# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0000869392-23-000712
**Filing Date:** 2023-3
**Character Count:** 269545
**Document Hash:** 08b2b1068e897fbcbfa35f608cb2a32f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000712.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0000869392-23-000712

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001005942
- **IRS NUMBER:** 043299786
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07513
- **FILM NUMBER:** 23775075

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6177601000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

## Series and Classes Contracts Data

### Putnam Multi-Asset Absolute Return Fund (Series ID: S000024276)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000071717 | Class A        |  |
| C000071718 | Class B        |  |
| C000071719 | Class C        |  |
| C000071721 | Class R        |  |
| C000071722 | Class Y        |  |
| C000118008 | Class R6       |  |
| C000174703 | Class P Shares |  |

## Nport-Ex

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| |
|:---|
| **Putnam Multi-Asset Absolute Return Fund** |
| **The fund's portfolio** |
| **1/31/23 (Unaudited)** |

---

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| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (27.3%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (27.3%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (27.3%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (2.0%)** | **U.S. Government Guaranteed Mortgage Obligations (2.0%)** | **U.S. Government Guaranteed Mortgage Obligations (2.0%)** |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 5/20/49 | $31020 | $31943 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, 5/20/49 | 92675 | 94185 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 5000000 | 4964734 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 3000000 | 2915365 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 10/20/49 to 11/20/49 | 67540 | 64128 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 2/1/53 | 3000000 | 2756054 |
|  |  | **10826409** |
| **U.S. Government Agency Mortgage Obligations (25.3%)** | **U.S. Government Agency Mortgage Obligations (25.3%)** | **U.S. Government Agency Mortgage Obligations (25.3%)** |
| Federal Home Loan Mortgage Corporation Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 8/1/43 | 243711 | 235637 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, 3/1/43 | 194332 | 181532 |
| Federal National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 1/1/38 | 556594 | 576012 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 1/1/49 to 8/1/49 | 56865 | 57352 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 5/1/49 | 7828 | 7838 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 6/1/56 | 1361411 | 1290360 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 6/1/42 to 7/1/43 | 425905 | 410226 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, with due dates from 2/1/43 to 2/1/43 | 501624 | 468585 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 2/1/53 | 7000000 | 7191953 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 2/1/53 | 24000000 | 24382512 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 2/1/53 | 60000000 | 60239064 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 21000000 | 20742422 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 4000000 | 3861250 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 2/1/53 | 1000000 | 938516 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 2/1/53 | 5000000 | 4538279 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 2/1/53 | 1000000 | 875234 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, TBA, 2/1/53 | 11000000 | 9258224 |
|  |  | **135254996** |
| **Total U.S. government and agency mortgage obligations (cost $144,531,029)** | **Total U.S. government and agency mortgage obligations (cost $144,531,029)** | **$146081405** |

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| | | |
|:---|:---|:---|
| **U.S. TREASURY OBLIGATIONS (0.1%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.1%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.1%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.25%, 11/15/24***<sup>(i)</sup>*** | $54000 | $52361 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.875%, 2/28/27***<sup>(i)</sup>*** | 212000 | 199104 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75%, 3/15/25***<sup>(i)</sup>*** | 149000 | 142833 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.375%, 8/31/26***<sup>(i)</sup>*** | 164000 | 151889 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.125%, 2/15/24***<sup>(i)</sup>*** | 268000 | 255683 |
| **Total U.S. treasury obligations (cost $801,870)** |  | **$801870** |

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| | | |
|:---|:---|:---|
| **COMMON STOCKS (14.4%)***<sup>(a)</sup>*** | **COMMON STOCKS (14.4%)***<sup>(a)</sup>*** | **COMMON STOCKS (14.4%)***<sup>(a)</sup>*** |
| | **Shares** | **Value** |
| **Basic materials (1.5%)** | **Basic materials (1.5%)** | **Basic materials (1.5%)** |
| Anglo American Platinum, Ltd. (South Africa) | 6782 | $504378 |
| Asian Paints, Ltd. (India) | 33614 | 1123067 |
| Coromandel International, Ltd. (India) | 50181 | 549128 |
| Fertiglobe PLC (United Arab Emirates) | 145929 | 159007 |
| Inner Mongolia ERDOS Resources Co., Ltd. Class B (China) | 642500 | 1314288 |
| Northam Platinum Holdings, Ltd. (South Africa)***<sup>(NON)</sup>*** | 32645 | 320779 |
| United Tractors Tbk PT (Indonesia) | 329900 | 541843 |
| Vale SA ADR (Brazil) | 140622 | 2626819 |
| Vedanta, Ltd. (India) | 188269 | 769196 |
|  |  | **7908505** |
| **Capital goods (0.2%)** | **Capital goods (0.2%)** | **Capital goods (0.2%)** |
| Haitian International Holdings, Ltd. (China) | 176000 | 542531 |
| Schaeffler India, Ltd. (India) | 11001 | 362168 |
|  |  | **904699** |
| **Communication services (0.1%)** | **Communication services (0.1%)** | **Communication services (0.1%)** |
| Hellenic Telecommunications Organization SA (Greece) | 30722 | 483862 |
| KT Corp. (South Korea) | 7992 | 228136 |
|  |  | **711998** |
| **Consumer cyclicals (1.9%)** | **Consumer cyclicals (1.9%)** | **Consumer cyclicals (1.9%)** |
| Astra International Tbk PT (Indonesia) | 2874900 | 1154161 |
| Cheil Worldwide, Inc. (South Korea) | 24074 | 430376 |
| China Yongda Automobiles Services Holdings, Ltd. (China) | 388000 | 334984 |
| Haier Smart Home Co., Ltd. Class H (China) | 432600 | 1598348 |
| iHeartMedia, Inc. Class A***<sup>(NON)</sup>*** | 26640 | 206460 |
| Kia Corp. (South Korea) | 23576 | 1287702 |
| KOC Holding A/S (Turkey) | 441403 | 1798721 |
| Maruti Suzuki India, Ltd. (India) | 4830 | 526036 |
| MultiChoice Group (South Africa) | 52177 | 358988 |
| Page Industries, Ltd. (India) | 2029 | 993268 |
| WalMart de Mexico (Walmex) SAB de CV (Mexico) | 100037 | 390734 |
| Zhongsheng Group Holdings, Ltd. (China) | 215500 | 1220796 |
|  |  | **10300574** |
| **Consumer staples (1.1%)** | **Consumer staples (1.1%)** | **Consumer staples (1.1%)** |
| Ambev SA (Brazil) | 66500 | 178947 |
| Arca Continental SAB de CV (Mexico) | 179063 | 1579478 |
| Cencosud SA (Chile) | 836886 | 1503158 |
| Coca-Cola Icecek AS (Turkey) | 25672 | 250422 |
| Grupo Bimbo SAB de CV Class A (Mexico) | 66455 | 329937 |
| Indofood Sukses Makmur Tbk PT (Indonesia) | 441100 | 198182 |
| JD.com, Inc. Class A (China) | 63851 | 1899539 |
|  |  | **5939663** |
| **Energy (0.4%)** | **Energy (0.4%)** | **Energy (0.4%)** |
| China Shenhua Energy Co., Ltd. (China) | 419500 | 1302699 |
| Indo Tambangraya Megah Tbk PT (Indonesia) | 348200 | 842592 |
|  |  | **2145291** |
| **Financials (2.8%)** | **Financials (2.8%)** | **Financials (2.8%)** |
| Agricultural Bank of China, Ltd. Class H (China) | 3967000 | 1430273 |
| Banco Bradesco SA (Preference) (Brazil)***<sup>(NON)</sup>*** | 309760 | 855512 |
| Banco de Chile (Chile) | 7121771 | 778233 |
| Cathay Financial Holding Co., Ltd. (Taiwan) | 503000 | 717223 |
| China Construction Bank Corp. Class H (China) | 497000 | 322830 |
| China Development Financial Holding Corp. (Taiwan) | 2364000 | 1046010 |
| China International Capital Corp., Ltd. Class H (China) | 553200 | 1239781 |
| China Minsheng Banking Corp., Ltd. Class H (China) | 1476000 | 551900 |
| CTBC Financial Holding Co., Ltd. (Taiwan) | 1745000 | 1334677 |
| FirstRand, Ltd. (South Africa) | 18156 | 67388 |
| Hana Financial Group, Inc. (South Korea) | 39730 | 1581847 |
| Hong Leong Bank Bhd (Malaysia) | 249600 | 1201809 |
| Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) | 12678 | 319602 |
| Itausa SA (Brazil) | 781660 | 1313468 |
| KB Financial Group, Inc. (South Korea) | 34648 | 1578687 |
| Ping An Insurance Group Co. of China, Ltd. Class H (China) | 19000 | 148305 |
| Shin Kong Financial Holding Co., Ltd. (Taiwan) | 560000 | 168363 |
| Tisco Financial Group PCL (Thailand) | 76000 | 235989 |
|  |  | **14891897** |
| **Health care (0.6%)** | **Health care (0.6%)** | **Health care (0.6%)** |
| Bangkok Dusit Medical Services PCL (Thailand) | 147700 | 133113 |
| Cipla, Ltd./India (India) | 22513 | 280392 |
| CSPC Pharmaceutical Group, Ltd. (China) | 1218000 | 1397003 |
| Sun Pharmaceutical Industries, Ltd. (India) | 99810 | 1262537 |
|  |  | **3073045** |
| **Technology (5.1%)** | **Technology (5.1%)** | **Technology (5.1%)** |
| Alibaba Group Holding, Ltd. (China)***<sup>(NON)</sup>*** | 288124 | 3981376 |
| Baidu, Inc. Class A (China)***<sup>(NON)</sup>*** | 65700 | 1108059 |
| Hon Hai Precision Industry Co., Ltd. (Taiwan) | 452000 | 1507772 |
| Infosys, Ltd. (India) | 97967 | 1844337 |
| Lenovo Group, Ltd. (China) | 1450000 | 1166559 |
| LG Innotek Co., Ltd. (South Korea) | 5148 | 1149748 |
| Meituan Class B (China)***<sup>(NON)</sup>*** | 4840 | 107829 |
| NetEase, Inc. (China) | 90100 | 1594023 |
| Samsung Electronics Co., Ltd. (South Korea) | 81060 | 4051695 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) | 65010 | 6028377 |
| Tata Consultancy Services, Ltd. (India) | 41417 | 1707093 |
| Tencent Holdings, Ltd. (China) | 48400 | 2359038 |
| United Microelectronics Corp. (Taiwan) | 369000 | 602709 |
|  |  | **27208615** |
| **Transportation (0.5%)** | **Transportation (0.5%)** | **Transportation (0.5%)** |
| COSCO SHIPPING Holdings Co., Ltd. Class H (China) | 444400 | 460881 |
| Evergreen Marine Corp. Taiwan, Ltd. (Taiwan) | 165600 | 848496 |
| Hyundai Glovis Co., Ltd. (South Korea) | 9710 | 1316293 |
| International Container Terminal Services, Inc. (Philippines) | 16890 | 64287 |
|  |  | **2689957** |
| **Utilities and power (0.2%)** | **Utilities and power (0.2%)** | **Utilities and power (0.2%)** |
| CPFL Energia SA (Brazil) | 178800 | 1172205 |
| Glow Energy PCL (Thailand)***<sup>(NON)(F)</sup>*** | 35800 | 11 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 25989 | 29887 |
|  |  | **1202103** |
| **Total common stocks (cost $69,648,179)** |  | **$76976347** |

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| | | |
|:---|:---|:---|
| **INVESTMENT COMPANIES (9.6%)***<sup>(a)</sup>*** | **INVESTMENT COMPANIES (9.6%)***<sup>(a)</sup>*** | **INVESTMENT COMPANIES (9.6%)***<sup>(a)</sup>*** |
| | **Shares** | **Value** |
| Energy Select Sector SPDR Fund | 179766 | $16166356 |
| Health Care Select Sector SPDR Fund | 58400 | 7788224 |
| Industrial Select Sector SPDR Fund | 89800 | 9146130 |
| Real Estate Select Sector SPDR Fund | 207735 | 8431964 |
| Technology Select Sector SPDR Fund | 70800 | 9625968 |
| **Total investment companies (cost $46,960,002)** |  | **$51158642** |

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| | | |
|:---|:---|:---|
| **COMMODITY LINKED NOTES (7.7%)***<sup>(a)(CLN)</sup>*** | **COMMODITY LINKED NOTES (7.7%)***<sup>(a)(CLN)</sup>*** | **COMMODITY LINKED NOTES (7.7%)***<sup>(a)(CLN)</sup>*** |
| | **Principal amount** | **Value** |
| BofA Finance, LLC 144A sr. unsec. unsub. notes, compound SOFR less 0.05%, 3/7/23 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) | $10120000 | $12895966 |
| Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, compound SOFR, 3/27/23 (Indexed to the Citi Commodities F3 vs F0 - 4x Leveraged Index multiplied by 3) | 10604000 | 15398758 |
| Goldman Sachs International 144A notes zero %, 3/31/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) | 5001000 | 4215546 |
| Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, zero %, 3/7/23 (Indexed to the S&P GSCI Light Energy Excess Return Index multiplied by 3) | 8090000 | 8836586 |
| **Total commodity Linked Notes (cost $33,815,000)** |  | **$41346856** |

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| | | | | |
|:---|:---|:---|:---|:---|
| **WARRANTS (1.0%)***<sup>(a)(NON)</sup>*** | **WARRANTS (1.0%)***<sup>(a)(NON)</sup>*** | **WARRANTS (1.0%)***<sup>(a)(NON)</sup>*** | **WARRANTS (1.0%)***<sup>(a)(NON)</sup>*** | **WARRANTS (1.0%)***<sup>(a)(NON)</sup>*** |
| | **Expiration date** | **Strike Price** | **Warrants** | **Value** |
| Bank of Jiangsu Co., Ltd. 144A (China) | 11/28/23 | $0.00 | 1195231 | $1313087 |
| Chongqing Zhifei Biological Products Co., Ltd. 144A (China) | 6/30/23 | 0.00 | 73600 | 1066184 |
| ENN Natural Gas Co., Ltd. 144A (China) | 9/22/23 | 0.00 | 393545 | 1052325 |
| Guaranteed Rate, Inc.***<sup>(F)</sup>*** | 3/1/23 | 0.01 | 337 |  |
| Inner Mongolia Yuan Xing Energy Co., Ltd. 144A (China) | 6/30/23 | 0.00 | 299900 | 397852 |
| Shaanxi Coal Industry Co., Ltd. 144A (China) | 8/21/23 | 0.00 | 116900 | 338376 |
| Shenzhen Mindray Bio-Medical Electronics Co., Ltd. 144A (China) | 2/9/24 | 0.00 | 24800 | 1221417 |
| **Total warrants (cost $5,406,862)** |  |  |  | **$5389241** |

