  | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2020-HQA4              | FREDDIE MAC STACR REMIC TRUST 2020-HQA4                                       | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16801 | PA      | $16801.03     | 0.00%             | 2050-09-25      | Variable      | 7.17%                 | No            | 2                  | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2020-HQA3              | FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                       | CUSIP: 35565MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         670 | PA      | $670.38       | 0.00%             | 2050-07-25      | Variable      | 7.62%                 | No            | 2                  | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA1              | FREDDIE MAC STACR REMIC TRUST 2022-DNA1                                       | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4420000 | PA      | $4039072.47   | 0.30%             | 2042-01-25      | Variable      | 5.37%                 | No            | 2                  | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA3              | FREDDIE MAC STACR REMIC TRUST 2021-DNA3                                       | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1220000 | PA      | $1149928.81   | 0.09%             | 2033-10-25      | Variable      | 5.62%                 | No            | 2                  | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                          | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3585000 | PA      | $3217537.50   | 0.24%             | 2033-08-25      | Variable      | 6.92%                 | No            | 2                  | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                          | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      820000 | PA      | $792365.75    | 0.06%             | 2033-08-25      | Variable      | 5.82%                 | No            | 2                  | On Loan: No      |
| Seasoned Credit Risk Transfer Trust Series 2017-2    | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-2                             | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      668933 | PA      | $644321.58    | 0.05%             | 2056-08-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| FOCUS Brands Funding LLC                             | FOCUS BRANDS FUNDING LLC                                                      | CUSIP: 34417QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2174400 | PA      | $1987049.35   | 0.15%             | 2048-10-30      | Fixed         | 5.18%                 | No            | 2                  | On Loan: No      |
| Flexential Issuer 2021-1                             | FLEXENTIAL ISSUER 2021-1                                                      | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5310000 | PA      | $4616987.12   | 0.35%             | 2051-11-27      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                           | 522 FUNDING CLO 2019-5 LTD                                                    | CUSIP: 33829WAE9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |     2805000 | PA      | $2650384.84   | 0.20%             | 2035-04-15      | Variable      | 5.71%                 | No            | 2                  | On Loan: No      |
| Finance of America HECM Buyout 2022-HB2              | FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                       | CUSIP: 317380AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3607340 | PA      | $3530346.05   | 0.27%             | 2024-12-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage Trust 2020-1            | ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1                                     | CUSIP: 31574PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1280000 | PA      | $1143389.44   | 0.09%             | 2065-05-25      | Variable      | 5.24%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46505 | PA      | $47885.89     | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31419AG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17724 | PA      | $17769.26     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2849 | PA      | $2990.61      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9815 | PA      | $10304.13     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      129186 | PA      | $131759.91    | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7106 | PA      | $7247.40      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15747 | PA      | $16237.74     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418MKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1228 | PA      | $1288.89      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25106 | PA      | $26394.31     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    46007146 | PA      | $44799273.88  | 3.38%             | 2052-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6017343 | PA      | $5989942.31   | 0.45%             | 2052-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2232601 | PA      | $2112366.12   | 0.16%             | 2052-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2184344 | PA      | $2127446.06   | 0.16%             | 2052-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      994828 | PA      | $851925.68    | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2777 | PA      | $2737.28      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198334 | PA      | $184805.43    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1051466 | PA      | $982449.16    | 0.07%             | 2047-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418BYU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      206024 | PA      | $192909.54    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1260375 | PA      | $1176958.51   | 0.09%             | 2046-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31418ACH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13028 | PA      | $12697.34     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24222 | PA      | $23607.55     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32420 | PA      | $32501.79     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13203 | PA      | $13198.93     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7040 | PA      | $7036.89      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13033 | PA      | $13059.64     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8852 | PA      | $8845.01      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         848 | PA      | $890.45       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31412RH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31090 | PA      | $31794.45     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5965 | PA      | $5976.34      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410LQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2213 | PA      | $2263.05      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410LHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3367 | PA      | $3374.59      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4382 | PA      | $4603.83      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5473 | PA      | $5753.80      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410KJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31386 | PA      | $32952.83     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         453 | PA      | $474.87       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6317 | PA      | $6625.98      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14860 | PA      | $15622.41     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5818 | PA      | $6121.48      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410GQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12954 | PA      | $13741.85     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20996 | PA      | $21651.37     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      451480 | PA      | $449714.29    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140XC5X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1354253 | PA      | $1376584.54   | 0.10%             | 2049-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128308 | PA      | $118964.28    