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| | | | |
|:---|:---|:---|:---|
| **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.8%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.8%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.8%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.8%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d'lvoire) | EUR | 190000 | $173579 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) |  | $600000 | 533250 |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |  | 150000 | 127566 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) |  | 433000 | 445546 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) |  | 153000 | 152391 |
| Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) |  | 200000 | 147246 |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) |  | 200000 | 165249 |
| Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)***<sup>(NON)</sup>*** |  | 620000 | 248000 |
| Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)***<sup>(NON)</sup>*** |  | 200000 | 75750 |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) |  | 1305000 | 1305911 |
| Romania (Government of) 144A unsec. bonds 3.625%, 3/27/32 (Romania) |  | 420000 | 352997 |
| Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) |  | 260000 | 170366 |
| United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) |  | 380000 | 311550 |
| **Total foreign government and agency bonds and notes (cost $4,713,977)** | **Total foreign government and agency bonds and notes (cost $4,713,977)** | **Total foreign government and agency bonds and notes (cost $4,713,977)** | **$4209401** |

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| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 | $303968 | $162858 |
| Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.313%, 1/15/49***<sup>(WAC)</sup>*** | 85920 | 1 |
| Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45***<sup>(WAC)</sup>*** | 7820 | 7547 |
| COMM Mortgage Trust 144A Ser. 12-CR3, Class F, 4.75%, 10/15/45***<sup>(WAC)</sup>*** | 725000 | 322961 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4727, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 11/15/47 | 11676 | 1412 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.467%, 11/15/28***<sup>(WAC)</sup>*** |  |  |
| Federal Home Loan Mortgage Corporation 144A Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 15.006%, 3/25/49 | 63000 | 69846 |
| Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.506%, 5/25/25 | 14866 | 15165 |
| Federal National Mortgage Association 144A Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.31%, 1/25/42 | 543000 | 527728 |
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 25374 | 23347 |
| Government National Mortgage Association Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 14888 | 2729 |
| GSAA Trust FRB Ser. 07-6, Class 1A1, (ICE LIBOR USD 1 Month + 0.12%), 4.746%, 5/25/47 | 121651 | 78366 |
| JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 14-C18, Class D, 4.735%, 2/15/47***<sup>(WAC)</sup>*** | 1229000 | 881352 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class E, 4.398%, 8/15/46***<sup>(WAC)</sup>*** | 1350000 | 54715 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class F, 4.398%, 8/15/46***<sup>(WAC)</sup>*** | 1720000 | 16856 |
| MortgageIT Trust FRB Ser. 04-1, Class M2, (ICE LIBOR USD 1 Month + 1.01%), 5.511%, 11/25/34 | 107642 | 99545 |
| Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 4.936%, 5/25/46 | 140402 | 120745 |
| Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (ICE LIBOR USD 1 Month + 0.18%), 4.686%, 1/25/37 | 571161 | 488678 |
| UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63***<sup>(WAC)</sup>*** | 853000 | 9 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.342%, 11/15/48***<sup>(WAC)</sup>*** | 211610 | 66 |
| Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.254%, 10/15/44***<sup>(WAC)</sup>*** | 381064 | 346692 |
| WF-RBS Commercial Mortgage Trust 144A Ser. 11-C3, Class E, 5.00%, 3/15/44***<sup>(WAC)</sup>*** | 367000 | 4 |
| **Total mortgage-backed securities (cost $5,133,878)** |  | **$3220622** |

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| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (0.4%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.4%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.4%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $342348 | $338069 |
| Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 7.756%, 11/25/55 | 520000 | 505700 |
| MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.55%, 6/15/23 | 783000 | 783000 |
| Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 5.77%, 5/29/23 | 523000 | 523000 |
| **Total asset-backed securities (cost $2,133,573)** |  | **$2149769** |

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| | | |
|:---|:---|:---|
| **CORPORATE BONDS AND NOTES (0.1%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (0.1%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (0.1%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) | $200000 | $205140 |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 270000 | 221738 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 60000 | 60142 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 59000 | 56756 |
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)***<sup>(NON)</sup>*** | 1000 | 46 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 75000 | 60041 |
| ReNew Wind Energy AP2/ReNew Power Pvt, Ltd. other 9 Subsidiaries company guaranty sr. notes Ser. REGS, 4.50%, 7/14/28 (India) | 200000 | 170793 |
| **Total corporate bonds and notes (cost $819,184)** |  | **$774656** |

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| | | |
|:---|:---|:---|
| **UNITS (—%)***<sup>(a)</sup>*** | **UNITS (—%)***<sup>(a)</sup>*** | **UNITS (—%)***<sup>(a)</sup>*** |
| | **Units** | **Value** |
| Banco BTG Pactual SA (Brazil) | 58100 | $247448 |
| **Total units (cost $292,483)** |  | **$247448** |

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| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (67.7%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (67.7%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (67.7%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (67.7%)***<sup>(a)</sup>*** |
| | | **Principal amount/shares** | **Value** |
| Interest in $50,000,000 repurchase agreement dated 1/31/2023 with Barclays Capital, Inc. due 2/1/2023 - maturity value of $50,005,944 for an effective yield of 4.280% (collateralized by U.S. Treasuries (including strips) with a coupon rate of 3.000% and a due date of 2/15/2048, valued at $51,118,151) |  | $50000000 | $50000000 |
| Interest in $383,301,000 joint tri-party repurchase agreement dated 1/31/2023 with BofA Securities, Inc. due 2/1/2023 - maturity value of $88,915,619 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 2.000% to 5.000% and due dates ranging from 3/20/2030 to 1/20/2053, valued at $390,967,020) |  | 88905000 | 88905000 |
| Interest in $385,437,000 joint tri-party repurchase agreement dated 1/31/2023 with Citigroup Global Markets, Inc. due 2/1/2023 - maturity value of $89,010,631 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 4.500% to 6.500% and due dates ranging from 10/20/2052 to 11/20/2052, valued at $393,168,615) |  | 89000000 | 89000000 |
| Interest in $385,600,000 joint tri-party repurchase agreement dated 1/31/2023 with Royal Bank of Canada due 2/1/2023 - maturity value of $89,010,631 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities and U.S. Treasuries (including strips) with coupon rates ranging from 0.000% to 6.500% and due dates ranging from 2/28/2023 to 12/20/2052, valued at $393,359,048) |  | 89000000 | 89000000 |
| Manhattan Asset Funding Co., LLC asset-backed commercial paper 4.435%, 2/17/23 (Japan) |  | 2500000 | 2494676 |
| Mizuho Bank, Ltd./New York, NY commercial paper 4.374%, 2/6/23 |  | 2500000 | 2498145 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18%***<sup>(P)</sup>*** | Shares | 7547000 | 7547000 |
| U.S. Treasury Bills 4.491%, 3/16/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | $11500000 | 11438623 |
| U.S. Treasury Bills 4.509%, 3/2/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 11300000 | 11259790 |
| U.S. Treasury Bills 4.387%, 2/23/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 8800000 | 8776055 |
| U.S. Treasury Bills 4.554%, 3/9/23***<sup>(SEG)</sup>*** |  | 942000 | 937791 |
| U.S. Treasury Bills 3.838%, 2/2/23 |  | 500000 | 499945 |
| **Total short-term investments (cost $362,359,481)** |  |  | **$362357025** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $676,615,518)** |  |  | **$694713282** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| | **Number of contracts** | **Notional<br>amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| S&P 500 Index E-Mini (Long) | 19 | $3872770 | $3885500 | &nbsp;&nbsp;&nbsp;Mar-23 | $96868 |
| S&P 500 Index E-Mini (Short) | 176 | 35874080 | 35992000 | &nbsp;&nbsp;&nbsp;Mar-23 | (1363428) |
| U.S. Treasury Note 2 yr (Short) | 589 | 121126930 | 121126930 | &nbsp;&nbsp;&nbsp;Mar-23 | (466802) |
| U.S. Treasury Note 10 yr (Long) | 1406 | 161008969 | 161008969 | &nbsp;&nbsp;&nbsp;Mar-23 | 1288290 |
| **Unrealized appreciation** |  |  |  |  | **1385158** |
| **Unrealized (depreciation)** |  |  |  |  | **(1830230)** |
| **Total** |  |  |  |  | **$(445072)** |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/<br> Maturity date** | **Expiration date/strike** | **Notional/<br>Contract amount** | **Premium receivable/<br>(payable)** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | $3621600 | $(234861) | $28031 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 3621600 | (234861) | (74894) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 | 3452400 | (179525) | (15052) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 | 3452400 | (176072) | (30588) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 | 3348800 | (169114) | (11152) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 | 3348800 | (169114) | (26991) |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.187/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 1661600 | (107256) | 847 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.187)/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 1661600 | (107256) | (26071) |
| **Unrealized appreciation** |  |  |  | **28878** |
| **Unrealized (depreciation)** |  |  |  | **(184748)** |
| **Total** |  |  |  | **$(155870)** |

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------

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| | | | |
|:---|:---|:---|:---|
| **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $95,217,266) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $95,217,266) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $95,217,266) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $95,217,266) (Unaudited)** |
| **Agency** | **Principal amount** | **Settlement date** | **Value** |
| Uniform Mortgage-Backed Securities, 5.50%, 2/1/53 | $5000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5079690 |
| Uniform Mortgage-Backed Securities, 5.00%, 2/1/53 | 51000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51203204 |
| Uniform Mortgage-Backed Securities, 4.50%, 2/1/53 | 21000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20742422 |
| Uniform Mortgage-Backed Securities, 4.00%, 2/1/53 | 4000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3861250 |
| Uniform Mortgage-Backed Securities, 3.00%, 2/1/53 | 5000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4538279 |
| Uniform Mortgage-Backed Securities, 2.50%, 2/1/53 | 1000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875234 |
| Uniform Mortgage-Backed Securities, 2.00%, 2/1/53 | 11000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9258224 |
| **Total** |  |  | **$95558303** |

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------

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made<br>by fund** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $10381000 | $44742 ***<sup>(E)</sup>*** | $(47067) | 3/15/33 | &nbsp;&nbsp;US SOFR — Annually | 3.22% — Annually | $(2325) |
|  |  | 9260000 | 12501 ***<sup>(E)</sup>*** | 32807 | 3/15/25 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 20306 |
|  |  | 37691000 | 13569 ***<sup>(E)</sup>*** | 124724 | 3/15/25 | &nbsp;&nbsp;US SOFR — Annually | 4.10% — Annually | 111155 |
|  |  | 36300000 | 593868 ***<sup>(E)</sup>*** | 397684 | 3/15/28 | &nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | (196183) |
|  |  | 10416000 | 115305 ***<sup>(E)</sup>*** | (145802) | 3/15/33 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | (261110) |
|  |  | 2447000 | 16689 ***<sup>(E)</sup>*** | 119610 | 3/15/53 | &nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | 102922 |
|  |  | 1808000 | 42108 | (24) | 12/29/32 | &nbsp;&nbsp;3.468% — Annually | US SOFR — Annually | (40691) |
|  |  | 1444000 | 40374 | (19) | 12/29/32 | &nbsp;&nbsp;3.5235% — Annually | US SOFR — Annually | (39318) |
|  |  | 636000 | 25917 | (22) | 12/30/52 | &nbsp;&nbsp;3.1595% — Annually | US SOFR — Annually | (25267) |
|  |  | 833000 | 48289 | (28) | 12/30/52 | &nbsp;&nbsp;3.248% — Annually | US SOFR — Annually | (47505) |
|  |  | 1255000 | 35366 | (17) | 1/3/33 | &nbsp;&nbsp;US SOFR — Annually | 3.5255% — Annually | 34555 |
|  |  | 4785000 | 7704 | (18) | 1/6/25 | &nbsp;&nbsp;US SOFR — Annually | 4.356% — Annually | 7841 |
|  |  | 1227000 | 9227 | (10) | 1/6/28 | &nbsp;&nbsp;3.5615% — Annually | US SOFR — Annually | (8573) |
|  |  | 3601000 | 7886 | (14) | 1/6/25 | &nbsp;&nbsp;4.3875% — Annually | US SOFR — Annually | (8093) |
|  |  | 1906000 | 31659 | (25) | 1/6/33 | &nbsp;&nbsp;3.388% — Annually | US SOFR — Annually | (30409) |
|  |  | 4459000 | 55559 | (36) | 1/9/28 | &nbsp;&nbsp;3.6695% — Annually | US SOFR — Annually | (53775) |
|  |  | 2688000 | 44379 | (35) | 1/9/33 | &nbsp;&nbsp;3.3865% — Annually | US SOFR — Annually | (42831) |
|  |  | 723000 | 1598 | (25) | 1/10/53 | &nbsp;&nbsp;2.938% — Annually | US SOFR — Annually | 2179 |
|  |  | 1327000 | 1247 | (45) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9445% — Annually | (2398) |
|  |  | 1327000 | 1645 | (45) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.943% — Annually | (2798) |
|  |  | 2518000 | 1335 | (33) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.197% — Annually | (335) |
|  |  | 7781000 | 2879 | (29) | 1/12/25 | &nbsp;&nbsp;US SOFR — Annually | 4.275% — Annually | 2696 |
|  |  | 1688000 | 11597 | (22) | 1/12/33 | &nbsp;&nbsp;3.272% — Annually | US SOFR — Annually | (10644) |
|  |  | 3974000 | 477 | (15) | 1/13/25 | &nbsp;&nbsp;US SOFR — Annually | 4.249% — Annually | (620) |
|  |  | 1517000 | 5734 | (52) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9295% — Annually | (6658) |
|  |  | 12096000 | 20563 | (45) | 1/17/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1565% — Annually | (21379) |
|  |  | 3745000 | 18051 | (49) | 1/17/33 | &nbsp;&nbsp;US SOFR — Annually | 3.1335% — Annually | (19935) |
|  |  | 502000 | 6200 | (17) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.8855% — Annually | (6515) |
|  |  | 502000 | 6345 | (17) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.884% — Annually | (6660) |
|  |  | 35046000 | 37499 | (131) | 1/18/25 | &nbsp;&nbsp;US SOFR — Annually | 4.184% — Annually | (39322) |
|  |  | 11533000 | 36560 | (152) | 1/18/33 | &nbsp;&nbsp;US SOFR — Annually | 3.153% — Annually | (41893) |
|  |  | 5033000 | 2919 | (19) | 1/18/25 | &nbsp;&nbsp;US SOFR — Annually | 4.2105% — Annually | (3129) |
|  |  | 3105000 | 2981 | (12) | 1/19/25 | &nbsp;&nbsp;US SOFR — Annually | 4.19% — Annually | (3121) |
|  |  | 517000 | 72 | (7) | 1/19/33 | &nbsp;&nbsp;US SOFR — Annually | 3.192% — Annually | (142) |
|  |  | 2278000 | 11937 | (18) | 1/20/28 | &nbsp;&nbsp;US SOFR — Annually | 3.273% — Annually | (12741) |
|  |  | 26576000 | 20995 | (100) | 1/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1885% — Annually | (21601) |
|  |  | 2470000 | 1087 | (9) | 2/2/25 | &nbsp;&nbsp;4.2405% — Annually | US SOFR — Annually | (1096) |
|  |  | 10354000 | 33651 | (137) | 2/2/33 | &nbsp;&nbsp;3.2275% — Annually | US SOFR — Annually | (33787) |
|  | AUD | 4988000 | 21688 ***<sup>(E)</sup>*** | 10852 | 3/15/33 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 4.05% — Semiannually | (10836) |
|  | AUD | 8032000 | 3798 ***<sup>(E)</sup>*** | (5217) | 3/15/25 | &nbsp;&nbsp;3.72% — Quarterly | 3 month AUD-BBR-BBSW — Quarterly | (9015) |
|  | CAD | 8862000 | 5395 ***<sup>(E)</sup>*** | 36601 | 3/15/25 | &nbsp;&nbsp;4.15% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 31206 |
|  | CAD | 4271000 | 22855 ***<sup>(E)</sup>*** | (52926) | 3/15/33 | &nbsp;&nbsp;3.24% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | (30072) |
|  | CHF | 1314000 | 22764 ***<sup>(E)</sup>*** | 2176 | 3/15/33 | &nbsp;&nbsp;Swiss Average Rate Overnight — Annually | 1.55% — Annually | (20587) |
|  | EUR | 3605000 | 85712 ***<sup>(E)</sup>*** | (32412) | 3/15/33 | &nbsp;&nbsp;2.625% — Annually | 6 month EUR-EURIBOR — Semiannually | 53300 |
|  | EUR | 10590000 | 92449 ***<sup>(E)</sup>*** | 98 | 3/15/25 | &nbsp;&nbsp;2.90% — Annually | 6 month EUR-EURIBOR — Semiannually | 92546 |
|  | GBP | 2085000 | 13392 ***<sup>(E)</sup>*** | 226 | 3/15/25 | &nbsp;&nbsp;4.29% — Annually | Sterling Overnight Index Average — Annually | (13166) |
|  | GBP | 104000 | 831 ***<sup>(E)</sup>*** | 1844 | 3/15/33 | &nbsp;&nbsp;3.45% — Annually | Sterling Overnight Index Average — Annually | 1013 |
|  | NOK | 17615000 | 11312 ***<sup>(E)</sup>*** | (4117) | 3/15/33 | &nbsp;&nbsp;6 month NOK-NIBOR-NIBR — Semiannually | 2.965% — Annually | (15429) |
|  | NZD | 1802000 | 6337 ***<sup>(E)</sup>*** | (1892) | 3/15/33 | &nbsp;&nbsp;3 month NZD-BBR-FRA — Quarterly | 4.36% — Semiannually | 4445 |
|  | SEK | 63024000 | 95462 ***<sup>(E)</sup>*** | (21908) | 3/15/33 | &nbsp;&nbsp;2.52% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 73554 |
|  | **Total** |  |  | **$414054** |  |  |  | **$(552241)** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments received<br>(paid) by fund** | **Total return received by or paid by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  | $108502271 | $116276783 | $— | 1/4/23 | &nbsp;&nbsp;(US SOFR plus 0.22%) — Monthly | A basket (MLFCF15) of common stocks — Monthly\* | $7555541 |
|  | 169452 | 176192 |  | 6/20/23 | &nbsp;&nbsp;(US SOFR plus 1.00%) — Monthly | Al Rajhi Bank — Monthly | 6740 |
|  | 414354 | 408197 |  | 6/20/23 | &nbsp;&nbsp;(US SOFR plus 1.00%) — Monthly | Etihad Etisalat Co. — Monthly | (6584) |
|  | 108969271 | 115877713 |  | 1/4/24 | &nbsp;&nbsp;US SOFR plus 0.05% — Monthly | Russell 1000 Total Return Index — Monthly | (6558749) |
|  | 936759 | 934671 |  | 6/20/23 | &nbsp;&nbsp;(US SOFR plus 1.00%) — Monthly | Sahara International Petrochemical Co. — Monthly | (3054) |
|  | 217593 | 211683 |  | 6/20/23 | &nbsp;&nbsp;(US SOFR plus 1.00%) — Monthly | Saudi Tadawul Group Holding — Monthly | (6134) |
|  | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
|  | 49212846 | 49259786 |  | 5/26/23 | &nbsp;&nbsp;0.10% — Monthly | Buraschi Barclays Adaptive Trend Strategy - Ex-Commodities — Monthly***<sup>#</sup>*** | 46667 |
|  | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
|  | 734096 | 729878 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Advance Auto Parts — Monthly | 6108 |
|  | 158139 | 170644 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Aerovironment Inc — Monthly | (12098) |
|  | 651405 | 684737 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | AKAMI Technologies Inc — Monthly | (31656) |
|  | 676826 | 830499 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Align Technology Inc. — Monthly | (151931) |
|  | 1758993 | 2139082 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Array Technologies Inc. — Monthly | (375561) |
|  | 124525 | 144883 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | B&G Foods Inc. — Monthly | (22337) |
|  | 256385 | 264936 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Banc First Corp. — Monthly | (9122) |
|  | 611951 | 658104 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Bausch Health Cos Inc. — Monthly | (44577) |
|  | 445415 | 548351 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Beauty Health Co. — Monthly | (101790) |
|  | 138589 | 212123 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Big Commerce Holdings Ser 1 — Monthly | (73177) |
|  | 306554 | 331285 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Blackline Inc. — Monthly | (23942) |
|  | 181712 | 231958 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Canada Goose Holdings Inc — Monthly | (49779) |
|  | 88554 | 102709 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Catalent Inc — Monthly | (13927) |
|  | 463728 | 534549 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Digital Turbine Inc. — Monthly | (69628) |
|  | 63188 | 66577 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Ebix Inc. — Monthly | (3226) |
|  | 886903 | 924272 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Energizer Holdings Inc. — Monthly | (35087) |
|  | 269596 | 284246 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | F5 Inc. — Monthly | (13955) |
|  | 144794 | 171643 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Figs Inc-Class A — Monthly | (26476) |
|  | 143850 | 174097 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Floor & Decor Holdings Inc-A — Monthly | (29877) |
|  | 304036 | 365224 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | FreshPet Inc. — Monthly | (60405) |
|  | 897161 | 1030687 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Gibraltar Industries Inc. — Monthly | (131216) |
|  | 210191 | 258711 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Hayward Holdings Inc — Monthly | (47979) |
|  | 476369 | 516642 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Healthcare Services Group — Monthly | (39047) |
|  | 1239073 | 1244096 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | INSULET Corp — Monthly | (1833) |
|  | 253776 | 266571 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Kornit Digital Ltd. — Monthly | (12141) |
|  | 2211981 | 2305233 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | L3Harris Technologies Inc. — Monthly | (87558) |
|  | 171985 | 195602 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Lending Club Corp. — Monthly | (23175) |
|  | 362167 | 348238 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Lumen Technologies Inc. — Monthly | 14862 |
|  | 954706 | 1031840 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | MACOM Technology Solutions — Monthly | (74676) |
|  | 223046 | 240228 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Mercury Systems Inc. — Monthly | (16607) |
|  | 91699769 | 90384799 |  | 10/27/23 | &nbsp;&nbsp;US SOFR minus 0.12% — Quarterly | MSCI Daily TR Net Emerging Markets USD — Quarterly | 1325643 |
|  | 229408 | 263921 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | NCINO Inc. — Monthly | (33922) |
|  | 203438 | 230111 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Newell Brands Inc. — Monthly | (26150) |
|  | 99525 | 106391 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Omnicell Inc — Monthly | (6610) |
|  | 1943218 | 2204109 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Penumbra Inc. — Monthly | (255889) |
|  | 839345 | 802308 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Premier Inc. Class A — Monthly | 39198 |
|  | 2183210 | 2362315 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Ralph Lauren Corp. — Monthly | (187791) |
|  | 532400 | 586390 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Sanmina-Sci Corp. — Monthly | (52620) |
|  | 181419 | 213944 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Shoals Technologies Group - A — Monthly | (32058) |
|  | 409226 | 414768 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Syneaos Health Inc. — Monthly | (4489) |
|  | 793786 | 1246145 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Tesla Inc. — Monthly | (450315) |
|  | 616910 | 762180 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Universal Display Corp. — Monthly | (143682) |
|  | 477582 | 815056 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Wayfair Inc. Class A — Monthly | (336244) |
|  | 209904 | 225331 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | WD-40 Corp. — Monthly | (15959) |
|  | 574929 | 597310 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Whirlpool Corp. — Monthly | (20901) |
|  | 721904 | 775064 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Yeti Holdings Inc. — Monthly | (51302) |
|  | 197338 | 197198 |  | 7/5/24 | &nbsp;&nbsp;US SOFR minus 3.75% — Monthly | Zynex Inc. — Monthly | 209 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | 165480622 | 167767518 |  | 12/15/25 | &nbsp;&nbsp;(US SOFR plus 0.40%) — Monthly | A basket (GSGLPWDL) of common stocks — Monthly\* | 2033697 |
|  | 160470325 | 162818598 |  | 12/15/25 | &nbsp;&nbsp;US SOFR minus 0.25% — Monthly | A basket (GSGLPWDS) of common stocks — Monthly\* | (2204300) |
|  | 117684 | 123077 |  | 12/15/25 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Beyond Meat Inc. — Monthly | (8988) |
|  | 447974 | 466889 |  | 12/15/25 | &nbsp;&nbsp;US SOFR minus 0.28% — Monthly | Bloom Energy Corp. - A — Monthly | (18264) |
|  | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