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140X6C66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      844626 | PA      | $863703.15    | 0.07%             | 2045-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      422424 | PA      | $394613.37    | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140QPSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      995816 | PA      | $942191.13    | 0.07%             | 2052-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6283279 | PA      | $5395132.83   | 0.41%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2229231 | PA      | $1916875.67   | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6135619 | PA      | $5254372.99   | 0.40%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66293 | PA      | $65541.89     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18450 | PA      | $17619.58     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140Q9RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2299969 | PA      | $2280189.65   | 0.17%             | 2048-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80572 | PA      | $79772.82     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140MSAH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1916842 | PA      | $1756737.48   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140MNQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3376342 | PA      | $3095053.67   | 0.23%             | 2052-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2988075 | PA      | $2827155.28   | 0.21%             | 2052-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140MDKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      648269 | PA      | $555997.80    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140JANB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169898 | PA      | $159171.72    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140J9X30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117925 | PA      | $118224.00    | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      927376 | PA      | $868907.68    | 0.07%             | 2047-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140J8DT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      500881 | PA      | $488657.01    | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140J87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1080205 | PA      | $1111282.54   | 0.08%             | 2047-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      924508 | PA      | $895466.93    | 0.07%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146076 | PA      | $141216.64    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140EV5H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      263601 | PA      | $246748.35    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141144 | PA      | $132233.12    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7684 | PA      | $8072.32      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20095 | PA      | $21085.43     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7399 | PA      | $7754.29      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9856 | PA      | $10347.70     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26944 | PA      | $27783.12     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72234 | PA      | $74484.33     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10811 | PA      | $11148.06     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31330 | PA      | $32654.09     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11308 | PA      | $11430.53     | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10739 | PA      | $10861.82     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130597 | PA      | $122270.44    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58823 | PA      | $55376.12     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      312258 | PA      | $292445.99    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35450 | PA      | $35539.74     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9859 | PA      | $9626.37      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35667 | PA      | $35754.43     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43301 | PA      | $40567.22     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138ELBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3032 | PA      | $3100.30      | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5610 | PA      | $5623.70      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7090 | PA      | $6910.19      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9251 | PA      | $9016.16      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33751 | PA      | $33772.33     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15502 | PA      | $15109.22     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18870 | PA      | $18391.86     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac REMICS                                   | FREDDIE MAC REMICS                                                            | CUSIP: 3137FRZF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      655766 | PA      | $102467.95    | 0.01%             | 2050-05-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1452 | PA      | $1523.13      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6224 | PA      | $6338.48      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31368HNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10668 | PA      | $10694.69     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE POOL                                                               | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10941 | PA      | $11486.57     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100730 | PA      | $99166.97     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3133BNSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      229715 | PA      | $223683.51    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3133BBXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2173798 | PA      | $1991343.99   | 0.15%             | 2052-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3133ANKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      956639 | PA      | $830224.04    | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3133AMYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1331145 | PA      | $1143542.01   | 0.09%             | 2051-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10384 | PA      | $10131.54     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2970044 | PA      | $2810401.09   | 0.21%             | 2052-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1985103 | PA      | $1878195.34   | 0.14%             | 2052-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3132DWDR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2271256 | PA      | $1944559.57   | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC POOL                                                              | CUSIP: 3132A4LW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      388992 | PA      | $393138.12    | 0.03%             | 2041-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76588 | PA      | $74727.65     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1939 | PA      | $1892.37      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35136 | PA      | $34281.90     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3638 | PA      | $3549.59      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2727 | PA      | $2660.28      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8149 | PA      | $7985.91      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2165 | PA      | $2210.81      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4695 | PA      | $4711.58      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         371 | PA      | $380.27       | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3754 | PA      | $3756.84      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6599 | PA      | $6584.70      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5110 | PA      | $5115.17      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1300 | PA      | $1268.06      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2793 | PA      | $2803.44      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3424 | PA      | $3598.63      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1254 | PA      | $1258.25      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15062 | PA      | $15418.79     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3989 | PA      | $4083.57      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                          | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M4W90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11126 | PA      | $11485.10     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities             | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                      | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1407101 | PA      | $1393029.88   | 0.11%             | 2031-01-25      | Variable      | 6.37%                 | No            | 2                  | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities             | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                      | CUSIP: 30711XR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      997355 | PA      | $983641.67    | 0.07%             | 2030-12-25      | Variable      | 6.57%                 | No            | 2                  | On Loan: No      |
| FWD Securitization Trust 2020-INV1                   | FWD SECURITIZATION TRUST 2020-INV1                                            | CUSIP: 302985AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3591000 | PA      | $2757332.47   | 0.21%             | 2050-01-25      | Variable      | 2.85%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                         | USD/EUR FWD 20230224 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-401789.92   | -0.03%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | AUD/USD FWD 20230120 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | AU        |           1 | NC      | $-243268.58   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/EUR FWD 20230224 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9151.32     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                            | DRIVEN BRANDS FUNDING LLC                                                     | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1867025 | PA      | $1612512.15   | 0.12%             | 2050-07-20      | Fixed         | 3.79%                 | No            | 2                  | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                            | DRIVEN BRANDS FUNDING LLC                                                     | CUSIP: 26208LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3514400 | PA      | $3252025.44   | 0.25%             | 2048-04-20      | Fixed         | 4.74%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS & CO                                   | INR/USD FWD 20230119 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | IN        |           1 | NC      | $-3847.24     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE                                                                    | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9945000 | PA      | $10149281.34  | 0.77%             | 2033-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                       | GINNIE MAE                                                                    | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4175000 | PA      | $4171085.94   | 0.31%             | 2033-01-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R08         | CONNECTICUT AVENUE SECURITIES TRUST 2022-R08                                  | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      907001 | PA      | $900995.66    | 0.07%             | 2042-07-25      | Variable      | 6.07%                 | No            | 2                  | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R06         | CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                                  | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2072378 | PA      | $2072378.29   | 0.16%             | 2042-05-25      | Variable      | 6.27%                 | No            | 2                  | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R02         | CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                  | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2805000 | PA      | $2596925.10   | 0.20%             | 2042-01-25      | Variable      | 6.52%                 | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | USD/ILS FWD 20230119 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-297818.90   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | ILS/USD FWD 20230119 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | IL        |           1 | NC      | $714183.29    | 0.05%             |  |  |  | No            | 2                  | On Loan: No      |
| COLT 2021-3 Mortgage Loan Trust                      | COLT 2021-3 MORTGAGE LOAN TRUST                                               | CUSIP: 19688FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1725000 | PA      | $1019000.63   | 0.08%             | 2066-09-27      | Variable      | 2.30%                 | No            | 2                  | On Loan: No      |
| Colorado Health Facilities Authority                 | COLORADO HEALTH FACILITIES AUTHORITY                                          | CUSIP: 19648FRY2<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |     3955000 | PA      | $3483318.39   | 0.26%             | 2030-12-01      | Fixed         | 3.36%                 | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/ILS FWD 20230119 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $162320.19    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | THB/USD FWD 20221209 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $352719.83    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | USD/THB FWD 20221209 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-75660.82    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | EUR/USD FWD 20230224 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $198427.28    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                      | USD/EUR FWD 20230224 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-947966.66   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2019-C7          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                   | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6110000 | PA      | $3961475.32   | 0.30%             | 2072-12-15      | Variable      | 3.92%                 | No            | 2                  | On Loan: No      |
| CBAM 2019-9 Ltd                                      | CBAM 2019-9 LTD                                                               | CUSIP: 14987VAA7<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |     1961787 | PA      | $1933369.58   | 0.15%             | 2030-02-12      | Variable      | 5.36%                 | No            | 2                  | On Loan: No      |
| Capital Projects Finance Authority/FL                | CAPITAL PROJECTS FINANCE AUTHORITY/FL                                         | CUSIP: 140427BS3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     5105000 | PA      | $4859521.99   | 0.37%             | 2024-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Cano Health LLC                                      | CANO HEALTH LLC                                                               | CUSIP: 13782CAA8<br>LEI: 254900OGI2T8V1NXN639 | Long             | DBT              | CORP              | US        |     1815000 | PA      | $916575.00    | 0.07%             | 2028-10-01      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| COMM 2014-CR14 Mortgage Trust                        | COMM 2014-CR14 MORTGAGE TRUST                                                 | CUSIP: 12630DBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1390000 | PA      | $1333441.73   | 0.10%             | 2047-02-10      | Variable      | 4.74%                 | No            | 2                  | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                      | COLT 2020-3 MORTGAGE LOAN TRUST                                               | CUSIP: 12597QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1562000 | PA      | $1359177.42   | 0.10%             | 2065-04-27      | Variable      | 3.36%                 | No            | 2                  | On Loan: No      |