|  | 27500152 | 30622374 |  | 10/4/23 | &nbsp;&nbsp;(US SOFR plus 0.41%) — Monthly | A basket (JPCMPTFL) of common stocks — Monthly\* | 3045966 |
|  | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
|  | 171732155 | 176408825 |  | 5/22/23 | &nbsp;&nbsp;(US SOFR plus 0.35%) — Monthly | A basket (UBSPUSER) of common stocks — Monthly\* | 4531592 |
|  | 171801868 | 176340861 |  | 5/22/23 | &nbsp;&nbsp;US SOFR plus 0.20% — Monthly | S&P 500 Total Return 4 Jan 1988 Index — Monthly | (4366981) |
|  | **Upfront premium received** | **Upfront premium received** | **—** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | **18606223** |
|  | **Upfront premium (paid)** | **Upfront premium (paid)** | **—** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | **(16373769)** |
|  |  | **Total** | **$—** |  |  | **Total** | **$2232454** |
| ***\**** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** |
| ***#*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** | ***BEFSBAXD is a trend strategy that invests in global futures (excluding commodities) based on long and short term trends in futures prices.*** |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (MLFCF15) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (MLFCF15) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (MLFCF15) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (MLFCF15) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (MLFCF15) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;Apple, Inc. | &nbsp;&nbsp;Technology | 51733 | $7464613 | 6.42% |
| &nbsp;&nbsp;Microsoft Corp. | &nbsp;&nbsp;Technology | 19643 | 4867658 | 4.19% |
| &nbsp;&nbsp;Alphabet, Inc. Class A | &nbsp;&nbsp;Technology | 43607 | 4310140 | 3.71% |
| &nbsp;&nbsp;Amazon.com, Inc. | &nbsp;&nbsp;Consumer cyclicals | 28383 | 2927173 | 2.52% |
| &nbsp;&nbsp;JPMorgan Chase & Co. | &nbsp;&nbsp;Financials | 17076 | 2389894 | 2.06% |
| &nbsp;&nbsp;Exxon Mobil Corp. | &nbsp;&nbsp;Energy | 19036 | 2208357 | 1.90% |
| &nbsp;&nbsp;Procter & Gamble Co. (The) | &nbsp;&nbsp;Consumer staples | 14599 | 2078631 | 1.79% |
| &nbsp;&nbsp;Coca-Cola Co. (The) | &nbsp;&nbsp;Consumer staples | 31352 | 1922511 | 1.65% |
| &nbsp;&nbsp;Merck & Co., Inc. | &nbsp;&nbsp;Health care | 17644 | 1895127 | 1.63% |
| &nbsp;&nbsp;Booking Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 770 | 1873988 | 1.61% |
| &nbsp;&nbsp;Philip Morris International, Inc. | &nbsp;&nbsp;Consumer staples | 17873 | 1863042 | 1.60% |
| &nbsp;&nbsp;Eli Lilly and Co. | &nbsp;&nbsp;Health care | 5146 | 1770855 | 1.52% |
| &nbsp;&nbsp;NVIDIA Corp. | &nbsp;&nbsp;Technology | 8768 | 1712968 | 1.47% |
| &nbsp;&nbsp;Qualcomm, Inc. | &nbsp;&nbsp;Technology | 12373 | 1648223 | 1.42% |
| &nbsp;&nbsp;Synopsys, Inc. | &nbsp;&nbsp;Technology | 4648 | 1644070 | 1.41% |
| &nbsp;&nbsp;Accenture PLC Class A | &nbsp;&nbsp;Technology | 5821 | 1624379 | 1.40% |
| &nbsp;&nbsp;CVS Health Corp. | &nbsp;&nbsp;Health care | 17571 | 1550116 | 1.33% |
| &nbsp;&nbsp;Abbott Laboratories | &nbsp;&nbsp;Health care | 13895 | 1536143 | 1.32% |
| &nbsp;&nbsp;Vertex Pharmaceuticals, Inc. | &nbsp;&nbsp;Health care | 4698 | 1518030 | 1.31% |
| &nbsp;&nbsp;Uber Technologies, Inc. | &nbsp;&nbsp;Consumer staples | 48558 | 1501913 | 1.29% |
| &nbsp;&nbsp;Cadence Design Systems, Inc. | &nbsp;&nbsp;Technology | 8017 | 1465825 | 1.26% |
| &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;Health care | 9795 | 1447164 | 1.24% |
| &nbsp;&nbsp;Citigroup, Inc. | &nbsp;&nbsp;Financials | 25125 | 1312015 | 1.13% |
| &nbsp;&nbsp;General Dynamics Corp. | &nbsp;&nbsp;Capital goods | 5511 | 1284464 | 1.10% |
| &nbsp;&nbsp;Meta Platforms, Inc. Class A | &nbsp;&nbsp;Technology | 8411 | 1253037 | 1.08% |
| &nbsp;&nbsp;Cisco Systems, Inc./Delaware | &nbsp;&nbsp;Technology | 25380 | 1235254 | 1.06% |
| &nbsp;&nbsp;eBay, Inc. | &nbsp;&nbsp;Technology | 24233 | 1199549 | 1.03% |
| &nbsp;&nbsp;AutoZone, Inc. | &nbsp;&nbsp;Consumer cyclicals | 482 | 1175874 | 1.01% |
| &nbsp;&nbsp;American International Group, Inc. | &nbsp;&nbsp;Financials | 18582 | 1174786 | 1.01% |
| &nbsp;&nbsp;Marathon Petroleum Corp. | &nbsp;&nbsp;Energy | 9042 | 1162107 | 1.00% |
| &nbsp;&nbsp;Adobe, Inc. | &nbsp;&nbsp;Technology | 2968 | 1099074 | 0.95% |
| &nbsp;&nbsp;MetLife, Inc. | &nbsp;&nbsp;Financials | 15029 | 1097418 | 0.94% |
| &nbsp;&nbsp;Bristol-Myers Squibb Co. | &nbsp;&nbsp;Health care | 14881 | 1081125 | 0.93% |
| &nbsp;&nbsp;Wells Fargo & Co. | &nbsp;&nbsp;Financials | 22532 | 1056097 | 0.91% |
| &nbsp;&nbsp;Tesla, Inc. | &nbsp;&nbsp;Consumer cyclicals | 5754 | 996693 | 0.86% |
| &nbsp;&nbsp;Verizon Communications, Inc. | &nbsp;&nbsp;Communication services | 23053 | 958296 | 0.82% |
| &nbsp;&nbsp;CSX Corp. | &nbsp;&nbsp;Transportation | 29011 | 897025 | 0.77% |
| &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;Communication services | 43420 | 884456 | 0.76% |
| &nbsp;&nbsp;Corteva, Inc. | &nbsp;&nbsp;Basic materials | 13216 | 851761 | 0.73% |
| &nbsp;&nbsp;Discover Financial Services | &nbsp;&nbsp;Financials | 7290 | 850914 | 0.73% |
| &nbsp;&nbsp;PepsiCo, Inc. | &nbsp;&nbsp;Consumer staples | 4804 | 821578 | 0.71% |
| &nbsp;&nbsp;Expedia Group, Inc. | &nbsp;&nbsp;Consumer cyclicals | 6953 | 794682 | 0.68% |
| &nbsp;&nbsp;Marathon Oil Corp. | &nbsp;&nbsp;Energy | 28706 | 788567 | 0.68% |
| &nbsp;&nbsp;Pfizer, Inc. | &nbsp;&nbsp;Health care | 17823 | 787058 | 0.68% |
| &nbsp;&nbsp;Cheniere Energy, Inc. | &nbsp;&nbsp;Energy | 5120 | 782355 | 0.67% |
| &nbsp;&nbsp;AMETEK, Inc. | &nbsp;&nbsp;Conglomerates | 5350 | 775358 | 0.67% |
| &nbsp;&nbsp;Fortive Corp. | &nbsp;&nbsp;Capital goods | 10839 | 737411 | 0.63% |
| &nbsp;&nbsp;General Motors Co. | &nbsp;&nbsp;Consumer cyclicals | 18639 | 732882 | 0.63% |
| &nbsp;&nbsp;Lockheed Martin Corp. | &nbsp;&nbsp;Capital goods | 1463 | 677676 | 0.58% |
| &nbsp;&nbsp;Goldman Sachs Group, Inc. (The) | &nbsp;&nbsp;Financials | 1841 | 673406 | 0.58% |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;Vinci SA (France) | &nbsp;&nbsp;Capital goods | 10079 | $1134469 | 0.68% |
| &nbsp;&nbsp;Eiffage SA (France) | &nbsp;&nbsp;Basic materials | 10308 | 1096706 | 0.65% |
| &nbsp;&nbsp;Energias de Portugal (EDP) SA (Portugal) | &nbsp;&nbsp;Utilities and power | 220257 | 1090317 | 0.65% |
| &nbsp;&nbsp;Exxon Mobil Corp. | &nbsp;&nbsp;Energy | 9153 | 1061785 | 0.63% |
| &nbsp;&nbsp;Ferrari NV (Italy) | &nbsp;&nbsp;Consumer cyclicals | 4252 | 1057039 | 0.63% |
| &nbsp;&nbsp;Fortive Corp. | &nbsp;&nbsp;Capital goods | 15450 | 1051087 | 0.63% |
| &nbsp;&nbsp;Weyerhaeuser Co. | &nbsp;&nbsp;Basic materials | 30475 | 1049240 | 0.63% |
| &nbsp;&nbsp;Keysight Technologies, Inc. | &nbsp;&nbsp;Technology | 5801 | 1040494 | 0.62% |
| &nbsp;&nbsp;SEI Investments Co. | &nbsp;&nbsp;Financials | 16439 | 1026289 | 0.61% |
| &nbsp;&nbsp;MSCI, Inc. | &nbsp;&nbsp;Technology | 1929 | 1025171 | 0.61% |
| &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;Communication services | 50054 | 1019599 | 0.61% |
| &nbsp;&nbsp;Merck & Co., Inc. | &nbsp;&nbsp;Health care | 9290 | 997835 | 0.59% |
| &nbsp;&nbsp;GoDaddy, Inc. Class A | &nbsp;&nbsp;Technology | 12116 | 995075 | 0.59% |
| &nbsp;&nbsp;Secom Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 16527 | 981260 | 0.58% |
| &nbsp;&nbsp;Kirin Holdings Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer staples | 63448 | 975294 | 0.58% |
| &nbsp;&nbsp;Chevron Corp. | &nbsp;&nbsp;Energy | 5592 | 973112 | 0.58% |
| &nbsp;&nbsp;Hartford Financial Services Group, Inc. (The) | &nbsp;&nbsp;Financials | 12358 | 959072 | 0.57% |
| &nbsp;&nbsp;Textron, Inc. | &nbsp;&nbsp;Capital goods | 13060 | 951448 | 0.57% |
| &nbsp;&nbsp;Philip Morris International, Inc. | &nbsp;&nbsp;Consumer staples | 9100 | 948592 | 0.57% |
| &nbsp;&nbsp;PepsiCo, Inc. | &nbsp;&nbsp;Consumer staples | 5538 | 947155 | 0.56% |
| &nbsp;&nbsp;FactSet Research Systems, Inc. | &nbsp;&nbsp;Consumer cyclicals | 2231 | 943741 | 0.56% |
| &nbsp;&nbsp;Cummins, Inc. | &nbsp;&nbsp;Capital goods | 3777 | 942398 | 0.56% |
| &nbsp;&nbsp;Diageo PLC (United Kingdom) | &nbsp;&nbsp;Consumer staples | 21653 | 938329 | 0.56% |
| &nbsp;&nbsp;Garmin, Ltd. | &nbsp;&nbsp;Technology | 9484 | 937792 | 0.56% |
| &nbsp;&nbsp;Hershey Co. (The) | &nbsp;&nbsp;Consumer staples | 4126 | 926617 | 0.55% |
| &nbsp;&nbsp;Marubeni Corp. (Japan) | &nbsp;&nbsp;Conglomerates | 75338 | 919093 | 0.55% |
| &nbsp;&nbsp;Canadian Utilities, Ltd. Class A (Canada) | &nbsp;&nbsp;Utilities and power | 32238 | 893427 | 0.53% |
| &nbsp;&nbsp;Chubb, Ltd. | &nbsp;&nbsp;Financials | 3832 | 871686 | 0.52% |
| &nbsp;&nbsp;Agilent Technologies, Inc. | &nbsp;&nbsp;Technology | 5607 | 852757 | 0.51% |
| &nbsp;&nbsp;Aristocrat Leisure, Ltd. (Australia) | &nbsp;&nbsp;Consumer cyclicals | 34734 | 831189 | 0.50% |
| &nbsp;&nbsp;Nitto Denko Corp. (Japan) | &nbsp;&nbsp;Basic materials | 12736 | 818708 | 0.49% |
| &nbsp;&nbsp;Hermes International (France) | &nbsp;&nbsp;Consumer cyclicals | 433 | 806534 | 0.48% |
| &nbsp;&nbsp;Sekisui Chemical Co., Ltd. (Japan) | &nbsp;&nbsp;Financials | 57226 | 797811 | 0.48% |
| &nbsp;&nbsp;Shell PLC (London Exchange) (United Kingdom) | &nbsp;&nbsp;Energy | 27162 | 793860 | 0.47% |
| &nbsp;&nbsp;Nestle SA (Switzerland) | &nbsp;&nbsp;Consumer staples | 6540 | 793574 | 0.47% |
| &nbsp;&nbsp;Valeo (France) | &nbsp;&nbsp;Consumer cyclicals | 36337 | 788673 | 0.47% |
| &nbsp;&nbsp;Toppan, Inc. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 48559 | 779291 | 0.46% |
| &nbsp;&nbsp;Mettler-Toledo International, Inc. | &nbsp;&nbsp;Health care | 506 | 775427 | 0.46% |
| &nbsp;&nbsp;VeriSign, Inc. | &nbsp;&nbsp;Technology | 3538 | 771568 | 0.46% |
| &nbsp;&nbsp;Avery Dennison Corp. | &nbsp;&nbsp;Basic materials | 4069 | 770751 | 0.46% |
| &nbsp;&nbsp;Gilead Sciences, Inc. | &nbsp;&nbsp;Health care | 9125 | 765920 | 0.46% |
| &nbsp;&nbsp;Colgate-Palmolive Co. | &nbsp;&nbsp;Consumer staples | 10268 | 765268 | 0.46% |
| &nbsp;&nbsp;ConocoPhillips | &nbsp;&nbsp;Energy | 6158 | 750467 | 0.45% |
| &nbsp;&nbsp;NetApp, Inc. | &nbsp;&nbsp;Technology | 11268 | 746257 | 0.44% |
| &nbsp;&nbsp;Bezeq The Israeli Telecommunication Corp., Ltd. (Israel) | &nbsp;&nbsp;Communication services | 446866 | 737783 | 0.44% |
| &nbsp;&nbsp;Dai Nippon Printing Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 31311 | 736761 | 0.44% |
| &nbsp;&nbsp;Swatch Group AG (The) (Switzerland) | &nbsp;&nbsp;Consumer cyclicals | 2025 | 726992 | 0.43% |
| &nbsp;&nbsp;Recruit Holdings Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer staples | 22582 | 719594 | 0.43% |
| &nbsp;&nbsp;Moncler SpA (Italy) | &nbsp;&nbsp;Consumer cyclicals | 11556 | 717864 | 0.43% |
| &nbsp;&nbsp;Dropbox, Inc. Class A | &nbsp;&nbsp;Technology | 30776 | 714923 | 0.43% |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;LVMH Moet Hennessy Louis Vuitton SA (France) | &nbsp;&nbsp;Consumer cyclicals | 1322 | $1149508 | 0.71% |
| &nbsp;&nbsp;BNP Paribas SA (France) | &nbsp;&nbsp;Financials | 16544 | 1131323 | 0.69% |
| &nbsp;&nbsp;Solvay SA (France) | &nbsp;&nbsp;Basic materials | 9539 | 1106007 | 0.68% |
| &nbsp;&nbsp;Allianz SE (Germany) | &nbsp;&nbsp;Financials | 4506 | 1073818 | 0.66% |
| &nbsp;&nbsp;Moody's Corp. | &nbsp;&nbsp;Consumer cyclicals | 3314 | 1069513 | 0.66% |
| &nbsp;&nbsp;Enel SpA (Italy) | &nbsp;&nbsp;Utilities and power | 181707 | 1064953 | 0.65% |
| &nbsp;&nbsp;Visa, Inc. Class A | &nbsp;&nbsp;Financials | 4604 | 1059929 | 0.65% |
| &nbsp;&nbsp;AXA SA (France) | &nbsp;&nbsp;Financials | 33917 | 1055126 | 0.65% |
| &nbsp;&nbsp;Air Liquide SA (France) | &nbsp;&nbsp;Basic materials | 6625 | 1052034 | 0.65% |
| &nbsp;&nbsp;Reed Elsevier (United Kingdom) | &nbsp;&nbsp;Consumer cyclicals | 35002 | 1036517 | 0.64% |
| &nbsp;&nbsp;SoftBank Corp. (Japan) | &nbsp;&nbsp;Communication services | 89362 | 1020519 | 0.63% |
| &nbsp;&nbsp;Equifax, Inc. | &nbsp;&nbsp;Consumer cyclicals | 4531 | 1006704 | 0.62% |
| &nbsp;&nbsp;Orange SA (France) | &nbsp;&nbsp;Communication services | 94251 | 996162 | 0.61% |
| &nbsp;&nbsp;CGI Group, Inc. Class A (Canada) | &nbsp;&nbsp;Technology | 11366 | 974162 | 0.60% |
| &nbsp;&nbsp;Toyota Motor Corp. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 66281 | 965705 | 0.59% |
| &nbsp;&nbsp;Imperial Brands PLC (United Kingdom) | &nbsp;&nbsp;Consumer staples | 37755 | 945359 | 0.58% |
| &nbsp;&nbsp;International Paper Co. | &nbsp;&nbsp;Basic materials | 21306 | 891028 | 0.55% |
| &nbsp;&nbsp;BlackRock, Inc. | &nbsp;&nbsp;Financials | 1144 | 868242 | 0.53% |
| &nbsp;&nbsp;Waste Connections, Inc. | &nbsp;&nbsp;Capital goods | 6503 | 864256 | 0.53% |
| &nbsp;&nbsp;Swisscom AG (Switzerland) | &nbsp;&nbsp;Communication services | 1461 | 861855 | 0.53% |
| &nbsp;&nbsp;S&P Global, Inc. | &nbsp;&nbsp;Consumer cyclicals | 2248 | 842747 | 0.52% |
| &nbsp;&nbsp;Heineken NV (Netherlands) | &nbsp;&nbsp;Consumer staples | 8397 | 835683 | 0.51% |
| &nbsp;&nbsp;D.R. Horton, Inc. | &nbsp;&nbsp;Consumer cyclicals | 8453 | 834238 | 0.51% |
| &nbsp;&nbsp;NICE, Ltd. (Israel) | &nbsp;&nbsp;Communication services | 4034 | 830907 | 0.51% |
| &nbsp;&nbsp;Bridgestone Corp. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 22356 | 830432 | 0.51% |
| &nbsp;&nbsp;Cooper Cos., Inc. (The) | &nbsp;&nbsp;Health care | 2341 | 817012 | 0.50% |
| &nbsp;&nbsp;Berkshire Hathaway, Inc. Class B | &nbsp;&nbsp;Financials | 2562 | 798263 | 0.49% |
| &nbsp;&nbsp;ORIX Corp. (Japan) | &nbsp;&nbsp;Financials | 45337 | 792400 | 0.49% |
| &nbsp;&nbsp;EssilorLuxottica SA (France) | &nbsp;&nbsp;Health care | 4335 | 791346 | 0.49% |
| &nbsp;&nbsp;STERIS PLC | &nbsp;&nbsp;Health care | 3766 | 777688 | 0.48% |
| &nbsp;&nbsp;Masco Corp. | &nbsp;&nbsp;Consumer cyclicals | 14342 | 762973 | 0.47% |
| &nbsp;&nbsp;Ingersoll Rand, Inc. | &nbsp;&nbsp;Capital goods | 13558 | 759222 | 0.47% |
| &nbsp;&nbsp;CSL, Ltd. (Australia) | &nbsp;&nbsp;Health care | 3475 | 731070 | 0.45% |
| &nbsp;&nbsp;Kubota Corp. (Japan) | &nbsp;&nbsp;Capital goods | 48858 | 727434 | 0.45% |
| &nbsp;&nbsp;Swiss Re AG (Switzerland) | &nbsp;&nbsp;Financials | 6922 | 722526 | 0.44% |
| &nbsp;&nbsp;Westlake Corp. | &nbsp;&nbsp;Basic materials | 5855 | 718673 | 0.44% |
| &nbsp;&nbsp;Coca-Cola Co. (The) | &nbsp;&nbsp;Consumer staples | 11688 | 716695 | 0.44% |
| &nbsp;&nbsp;United Parcel Service, Inc. Class B | &nbsp;&nbsp;Transportation | 3869 | 716684 | 0.44% |
| &nbsp;&nbsp;Monster Beverage Corp. | &nbsp;&nbsp;Consumer staples | 6884 | 716492 | 0.44% |
| &nbsp;&nbsp;Atmos Energy Corp. | &nbsp;&nbsp;Utilities and power | 6016 | 707084 | 0.43% |
| &nbsp;&nbsp;Toyota Industries Corp. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 11662 | 705107 | 0.43% |
| &nbsp;&nbsp;Takeda Pharmaceutical Co., Ltd. (Japan) | &nbsp;&nbsp;Health care | 22216 | 698073 | 0.43% |
| &nbsp;&nbsp;CK Hutchison Holdings, Ltd. (Hong Kong) | &nbsp;&nbsp;Consumer staples | 109717 | 696826 | 0.43% |
| &nbsp;&nbsp;Fastenal Co. | &nbsp;&nbsp;Consumer staples | 13767 | 695900 | 0.43% |
| &nbsp;&nbsp;TOTO, Ltd. (Japan) | &nbsp;&nbsp;Basic materials | 17959 | 692607 | 0.43% |
| &nbsp;&nbsp;Chocoladefabriken Lindt & Spruengli AG (Switzerland) | &nbsp;&nbsp;Consumer staples | 6 | 689034 | 0.42% |
| &nbsp;&nbsp;Howmet Aerospace, Inc. | &nbsp;&nbsp;Capital goods | 16388 | 666811 | 0.41% |
| &nbsp;&nbsp;TJX Cos., Inc. (The) | &nbsp;&nbsp;Consumer cyclicals | 7917 | 648112 | 0.40% |
| &nbsp;&nbsp;Ferguson PLC (United Kingdom) | &nbsp;&nbsp;Consumer staples | 4593 | 643236 | 0.40% |
| &nbsp;&nbsp;Quanta Services, Inc. | &nbsp;&nbsp;Capital goods | 4220 | 642307 | 0.39% |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (JPCMPTFL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (JPCMPTFL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (JPCMPTFL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (JPCMPTFL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (JPCMPTFL) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;UMW Holdings Corp. | &nbsp;&nbsp;Financials | 128027 | $586363 | 1.91% |
| &nbsp;&nbsp;PulteGroup, Inc. | &nbsp;&nbsp;Consumer cyclicals | 9601 | 546180 | 1.78% |
| &nbsp;&nbsp;Spirit AeroSystems Holdings, Inc. Class A | &nbsp;&nbsp;Capital goods | 14716 | 531983 | 1.74% |
| &nbsp;&nbsp;Enovis Corp. | &nbsp;&nbsp;Capital goods | 8200 | 516185 | 1.69% |
| &nbsp;&nbsp;AZEK Co., Inc. (The) | &nbsp;&nbsp;Basic materials | 21245 | 512637 | 1.67% |
| &nbsp;&nbsp;Carter's, Inc. | &nbsp;&nbsp;Consumer cyclicals | 5596 | 466571 | 1.52% |
| &nbsp;&nbsp;Thor Industries, Inc. | &nbsp;&nbsp;Consumer cyclicals | 4847 | 462058 | 1.51% |
| &nbsp;&nbsp;Columbia Sportswear Co. | &nbsp;&nbsp;Consumer cyclicals | 4626 | 443599 | 1.45% |
| &nbsp;&nbsp;Hanesbrands, Inc. | &nbsp;&nbsp;Consumer cyclicals | 52467 | 442818 | 1.45% |
| &nbsp;&nbsp;Clorox Co. (The) | &nbsp;&nbsp;Consumer cyclicals | 2991 | 432713 | 1.41% |
| &nbsp;&nbsp;Dexcom, Inc. | &nbsp;&nbsp;Health care | 4013 | 429769 | 1.40% |
| &nbsp;&nbsp;Block, Inc. Class A | &nbsp;&nbsp;Consumer cyclicals | 5125 | 418802 | 1.37% |
| &nbsp;&nbsp;Under Armour, Inc. Class C | &nbsp;&nbsp;Consumer cyclicals | 36643 | 399409 | 1.30% |
| &nbsp;&nbsp;Etsy, Inc. | &nbsp;&nbsp;Consumer staples | 2875 | 395555 | 1.29% |
| &nbsp;&nbsp;ICU Medical, Inc. | &nbsp;&nbsp;Health care | 1980 | 382531 | 1.25% |
| &nbsp;&nbsp;ESAB Corp. | &nbsp;&nbsp;Capital goods | 6565 | 379536 | 1.24% |
| &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;Communication services | 18380 | 374401 | 1.22% |
| &nbsp;&nbsp;Victoria's Secret & Co. | &nbsp;&nbsp;Consumer cyclicals | 8714 | 367300 | 1.20% |
| &nbsp;&nbsp;Cardinal Health, Inc. | &nbsp;&nbsp;Health care | 4678 | 361373 | 1.18% |
| &nbsp;&nbsp;Amedisys, Inc. | &nbsp;&nbsp;Health care | 3652 | 352995 | 1.15% |
| &nbsp;&nbsp;Armstrong World Industries, Inc. | &nbsp;&nbsp;Basic materials | 4446 | 344176 | 1.12% |
| &nbsp;&nbsp;Timken Co. (The) | &nbsp;&nbsp;Basic materials | 4090 | 336780 | 1.10% |
| &nbsp;&nbsp;Axon Enterprise, Inc. | &nbsp;&nbsp;Capital goods | 1659 | 324258 | 1.06% |
| &nbsp;&nbsp;Coty, Inc. Class A | &nbsp;&nbsp;Consumer staples | 32273 | 321439 | 1.05% |
| &nbsp;&nbsp;Certara, Inc. | &nbsp;&nbsp;Health care | 15802 | 306555 | 1.00% |
| &nbsp;&nbsp;United Rentals, Inc. | &nbsp;&nbsp;Consumer cyclicals | 695 | 306336 | 1.00% |
| &nbsp;&nbsp;BWX Technologies, Inc. | &nbsp;&nbsp;Capital goods | 5033 | 306328 | 1.00% |
| &nbsp;&nbsp;Peloton Interactive, Inc. Class A | &nbsp;&nbsp;Consumer cyclicals | 23531 | 304256 | 0.99% |
| &nbsp;&nbsp;10x Genomics, Inc. Class A | &nbsp;&nbsp;Health care | 6371 | 298346 | 0.97% |
| &nbsp;&nbsp;Quanta Services, Inc. | &nbsp;&nbsp;Capital goods | 1902 | 289464 | 0.95% |
| &nbsp;&nbsp;Gates Industrial Corp. PLC | &nbsp;&nbsp;Capital goods | 21325 | 281703 | 0.92% |
| &nbsp;&nbsp;Spectrum Brands Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 4134 | 280635 | 0.92% |
| &nbsp;&nbsp;Boston Beer Co., Inc. (The) Class A | &nbsp;&nbsp;Consumer staples | 722 | 280545 | 0.92% |
| &nbsp;&nbsp;Allison Transmission Holdings, Inc. | &nbsp;&nbsp;Capital goods | 6058 | 273081 | 0.89% |
| &nbsp;&nbsp;Boston Scientific Corp. | &nbsp;&nbsp;Health care | 5837 | 269980 | 0.88% |
| &nbsp;&nbsp;arista Networks, Inc. | &nbsp;&nbsp;Technology | 2108 | 265628 | 0.87% |
| &nbsp;&nbsp;ChargePoint Holdings, Inc. | &nbsp;&nbsp;Capital goods | 21778 | 264385 | 0.86% |
| &nbsp;&nbsp;Driven Brands Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 8793 | 256665 | 0.84% |
| &nbsp;&nbsp;Vertiv Holdings Co. | &nbsp;&nbsp;Capital goods | 17526 | 249226 | 0.81% |
| &nbsp;&nbsp;Definitive Healthcare Corp. | &nbsp;&nbsp;Health care | 20119 | 249072 | 0.81% |
| &nbsp;&nbsp;Flowserve Corp. | &nbsp;&nbsp;Capital goods | 7230 | 248845 | 0.81% |
| &nbsp;&nbsp;DoubleVerify Holdings, Inc. | &nbsp;&nbsp;Technology | 8788 | 238958 | 0.78% |
| &nbsp;&nbsp;Masimo Corp. | &nbsp;&nbsp;Health care | 1400 | 238167 | 0.78% |
| &nbsp;&nbsp;Lockheed Martin Corp. | &nbsp;&nbsp;Capital goods | 512 | 237410 | 0.78% |
| &nbsp;&nbsp;Dentsply Sirona, Inc. | &nbsp;&nbsp;Health care | 6303 | 232126 | 0.76% |
| &nbsp;&nbsp;Monolithic Power Systems, Inc. | &nbsp;&nbsp;Technology | 530 | 225942 | 0.74% |
| &nbsp;&nbsp;Enhabit, Inc. | &nbsp;&nbsp;Health care | 14686 | 225574 | 0.74% |
| &nbsp;&nbsp;Tandem Diabetes Care, Inc. | &nbsp;&nbsp;Health care | 5478 | 223181 | 0.73% |
| &nbsp;&nbsp;TopBuild Corp. | &nbsp;&nbsp;Basic materials | 1099 | 219821 | 0.72% |
| &nbsp;&nbsp;Gap, Inc. (The) | &nbsp;&nbsp;Consumer cyclicals | 16008 | 217230 | 0.71% |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (UBSPUSER) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (UBSPUSER) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (UBSPUSER) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (UBSPUSER) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (UBSPUSER) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;Microsoft Corp. | &nbsp;&nbsp;Technology | 52017 | $12890263 | 7.31% |
| &nbsp;&nbsp;Apple, Inc. | &nbsp;&nbsp;Technology | 72780 | 10501424 | 5.95% |
| &nbsp;&nbsp;Amazon.com, Inc. | &nbsp;&nbsp;Consumer cyclicals | 47069 | 4854254 | 2.75% |
| &nbsp;&nbsp;Alphabet, Inc. Class C | &nbsp;&nbsp;Technology | 46583 | 4652289 | 2.64% |
| &nbsp;&nbsp;NVIDIA Corp. | &nbsp;&nbsp;Technology | 17719 | 3461772 | 1.96% |
| &nbsp;&nbsp;Exxon Mobil Corp. | &nbsp;&nbsp;Energy | 28489 | 3305043 | 1.87% |
| &nbsp;&nbsp;Walmart, Inc. | &nbsp;&nbsp;Consumer cyclicals | 20793 | 2991533 | 1.70% |
| &nbsp;&nbsp;Charles Schwab Corp. (The) | &nbsp;&nbsp;Financials | 38379 | 2971293 | 1.68% |
| &nbsp;&nbsp;UnitedHealth Group, Inc. | &nbsp;&nbsp;Health care | 5836 | 2913329 | 1.65% |
| &nbsp;&nbsp;Union Pacific Corp. | &nbsp;&nbsp;Transportation | 14203 | 2900161 | 1.64% |
| &nbsp;&nbsp;Bank of America Corp. | &nbsp;&nbsp;Financials | 76965 | 2730716 | 1.55% |
| &nbsp;&nbsp;Danaher Corp. | &nbsp;&nbsp;Health care | 10326 | 2730071 | 1.55% |
| &nbsp;&nbsp;Oracle Corp. | &nbsp;&nbsp;Technology | 29792 | 2635440 | 1.49% |
| &nbsp;&nbsp;Mastercard, Inc. Class A | &nbsp;&nbsp;Consumer cyclicals | 7107 | 2633741 | 1.49% |
| &nbsp;&nbsp;Merck & Co., Inc. | &nbsp;&nbsp;Health care | 23809 | 2557291 | 1.45% |
| &nbsp;&nbsp;Visa, Inc. Class A | &nbsp;&nbsp;Financials | 10920 | 2513848 | 1.43% |
| &nbsp;&nbsp;American Tower Corp. | &nbsp;&nbsp;Communication services | 11238 | 2510393 | 1.42% |
| &nbsp;&nbsp;Meta Platforms, Inc. Class A | &nbsp;&nbsp;Technology | 16415 | 2445310 | 1.39% |
| &nbsp;&nbsp;Johnson Controls International PLC | &nbsp;&nbsp;Capital goods | 34924 | 2429663 | 1.38% |
| &nbsp;&nbsp;Regeneron Pharmaceuticals, Inc. | &nbsp;&nbsp;Health care | 3056 | 2318127 | 1.31% |
| &nbsp;&nbsp;Goldman Sachs Group, Inc. (The) | &nbsp;&nbsp;Financials | 6080 | 2224144 | 1.26% |
| &nbsp;&nbsp;McKesson Corp. | &nbsp;&nbsp;Health care | 5694 | 2156181 | 1.22% |
| &nbsp;&nbsp;Northrop Grumman Corp. | &nbsp;&nbsp;Capital goods | 4770 | 2136988 | 1.21% |
| &nbsp;&nbsp;O'Reilly Automotive, Inc. | &nbsp;&nbsp;Consumer cyclicals | 2689 | 2130554 | 1.21% |
| &nbsp;&nbsp;Qualcomm, Inc. | &nbsp;&nbsp;Technology | 15422 | 2054324 | 1.16% |
| &nbsp;&nbsp;Tesla, Inc. | &nbsp;&nbsp;Consumer cyclicals | 11859 | 2054241 | 1.16% |
| &nbsp;&nbsp;ConocoPhillips | &nbsp;&nbsp;Energy | 16495 | 2010276 | 1.14% |
| &nbsp;&nbsp;Thermo Fisher Scientific, Inc. | &nbsp;&nbsp;Health care | 3321 | 1894049 | 1.07% |
| &nbsp;&nbsp;Citigroup, Inc. | &nbsp;&nbsp;Financials | 35383 | 1847711 | 1.05% |
| &nbsp;&nbsp;Freeport-McMoRan, Inc. (Indonesia) | &nbsp;&nbsp;Basic materials | 41123 | 1834910 | 1.04% |
| &nbsp;&nbsp;Cadence Design Systems, Inc. | &nbsp;&nbsp;Technology | 9843 | 1799673 | 1.02% |
| &nbsp;&nbsp;Honeywell International, Inc. | &nbsp;&nbsp;Capital goods | 8285 | 1727247 | 0.98% |
| &nbsp;&nbsp;Procter & Gamble Co. (The) | &nbsp;&nbsp;Consumer staples | 12073 | 1718902 | 0.97% |
| &nbsp;&nbsp;Eli Lilly and Co. | &nbsp;&nbsp;Health care | 4820 | 1658922 | 0.94% |
| &nbsp;&nbsp;Elevance Health, Inc. | &nbsp;&nbsp;Health care | 3082 | 1541135 | 0.87% |
| &nbsp;&nbsp;Valero Energy Corp. | &nbsp;&nbsp;Energy | 10427 | 1460098 | 0.83% |
| &nbsp;&nbsp;Corteva, Inc. | &nbsp;&nbsp;Basic materials | 22591 | 1456014 | 0.83% |
| &nbsp;&nbsp;Booking Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 593 | 1442828 | 0.82% |
| &nbsp;&nbsp;Costco Wholesale Corp. | &nbsp;&nbsp;Consumer staples | 2793 | 1427439 | 0.81% |
| &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;Health care | 8913 | 1316950 | 0.75% |
| &nbsp;&nbsp;JPMorgan Chase & Co. | &nbsp;&nbsp;Financials | 9363 | 1310510 | 0.74% |
| &nbsp;&nbsp;Intuit, Inc. | &nbsp;&nbsp;Technology | 2948 | 1245885 | 0.71% |
| &nbsp;&nbsp;Accenture PLC Class A | &nbsp;&nbsp;Technology | 4393 | 1225862 | 0.69% |
| &nbsp;&nbsp;Comcast Corp. Class A | &nbsp;&nbsp;Communication services | 30151 | 1186443 | 0.67% |
| &nbsp;&nbsp;Deere & Co. | &nbsp;&nbsp;Capital goods | 2787 | 1178342 | 0.67% |
| &nbsp;&nbsp;NRG Energy, Inc. | &nbsp;&nbsp;Utilities and power | 34136 | 1168134 | 0.66% |
| &nbsp;&nbsp;Raytheon Technologies Corp. | &nbsp;&nbsp;Capital goods | 11693 | 1167548 | 0.66% |
| &nbsp;&nbsp;Charter Communications, Inc. Class A | &nbsp;&nbsp;Communication services | 3022 | 1161292 | 0.66% |
| &nbsp;&nbsp;Hilton Worldwide Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 7968 | 1156100 | 0.66% |
| &nbsp;&nbsp;Home Depot, Inc. (The) | &nbsp;&nbsp;Consumer cyclicals | 3565 | 1155628 | 0.66% |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | $4580 | $41442 | $10133 | 5/11/63 | 300 bp — Monthly | $(5529) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 6498 | 70514 | 17241 | 5/11/63 | 300 bp — Monthly | (10701) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 15001 | 150305 | 36750 | 5/11/63 | 300 bp — Monthly | (21661) |
|  | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 8583 | 1527000 | 288145 | 1/17/47 | 300 bp — Monthly | (278671) |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 237268 | 1130572 | 417633 | 5/11/63 | 500 bp — Monthly | (179266) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 32151 | 630000 | 205758 | 1/17/47 | 500 bp — Monthly | (172994) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 41182 | 521000 | 98313 | 1/17/47 | 300 bp — Monthly | (56827) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 477711 | 6463000 | 1219568 | 1/17/47 | 300 bp — Monthly | (738087) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 171603 | 2462000 | 464579 | 1/17/47 | 300 bp — Monthly | (291540) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 587623 | 7950000 | 1500165 | 1/17/47 | 300 bp — Monthly | (907904) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 23391 | 150000 | 24045 | 10/17/57 | 300 bp — Monthly | (567) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 23979 | 210000 | 68586 | 1/17/47 | 500 bp — Monthly | (44403) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **1629570** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **—** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **—** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(2708150)** |
|  | **Total** |  | **$1629570** |  |  |  | **Total** | **$(2708150)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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------