| COMM 2017-PANW Mortgage Trust                        | COMM 2017-PANW MORTGAGE TRUST                                                 | CUSIP: 12595HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4340000 | PA      | $3986466.20   | 0.30%             | 2029-10-10      | Variable      | 3.71%                 | No            | 2                  | On Loan: No      |
| Cantor Commercial Real Estate Lending 2019-CF1       | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1                                | CUSIP: 12529MDF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1055000 | PA      | $959725.59    | 0.07%             | 2052-05-15      | Variable      | 4.14%                 | No            | 2                  | On Loan: No      |
| CAFL 2021-RTL1 Issuer LLC                            | CAFL 2021-RTL1 ISSUER LLC                                                     | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2220000 | PA      | $1970218.48   | 0.15%             | 2029-03-28      | Variable      | 3.10%                 | No            | 2                  | On Loan: No      |
| UBS SECURITIES LLC                                   | BRL/USD FWD 20221202 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $-4882.28     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO IV Ltd                   | BENEFIT STREET PARTNERS CLO IV LTD                                            | CUSIP: 08180FBJ9<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |     5885000 | PA      | $5618193.81   | 0.42%             | 2032-01-20      | Variable      | 5.79%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO XI                       | BENEFIT STREET PARTNERS CLO XI                                                | CUSIP: 08179CAQ4<br>LEI: 254900O9QVOQ1G7RF178 | Long             | ABS-CBDO         | CORP              | KY        |     6995000 | PA      | $6753575.83   | 0.51%             | 2029-04-15      | Variable      | 5.58%                 | No            | 2                  | On Loan: No      |
| Bellemeade Re 2022-1 Ltd                             | BELLEMEADE RE 2022-1 LTD                                                      | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     4320000 | PA      | $4096243.01   | 0.31%             | 2032-01-26      | Variable      | 5.67%                 | No            | 2                  | On Loan: No      |
| BANK 2018-BNK13                                      | BANK 2018-BNK13                                                               | CUSIP: 06539LBE9<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |      904000 | PA      | $833671.06    | 0.06%             | 2061-08-15      | Variable      | 4.47%                 | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | CAD/USD FWD 20230120 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $27800.49     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CITIBANK N A                                         | USD/CAD FWD 20230120 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-328128.99   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Banco de Bogota SA                                   | BANCO DE BOGOTA SA                                                            | CUSIP: 059514AE9<br>LEI: 549300LYHE7LWSKDZT53 | Long             | DBT              | CORP              | CO        |     1000000 | PA      | $894625.00    | 0.07%             | 2027-08-03      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| BX Trust 2021-VIEW                                   | BX TRUST 2021-VIEW                                                            | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2615000 | PA      | $2343986.37   | 0.18%             | 2036-06-15      | Variable      | 7.80%                 | No            | 2                  | On Loan: No      |
| BSPRT 2022-FL8 Issuer Ltd                            | BSPRT 2022-FL8 ISSUER LTD                                                     | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3585000 | PA      | $3441510.38   | 0.26%             | 2037-02-15      | Variable      | 4.72%                 | No            | 2                  | On Loan: No      |
| BPR Trust 2021-NRD                                   | BPR TRUST 2021-NRD                                                            | CUSIP: 05592CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4495000 | PA      | $4109565.89   | 0.31%             | 2023-12-15      | Variable      | 9.43%                 | No            | 2                  | On Loan: No      |
| BFLD 2019-DPLO                                       | BFLD 2019-DPLO                                                                | CUSIP: 054970AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1830000 | PA      | $1751707.11   | 0.13%             | 2034-10-15      | Variable      | 5.42%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2021-JACX | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                          | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3330000 | PA      | $2968965.06   | 0.22%             | 2038-09-15      | Variable      | 7.62%                 | No            | 2                  | On Loan: No      |
| Axian Telecom                                        | AXIAN TELECOM                                                                 | CUSIP: 05466AAA1<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |     1490000 | PA      | $1311200.00   | 0.10%             | 2027-02-16      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377REQ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4213652.00   | 0.32%             | 2026-08-20      | Fixed         | 3.34%                 | No            | 2                  | On Loan: No      |
| United Kingdom Gilt                                  | UNITED KINGDOM GILT                                                           | CUSIP: EC2565959<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    36648000 | PA      | $48229225.18  | 3.64%             | 2032-06-07      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust 2020-MF1 | ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                          | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1515000 | PA      | $877066.38    | 0.07%             | 2053-05-15      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC            | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                     | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4360950 | PA      | $4127255.41   | 0.31%             | 2049-06-05      | Fixed         | 4.19%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust 2021-2                      | ANGEL OAK MORTGAGE TRUST 2021-2                                               | CUSIP: 03465DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1830000 | PA      | $1197503.14   | 0.09%             | 2066-04-25      | Variable      | 2.34%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust I LLC 2019-1                | ANGEL OAK MORTGAGE TRUST I LLC 2019-1                                         | CUSIP: 03464MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21821 | PA      | $21685.55     | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                            | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19050000 | PA      | $19477026.90  | 1.47%             | 2033-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Alen 2021-ACEN Mortgage Trust                        | ALEN 2021-ACEN MORTGAGE TRUST                                                 | CUSIP: 01449NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2940000 | PA      | $2603045.13   | 0.20%             | 2034-04-15      | Variable      | 6.12%                 | No            | 2                  | On Loan: No      |
| AES Andes SA                                         | AES ANDES SA                                                                  | CUSIP: 00105DAF2<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     3125000 | PA      | $2897614.81   | 0.22%             | 2079-03-26      | Variable      | 7.12%                 | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** T. ROWE PRICE GLOBAL MULTI-SECTOR BOND FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President