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | $3715 | $192482 | $28083 | 5/11/63 | (200 bp) — Monthly | $31723 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (25000) | 228000 | 71820 | 11/17/59 | (500 bp) — Monthly | 46598 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (21916) | 210000 | 66150 | 11/17/59 | (500 bp) — Monthly | 44030 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (81623) | 630000 | 131922 | 11/18/54 | (500 bp) — Monthly | 49687 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (18193) | 193000 | 40414 | 11/18/54 | (500 bp) — Monthly | 22034 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (255056) | 2471000 | 753902 | 9/17/58 | (500 bp) — Monthly | 496444 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | (79424) | 262261 | 64123 | 5/11/63 | (300 bp) — Monthly | (15454) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (51729) | 435000 | 137025 | 11/17/59 | (500 bp) — Monthly | 84873 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (55104) | 413000 | 130095 | 11/17/59 | (500 bp) — Monthly | 74589 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (29194) | 1130572 | 417633 | 5/11/63 | (500 bp) — Monthly | 387340 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (43113) | 255000 | 83283 | 1/17/47 | (500 bp) — Monthly | 39922 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (30568) | 202000 | 65973 | 1/17/47 | (500 bp) — Monthly | 35209 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (22144) | 184000 | 56138 | 9/17/58 | (500 bp) — Monthly | 33815 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (21896) | 184000 | 56138 | 9/17/58 | (500 bp) — Monthly | 34064 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (1467986) | 2998000 | 979147 | 1/17/47 | (500 bp) — Monthly | (491754) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (2665497) | 11354000 | 2142500 | 1/17/47 | (300 bp) — Monthly | (529621) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | 8647 | 231156 | 33726 | 5/11/63 | (200 bp) — Monthly | 42282 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (23898) | 420000 | 132300 | 11/17/59 | (500 bp) — Monthly | 107994 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (273312) | 553000 | 115798 | 11/18/54 | (500 bp) — Monthly | (158052) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (22024) | 210000 | 66150 | 11/17/59 | (500 bp) — Monthly | 43922 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (22310) | 184000 | 56138 | 9/17/58 | (500 bp) — Monthly | 33650 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (2789) | 23000 | 7017 | 9/17/58 | (500 bp) — Monthly | 4206 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (315451) | 3096000 | 584215 | 1/17/47 | (300 bp) — Monthly | 266958 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (15396) | 109000 | 17473 | 10/17/57 | (300 bp) — Monthly | 2013 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (5612) | 41000 | 6572 | 10/17/57 | (300 bp) — Monthly | 937 |
| **Upfront premium received** | **Upfront premium received** | **12362** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **1882290** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(5549235)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(1194881)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(5536873)** |  |  |  | **Total** | **$687409** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

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| | |
|:---|:---|
|  | ***Key to holding's currency abbreviations*** |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
|  | ***Key to holding's abbreviations*** |
| ADR | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. |
| bp | Basis Points |
| CME | Chicago Mercantile Exchange |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| ICE | Intercontinental Exchange |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| IO | Interest Only |
| LIBOR | London Interbank Offered Rate |
| OTC | Over-the-counter |
| PO | Principal Only |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMICs | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate |
| SPDR | S&P Depository Receipts |
| TBA | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $535,391,288. |
| ***<sup>(CLN)</sup>*** | The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index. |
| ***<sup>(NON)</sup>*** | This security is non-income-producing. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $5,359,898. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $21,392,913. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $1,058,852. |
| ***<sup>(F)</sup>*** | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio. |
| ***<sup>(i)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | Debt obligations are considered secured unless otherwise indicated. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. |
|  | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities and total return swap contracts taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities and total return swaps in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
|  | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $323,377,392 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries. |
|  | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $4,582,054 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $21,392,913 and may include amounts related to unsettled agreements. |

---

------

---

| | | | |
|:---|:---|:---|:---|
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| **Common stocks\*:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Basic materials | &nbsp;&nbsp;&nbsp;&nbsp;$2626819 | &nbsp;&nbsp;&nbsp;&nbsp;$5281686 | &nbsp;&nbsp;&nbsp;&nbsp;$— |
| &nbsp;&nbsp;&nbsp;&nbsp;Capital goods | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;904699 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Communication services | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;711998 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer cyclicals | &nbsp;&nbsp;&nbsp;&nbsp;597194 | &nbsp;&nbsp;&nbsp;&nbsp;9703380 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer staples | &nbsp;&nbsp;&nbsp;&nbsp;3591520 | &nbsp;&nbsp;&nbsp;&nbsp;2348143 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Energy | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;2145291 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Financials | &nbsp;&nbsp;&nbsp;&nbsp;3183202 | &nbsp;&nbsp;&nbsp;&nbsp;11708695 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Health care | &nbsp;&nbsp;&nbsp;&nbsp;133113 | &nbsp;&nbsp;&nbsp;&nbsp;2939932 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Technology | &nbsp;&nbsp;&nbsp;&nbsp;6028377 | &nbsp;&nbsp;&nbsp;&nbsp;21180238 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Transportation | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;2689957 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Utilities and power | &nbsp;&nbsp;&nbsp;&nbsp;1172205 | &nbsp;&nbsp;&nbsp;&nbsp;29887 | &nbsp;&nbsp;&nbsp;&nbsp;11 |
| **Total common stocks** | **17332430** | **59643906** | **11** |
| Asset-backed securities |  | 2149769 |  |
| Commodity linked notes |  | 41346856 |  |
| Corporate bonds and notes |  | 774656 |  |
| Foreign government and agency bonds and notes |  | 4209401 |  |
| Investment companies | 51158642 |  |  |
| Mortgage-backed securities |  | 3220622 |  |
| U.S. government and agency mortgage obligations |  | 146081405 |  |
| U.S. treasury obligations |  | 801870 |  |
| Units | 247448 |  |  |
| Warrants |  | 5389241 |  |
| Short-term investments | 7547000 | 354810025 |  |
| **Totals by level** | **$76285520** | **$618427751** | **$11** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Futures contracts | $(445072) | $— | $— |
| Forward premium swap option contracts |  | (155870) |  |
| TBA sale commitments |  | (95558303) |  |
| Interest rate swap contracts |  | (966295) |  |
| Total return swap contracts |  | 2232454 |  |
| Credit default contracts |  | 1886562 |  |
| **Totals by level** | **$(445072)** | **$(92561452)** | **$—** |
| \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. |
| At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased swap option contracts (contract amount) | $18100000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 2000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $307100000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC total return swap contracts (notional) | $1117600000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $47600000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Warrants (number of warrants) | 2100000 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Funds Trust

- **b. Investment Company Act file number:** 811-07513

- **c. CIK number of Registrant:** 0001005942

- **d. LEI of Registrant:** 549300S9JYWEMKQCLW53

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam Multi-Asset Absolute Return Fund

- **b. EDGAR series identifier (if any):** S000024276

- **c. LEI of Series:** 54930063MZOBFIL7WY32

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **Yes**

### Fund Information

**Total Assets:** $800589728.20

**Total Liabilities:** $264797183.15

**Net Assets:** $535792544.64

**Delayed Delivery Securities:** $116898.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 144.56 | **1-Year:** 5232.97 | **5-Year:** 5765.43 | **10-Year:** 7214.07 | **30-Year:** 809.28

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

- **3-Month:** 7.46 | **1-Year:** 155.09 | **5-Year:** 494.46 | **10-Year:** 479.04 | **30-Year:** 3.54

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000071722 | 0.77%                | 0.63%                | 0.19%                |
| Class ID C000118008 | 0.87%                | 0.59%                | 0.19%                |
| Class ID C000174703 | 0.77%                | 0.65%                | 0.19%                |
| Class ID C000071717 | 0.78%                | 0.58%                | 0.19%                |
| Class ID C000071718 | 0.70%                | 0.53%                | 0.10%                |
| Class ID C000071721 | 0.80%                | 0.45%                | 0.19%                |
| Class ID C000071719 | 0.70%                | 0.52%                | 0.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6392920.35             | $18390031.19                               |
| Month 2  | $2721523.40              | $-5304382.97                               |
| Month 3  | $-130619.26              | $18152765.62                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSAA HOME EQUITY TRUST 2007-6                                               | ASSET BACKED SECURITY                 | CUSIP: 36245RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121651 | PA      | $78366.04     | 0.01%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92978PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211610 | PA      | $65.96        | 0.00%             | 2048-11-15      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 059497BW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85920 | PA      | $0.86         | 0.00%             | 2049-01-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2005-C21                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92976BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381064 | PA      | $346692.18    | 0.06%             | 2044-10-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1229000 | PA      | $881351.54    | 0.16%             | 2047-02-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1720000 | PA      | $16856.00     | 0.00%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $54715.10     | 0.01%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE3 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624PAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $322960.53    | 0.06%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853000 | PA      | $8.53         | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7820 | PA      | $7546.70      | 0.00%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2006-HQ10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61750HAH9<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |    722869 | PA      | $665567.53    | 0.12%             | 2041-11-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92935VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367000 | PA      | $3.67         | 0.00%             | 2044-03-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                             | COMMON STOCK                          | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26640 | NS      | $206460.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VALE SA                                                                     | COMMON STOCK - ADR                    | CUSIP: 91912E105<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |    140622 | NS      | $2626818.96   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD                                   | COMMON STOCK - ADR                    | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |     65010 | NS      | $6028377.30   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     14866 | PA      | $15164.97     | 0.00%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1223743 | PA      | $1295637.90   | 0.24%             | 2028-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2004-1                                                     | CORP CMO                              | CUSIP: 61913PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    107642 | PA      | $99544.55     | 0.02%             | 2034-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    520000 | PA      | $505700.00    | 0.09%             | 2024-10-22      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                   | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    783000 | PA      | $783000.00    | 0.15%             | 2023-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3                            | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    523000 | PA      | $523000.00    | 0.10%             | 2023-05-29      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    543000 | PA      | $527728.13    | 0.10%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    342348 | PA      | $338068.94    | 0.06%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST                                                        | CORP CMO                              | CUSIP: 36166RAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25374 | PA      | $23347.04     | 0.00%             | 2065-04-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                           | CORP CMO                              | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |     63000 | PA      | $69845.88     | 0.01%             | 2049-03-25      | Floating      | 15.01%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1                     | CORP CMO                              | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    571161 | PA      | $488678.28    | 0.09%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                              | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    303968 | PA      | $162858.33    | 0.03%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QO5 TRUST                                                  | CORP CMO                              | CUSIP: 75114HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    140402 | PA      | $120745.32    | 0.02%             | 2046-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST                                                   | CORP CMO IO                           | CUSIP: 36228FCH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58290 | PA      | $145.73       | 0.00%             | 2027-09-19      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     60000 | PA      | $60142.14     | 0.01%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                             | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |    270000 | PA      | $221737.50    | 0.04%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES            | CORP. NOTE                            | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    200000 | PA      | $170792.59    | 0.03%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                | CORP. NOTE                            | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    200000 | PA      | $205140.00    | 0.04%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     59000 | PA      | $56756.24     | 0.01%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     75000 | PA      | $60040.77     | 0.01%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    416000 | PA      | $345307.22    | 0.06%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                           | CORPORATE BONDS                       | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      1000 | PA      | $46.25        | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD/NEW YORK NY                                                 | DISC. CP                              | CUSIP: N/A<br>LEI: RB0PEZSDGCO3JS6CEU02       | Long             | STIV             | CORP              | US        |   2500000 | PA      | $2498145.43   | 0.47%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN ASSET FUNDING CO LLC                                              | DISC. CP                              | CUSIP: N/A<br>LEI: 549300S0NSJYSOB32S63       | Long             | ABS-APCP         | CORP              | US        |   2500000 | PA      | $2494676.88   | 0.47%             | 2023-02-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                 | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        19 | NC      | $3885500.00   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                 | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |       207 | NC      | $42331500.00  | 7.90%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTH CARE SELECT SECTOR SPDR FUND                                         | EXCHANGE TRADED FUND                  | CUSIP: 81369Y209<br>LEI: 549300EJNY3KKJHPOY44 | Long             | EC               | RF                | US        |     58400 | NS      | $7788224.00   | 1.45%             |  |  |  | No            |                  1 | On Loan: No      |
| INDUSTRIAL SELECT SECTOR SPDR FUND                                          | EXCHANGE TRADED FUND                  | CUSIP: 81369Y704<br>LEI: 549300HQI51T8KP6U325 | Long             | EC               | RF                | US        |     89800 | NS      | $9146130.00   | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| TECHNOLOGY SELECT SECTOR SPDR FUND                                          | EXCHANGE TRADED FUND                  | CUSIP: 81369Y803<br>LEI: 549300BR5T0JNM2MW070 | Long             | EC               | RF                | US        |     70800 | NS      | $9625968.00   | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| REAL ESTATE SELECT SECTOR SPDR FUND                                         | EXCHANGE TRADED FUND                  | CUSIP: 81369Y860<br>LEI: 549300SPMSTD3BRHL041 | Long             | EC               | RF                | US        |    207735 | NS      | $8431963.65   | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY SELECT SECTOR SPDR FUND                                              | EXCHANGE TRADED FUND                  | CUSIP: 81369Y506<br>LEI: 54930064FLK0RD4TRU75 | Long             | EC               | RF                | US        |    179766 | NS      | $16166356.38  | 3.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31392UZA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610591 | PA      | $4581.20      | 0.00%             | 2033-07-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31394PPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382736 | PA      | $2680.32      | 0.00%             | 2043-10-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 3133TBN22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57531 | PA      | $287.66       | 0.00%             | 2028-11-15      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FBCZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11676 | PA      | $1412.06      | 0.00%             | 2047-11-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3138X0YX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228572 | PA      | $220143.01    | 0.04%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3658 | PA      | $3678.71      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7828 | PA      | $7838.47      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3138W4TJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230472 | PA      | $215292.10    | 0.04%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 31417EZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271152 | PA      | $253292.96    | 0.05%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3138LWCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197333 | PA      | $190083.24    | 0.04%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JXZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14665 | PA      | $14910.75     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3138EPVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556594 | PA      | $576012.29    | 0.11%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20067 | PA      | $20188.59     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18475 | PA      | $18573.17     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN40                                  | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1361411 | PA      | $1290360.46   | 0.24%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 1998-W2                                              | FNMA CMO IO                           | CUSIP: 31359UPF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    380310 | PA      | $5706.28      | 0.00%             | 2028-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 1998-W5                                              | FNMA CMO IO                           | CUSIP: 31359UWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    123482 | PA      | $1852.97      | 0.00%             | 2028-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $24382512.00  | 4.55%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5079690.00   | 0.95%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $20742422.40  | 3.87%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $20742422.40  | 3.87%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $875233.90    | 0.16%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3861250.00   | 0.72%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3366626.80   | 0.63%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $9258223.70   | 1.73%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4538279.00   | 0.85%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $938515.60    | 0.18%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7191953.30   | 1.34%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60000000 | PA      | $60239064.00  | 11.24%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  51000000 | PA      | $51203204.40  | 9.56%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                       | FR30                                  | CUSIP: 31329MU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194332 | PA      | $181532.36    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                       | FR30                                  | CUSIP: 31329MXU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243711 | PA      | $235637.28    | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37260 | PA      | $37740.09     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13161 | PA      | $13552.96     | 0.00%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46976 | PA      | $44602.56     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20564 | PA      | $19525.17     | 0.00%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17859 | PA      | $18390.41     | 0.00%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26677 | PA      | $27120.68     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28738 | PA      | $29324.41     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14888 | PA      | $2728.90      | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2756053.50   | 0.51%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2915364.90   | 0.54%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4964733.50   | 0.93%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1305000 | PA      | $1305910.89   | 0.24%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                     | GOVERNMENT BOND                       | CUSIP: 77586RAL4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    420000 | PA      | $352997.40    | 0.07%             | 2032-03-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WDP7<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $147246.20    | 0.03%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    380000 | PA      | $311549.73    | 0.06%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    150000 | PA      | $127565.79    | 0.02%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V71795AU8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    200000 | PA      | $75750.00     | 0.01%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    190000 | PA      | $173579.42    | 0.03%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WCY9<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $165249.20    | 0.03%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AW5<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    600000 | PA      | $533250.00    | 0.10%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    153000 | PA      | $152390.97    | 0.03%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    433000 | PA      | $445545.62    | 0.08%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V3R60FAZ7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    620000 | PA      | $248000.00    | 0.05%             | 2026-01-18      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                                           | GOVERNMENT BOND                       | CUSIP: V06423AM5<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |    260000 | PA      | $170365.68    | 0.03%             | 2025-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      1406 | NC      | $161008968.75 | 30.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       589 | NC      | $121126929.98 | 22.61%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1314000 | NC      | $22763.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26576000 | NC      | $20995.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    104000 | NC      | $830.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17615000 | NC      | $11312.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1802000 | NC      | $6336.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  63024000 | NC      | $95461.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3605000 | NC      | $85712.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10590000 | NC      | $92448.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8862000 | NC      | $5394.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10381000 | NC      | $44742.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9260000 | NC      | $12501.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4271000 | NC      | $22854.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4988000 | NC      | $21688.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8032000 | NC      | $3798.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37691000 | NC      | $13568.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36300000 | NC      | $593868.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10416000 | NC      | $115305.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2447000 | NC      | $16688.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1808000 | NC      | $42108.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1444000 | NC      | $40374.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    636000 | NC      | $25917.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    833000 | NC      | $48289.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1255000 | NC      | $35365.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4785000 | NC      | $7703.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1227000 | NC      | $9227.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3601000 | NC      | $7886.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1906000 | NC      | $31658.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4459000 | NC      | $55559.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2688000 | NC      | $44378.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    723000 | NC      | $1597.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1327000 | NC      | $1247.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1327000 | NC      | $1645.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2518000 | NC      | $1334.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7781000 | NC      | $2878.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1688000 | NC      | $11596.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3974000 | NC      | $476.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1517000 | NC      | $5734.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12096000 | NC      | $20563.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3745000 | NC      | $18050.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    502000 | NC      | $6199.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    502000 | NC      | $6345.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  35046000 | NC      | $37499.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11533000 | NC      | $36559.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5033000 | NC      | $2919.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3105000 | NC      | $2980.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    517000 | NC      | $72.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2278000 | NC      | $11936.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2085000 | NC      | $13392.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA FINANCE LLC                                                            | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 09709PBA6<br>LEI: 549300CGZYSEY3ZSIW16 | Long             | COMM             | CORP              | US        |  10120000 | NS      | $12895966.40  | 2.41%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL/UNITED STATES                                   | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: N/A<br>LEI: N/A                        | Long             | COMM             | CORP              | US        |   5001000 | NS      | $4215545.94   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS HOLDINGS INC/UNITED STATES                         | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 17330AQX3<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | COMM             | CORP              | US        |  10604000 | NS      | $15398757.66  | 2.87%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS HOLDINGS INC/UNITED STATES                         | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 17330A3J9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | COMM             | CORP              | US        |   8090000 | NS      | $8836585.65   | 1.65%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    150305 | NC      | $36749.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    150000 | NC      | $24045.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     70514 | NC      | $17240.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DCR              | CORP              | US        |   1527000 | NC      | $288144.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   1130572 | NC      | $417633.19    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    202000 | NC      | $65973.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   2462000 | NC      | $464579.40    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   6463000 | NC      | $1219568.10   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   7950000 | NC      | $1500165.00   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    255000 | NC      | $83283.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    521000 | NC      | $98312.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   3096000 | NC      | $584215.20    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    413000 | NC      | $130095.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    435000 | NC      | $137025.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    210000 | NC      | $68586.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    630000 | NC      | $131922.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    228000 | NC      | $71820.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    210000 | NC      | $66150.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    210000 | NC      | $66150.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     23000 | NC      | $7017.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    184000 | NC      | $56138.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    184000 | NC      | $56138.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    184000 | NC      | $56138.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2471000 | NC      | $753902.10    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    193000 | NC      | $40414.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    231156 | NC      | $33725.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    420000 | NC      | $132300.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    192482 | NC      | $28083.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1130572 | NC      | $417633.19    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    630000 | NC      | $205758.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    553000 | NC      | $115798.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |  11354000 | NC      | $2142499.80   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   2998000 | NC      | $979146.80    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $6572.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    109000 | NC      | $17472.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    262261 | NC      | $64122.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     41442 | NC      | $10132.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAITIAN INTERNATIONAL HOLDINGS LTD                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 30030093DDRS825TVP62       | Long             | EC               | CORP              | CN        |    176000 | NS      | $542530.93    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGE INDUSTRIES LTD                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800D6UFCCKUP3KD53       | Long             | EC               | CORP              | IN        |      2029 | NS      | $993267.84    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| INDO TAMBANGRAYA MEGAH TBK PT                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 52990056ZNHB217ZKL92       | Long             | EC               | CORP              | ID        |    348200 | NS      | $842591.93    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOW ENERGY PCL                                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TH        |     35800 | NS      | $10.85        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BANGKOK DUSIT MEDICAL SERVICES PCL                                          | ORDINARY SHARES                       | CUSIP: Y06071222<br>LEI: N/A                  | Long             | EC               | CORP              | TH        |    147700 | NS      | $133113.45    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LG INNOTEK CO LTD                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 988400KTHH2LMUX7EB48       | Long             | EC               | CORP              | KR        |      5148 | NS      | $1149748.33   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| KB FINANCIAL GROUP INC                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900TKE4MXG3Q6GW86       | Long             | EC               | CORP              | KR        |     34648 | NS      | $1578687.01   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA MINSHENG BANKING CORP LTD                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300HBUGSQD1VCXG94       | Long             | EC               | CORP              | CN        |   1476000 | NS      | $551900.31    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| ZHONGSHENG GROUP HOLDINGS LTD                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3003005VYMEBAJNJ2Y26       | Long             | EC               | CORP              | CN        |    215500 | NS      | $1220796.05   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| AGRICULTURAL BANK OF CHINA LTD                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300E7TSGLCOVSY746       | Long             | EC               | CORP              | CN        |   3967000 | NS      | $1430272.69   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| TISCO FINANCIAL GROUP PCL                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900OOUQI3OWX2WU06       | Long             | EC               | CORP              | TH        |     76000 | NS      | $235989.09    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA YONGDA AUTOMOBILES SERVICES HOLDINGS LTD                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900G4APWIO18G0C95       | Long             | EC               | CORP              | CN        |    388000 | NS      | $334983.67    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JD.COM INC                                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300HVTWB0GJZ16V92       | Long             | EC               | CORP              | CN        |     63851 | NS      | $1899539.15   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493001NTNQJDH60PM02       | Long             | EC               | CORP              | CN        |    288124 | NS      | $3981376.22   | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA INTERNATIONAL CAPITAL CORP LTD                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900OS3SVVTT56QN67       | Long             | EC               | CORP              | CN        |    553200 | NS      | $1239781.44   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| MEITUAN                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 21380033K525E5JLIA77       | Long             | EC               | CORP              | CN        |      4840 | NS      | $107828.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MULTICHOICE GROUP                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900BVQQ7DFBMSVJ81       | Long             | EC               | CORP              | ZA        |     52177 | NS      | $358988.38    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| HAIER SMART HOME CO LTD                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3003002BYTNGNJTWSH07       | Long             | EC               | CORP              | CN        |    432600 | NS      | $1598347.91   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHAM PLATINUM HOLDINGS LTD                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3789009D0712C7101695       | Long             | EC               | CORP              | ZA        |     32645 | NS      | $320779.43    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FERTIGLOBE PLC                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 984500A99D1B4CPBF744       | Long             | EC               | CORP              | AE        |    145929 | NS      | $159006.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTRAND LTD                                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900XYOP8CUZU7R671       | Long             | EC               | CORP              | ZA        |     18156 | NS      | $67387.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HON HAI PRECISION INDUSTRY CO LTD                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 30030004CM3GSZXX7O56       | Long             | EC               | CORP              | TW        |    452000 | NS      | $1507771.51   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MICROELECTRONICS CORP                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 391200YJCAGH9LF96P73       | Long             | EC               | CORP              | TW        |    369000 | NS      | $602708.93    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| AMBEV SA                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300TH5Q6VRP8OT012       | Long             | EC               | CORP              | BR        |     66500 | NS      | $178947.26    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ASTRA INTERNATIONAL TBK PT                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900L49TRJOMG4DK47       | Long             | EC               | CORP              | ID        |   2874900 | NS      | $1154160.92   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN PLATINUM LTD                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900RORCZ0E5S5FX81       | Long             | EC               | CORP              | ZA        |      6782 | NS      | $504378.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                                            | ORDINARY SHARES                       | CUSIP: Y5257Y107<br>LEI: 254900VUZRGD5U73RE46 | Long             | EC               | CORP              | CN        |   1450000 | NS      | $1166559.36   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BRADESCO S.A.                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300CTUU1RFXHQJE44       | Long             | EC               | CORP              | BR        |    309760 | NS      | $855511.93    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CHEIL WORLDWIDE INC                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |     24074 | NS      | $430376.24    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CIPLA LTD/INDIA                                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800KMJJYEDDK82Q34       | Long             | EC               | CORP              | IN        |     22513 | NS      | $280392.43    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMSUNG ELECTRONICS CO LTD                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |     81060 | NS      | $4051694.87   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| INFOSYS LTD                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800TYLGG93MM7PR89       | Long             | EC               | CORP              | IN        |     97967 | NS      | $1844336.51   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| WAL-MART DE MEXICO SAB DE CV                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MX        |    100037 | NS      | $390734.25    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ITAUSA SA                                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | BR        |    781660 | NS      | $1313468.43   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| INDOFOOD SUKSES MAKMUR TBK PT                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900E61EV2GTYWZ485       | Long             | EC               | CORP              | ID        |    441100 | NS      | $198182.07    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CHILE                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 8B4EZFY8IHJC44TT2K84       | Long             | EC               | CORP              | CL        |   7121771 | NS      | $778232.98    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| GRUPO BIMBO SAB DE CV                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493000RIXURZEBFEV60       | Long             | EC               | CORP              | MX        |     66455 | NS      | $329936.96    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| KOC HOLDING AS                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 7890005U0H950VH19H45       | Long             | EC               | CORP              | TR        |    441403 | NS      | $1798720.94   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC TELECOMMUNICATIONS ORGANIZATION SA                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: ELPUFM0XZRZO4LFXW404       | Long             | EC               | CORP              | GR        |     30722 | NS      | $483861.98    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ASIAN PAINTS LTD                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800HEHXGYRUNERD75       | Long             | EC               | CORP              | IN        |     33614 | NS      | $1123066.84   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| SUN PHARMACEUTICAL INDUSTRIES LTD                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800KJ7GE29LB4SS73       | Long             | EC               | CORP              | IN        |     99810 | NS      | $1262536.80   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| VEDANTA LTD                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800XDKX9KB5EMCO07       | Long             | EC               | CORP              | IN        |    188269 | NS      | $769196.48    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CATHAY FINANCIAL HOLDING CO LT                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299009XR1QLFAMQ3X77       | Long             | EC               | CORP              | TW        |    503000 | NS      | $717222.93    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CSPC PHARMACEUTICAL GROUP LTD                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900M3XQCW234H8O91       | Long             | EC               | CORP              | CN        |   1218000 | NS      | $1397003.12   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| COROMANDEL INTERNATIONAL LTD                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800U73K3HJSQKT249       | Long             | EC               | CORP              | IN        |     50181 | NS      | $549127.52    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED TRACTORS TBK PT                                                      | ORDINARY SHARES                       | CUSIP: Y7146Y140<br>LEI: 529900N9ELYOWQV4FW14 | Long             | EC               | CORP              | ID        |    329900 | NS      | $541842.86    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGREEN MARINE CORP TAIWAN LTD                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900EIJA0A39C5SO15       | Long             | EC               | CORP              | TW        |    165600 | NS      | $848496.21    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| HONG LEONG BANK BHD                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300BUPYUQGB5BFX94       | Long             | EC               | CORP              | MY        |    249600 | NS      | $1201808.95   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI MARINE  AND  FIRE INSURANCE CO LTD                                  | ORDINARY SHARES                       | CUSIP: Y3842K104<br>LEI: 988400SYR92543UITC37 | Long             | EC               | CORP              | KR        |     12678 | NS      | $319601.60    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERNATIONAL CONTAINER TERMINAL SERVICES INC                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900FU1MWK0I0Q4J61       | Long             | EC               | CORP              | PH        |     16890 | NS      | $64287.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INNER MONGOLIA ERDOS RESOURCES CO LTD                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 300300UPV0ZBASQKK574       | Long             | EC               | CORP              | CN        |    642500 | NS      | $1314288.36   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| KIA CORP                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 988400V8MJK9N7OI5X76       | Long             | EC               | CORP              | KR        |     23576 | NS      | $1287701.51   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| KT CORP                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 9884005ACF8449EANY26       | Long             | EC               | CORP              | KR        |      7992 | NS      | $228136.02    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EMBOTELLADORAS ARCA SA DE CV                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900U2BSJCQHJCXN24       | Long             | EC               | CORP              | MX        |    179063 | NS      | $1579478.20   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA DEVELOPMENT FINANCIAL HOLDING COMPANY                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |   2364000 | NS      | $1046009.81   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| SHIN KONG FINANCIAL HOLDINGS C                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900YF6H5G3WJC6V36       | Long             | EC               | CORP              | TW        |    560000 | NS      | $168363.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CTBC FINANCIAL HOLDING CO LTD                                               | ORDINARY SHARES                       | CUSIP: Y15093100<br>LEI: 549300IWDYIFW6JXM387 | Long             | EC               | CORP              | TW        |   1745000 | NS      | $1334677.47   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| MARUTI UDYOG LTD                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800D27PBEESKKD357       | Long             | EC               | CORP              | IN        |      4830 | NS      | $526035.68    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| NETEASE INC                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299004AF4DSJDB0PA32       | Long             | EC               | CORP              | CN        |     90100 | NS      | $1594023.13   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CENCOSUD SA                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300NLTGCFV7482429       | Long             | EC               | CORP              | CL        |    836886 | NS      | $1503158.28   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| TENCENT HOLDINGS LTD                                                        | ORDINARY SHARES                       | CUSIP: G87572163<br>LEI: 254900N4SLUMW4XUYY11 | Long             | EC               | CORP              | CN        |     48400 | NS      | $2359038.35   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| PING AN INSURANCE GROUP CO OF CHINA LTD                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900M9MC28JLN35U89       | Long             | EC               | CORP              | CN        |     19000 | NS      | $148305.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TATA CONSULTANCY SERVICES LTD                                               | ORDINARY SHARES                       | CUSIP: Y85279100<br>LEI: 335800ZJKU9GPQRE2U66 | Long             | EC               | CORP              | IN        |     41417 | NS      | $1707092.90   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CPFL ENERGIA SA                                                             | ORDINARY SHARES                       | CUSIP: P3435F108<br>LEI: 529900GBWSBDXN8GGM28 | Long             | EC               | CORP              | BR        |    178800 | NS      | $1172204.95   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA SHENHUA ENERGY CO LTD                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900N9JOX4C108MA40       | Long             | EC               | CORP              | CN        |    419500 | NS      | $1302699.40   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| COSCO SHIPPING HOLDINGS CO LTD                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3003009XI0QGYYA29S17       | Long             | EC               | CORP              | CN        |    444400 | NS      | $460880.51    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIDU INC                                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900AL64IANZYI1E02       | Long             | EC               | CORP              | CN        |     65700 | NS      | $1108059.28   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA CONSTRUCTION BANK CORP                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493001KQW6DM7KEDR62       | Long             | EC               | CORP              | CN        |    497000 | NS      | $322830.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SCHAEFFLER INDIA LTD                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299002TPXA36O9CVB70       | Long             | EC               | CORP              | IN        |     11001 | NS      | $362167.50    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| HANA FINANCIAL GROUP INC                                                    | ORDINARY SHARES                       | CUSIP: Y29975102<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |     39730 | NS      | $1581846.54   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI GLOVIS CO LTD                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 988400U6RDXNJ5ZRN304       | Long             | EC               | CORP              | KR        |      9710 | NS      | $1316293.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA ICECEK AS                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 789000WT80VVLUWJDK41       | Long             | EC               | CORP              | TR        |     25672 | NS      | $250422.23    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                       | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | Long             | RA               | CORP              | US        |  88905000 | PA      | $88905000.00  | 16.59%            |  |  |  | No            |                  2 | On Loan: No      |
| REPURCHASE AGREEMENT                                                        | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |  50000000 | PA      | $50000000.00  | 9.33%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                               | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | Long             | RA               | CORP              | US        |  89000000 | PA      | $89000000.00  | 16.61%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | RA               | CORP              | US        |  89000000 | PA      | $89000000.00  | 16.61%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC               | RIGHTS                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     25989 | NS      | $29887.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   7547000 | NS      | $7547000.00   | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO BTG PACTUAL S.A                                                       | STOCK UNIT                            | CUSIP: N/A<br>LEI: ZXLTQRYIK6IJH3R0IK66       | Long             | EC               | CORP              | BR        |     58100 | OU      | $247448.34    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3348800 | NC      | $-26991.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3621600 | NC      | $-74894.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3621600 | NC      | $28031.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1661600 | NC      | $-26070.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1661600 | NC      | $847.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3452400 | NC      | $-15052.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3452400 | NC      | $-30588.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3348800 | NC      | $-11151.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | Total Return Swap                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DE               | CORP              | US        |     20288 | NC      | $176340861.44 | 32.91%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     47371 | NC      | $5919025.40   | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     12192 | NC      | $4345870.10   | 0.81%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     46141 | NC      | $13322051.00  | 2.49%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |    161816 | NC      | $17763545.58  | 3.32%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |      8064 | NC      | $176191.84    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     18728 | NC      | $466889.04    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |      7491 | NC      | $123077.13    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1291 | NC      | $225331.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     10731 | NC      | $2305233.42   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     66331 | NC      | $348237.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      4793 | NC      | $729878.04    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     38355 | NC      | $516641.85    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     85468 | NC      | $658103.60    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     19074 | NC      | $2362314.90   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     13956 | NC      | $197198.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     24913 | NC      | $924272.30    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      7194 | NC      | $1246144.68   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     10334 | NC      | $144882.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      3493 | NC      | $66576.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      8802 | NC      | $2204108.82   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      5751 | NC      | $762180.03    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      3839 | NC      | $597310.01    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1925 | NC      | $284245.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      9624 | NC      | $586390.32    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     48101 | NC      | $548351.40    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     24050 | NC      | $802308.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     17316 | NC      | $775064.16    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     19240 | NC      | $1030686.80   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     13472 | NC      | $815056.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     96225 | NC      | $2139081.75   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     11547 | NC      | $414768.24    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     30792 | NC      | $534549.12    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     15396 | NC      | $1031839.92   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      7698 | NC      | $684737.10    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      3079 | NC      | $830498.67    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      4330 | NC      | $1244095.60   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DE               | CORP              | US        |    200001 | NC      | $49259786.30  | 9.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |     94806 | NC      | $934671.40    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |     43337 | NC      | $408196.88    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     14418 | NC      | $230111.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     17302 | NC      | $212122.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      9228 | NC      | $263920.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     20186 | NC      | $195602.34    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      4614 | NC      | $331285.20    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      5767 | NC      | $365224.11    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      3076 | NC      | $264935.88    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      4806 | NC      | $240227.91    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     10574 | NC      | $266570.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |      4904 | NC      | $211683.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      7671 | NC      | $213944.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1918 | NC      | $174096.86    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     19178 | NC      | $171643.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1918 | NC      | $106391.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      9589 | NC      | $231957.91    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1918 | NC      | $102708.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     19178 | NC      | $258711.22    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1918 | NC      | $170644.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | Total Return Swap                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DE               | CORP              | US        |    191199 | NC      | $30622374.48  | 5.72%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |    171582 | NC      | $90384799.20  | 16.87%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |   1207685 | NC      | $167767518.22 | 31.31%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |   1227637 | NC      | $162818598.09 | 30.39%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |    404108 | NC      | $116276783.19 | 21.70%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |      8474 | NC      | $115877713.00 | 21.63%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | Total Return Swap                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DE               | CORP              | US        |   1228472 | NC      | $176408824.89 | 32.92%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8800000 | PA      | $8776055.47   | 1.64%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11300000 | PA      | $11259788.49  | 2.10%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    942000 | PA      | $937791.60    | 0.18%             | 2023-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $499944.55    | 0.09%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11500000 | PA      | $11438622.43  | 2.13%             | 2023-03-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    149000 | PA      | $142832.89    | 0.03%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    212000 | PA      | $199104.04    | 0.04%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CBM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    268000 | PA      | $255682.72    | 0.05%             | 2024-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    164000 | PA      | $151888.60    | 0.03%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54000 | PA      | $52360.56     | 0.01%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GUARANTEED RATE INC                                                         | WARRANTS                              | CUSIP: N/A<br>LEI: 549300U3721PJGQZYY68       | Long             | DE               | CORP              | US        |       337 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INNER MONGOLIA YUAN XING ENERGY CO LTD                                      | WARRANTS                              | CUSIP: N/A<br>LEI: 300300HF6XQ50FSVY467       | Long             | DE               | CORP              | CN        |    299900 | NS      | $397852.44    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CHONGQING ZHIFEI BIOLOGICAL PRODUCTS CO LTD                                 | WARRANTS                              | CUSIP: N/A<br>LEI: 300300DRZD9P8L2NA467       | Long             | DE               | CORP              | CN        |     73600 | NS      | $1066183.58   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| SHENZHEN MINDRAY BIO-MEDICAL ELECTRONICS CO LTD                             | WARRANTS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DE               | CORP              | CN        |     24800 | NS      | $1221416.81   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| ENN NATURAL GAS CO LTD                                                      | WARRANTS                              | CUSIP: N/A<br>LEI: 300300KVDMGNQNP52Z98       | Long             | DE               | CORP              | CN        |    393545 | NS      | $1052324.77   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF JIANGSU CO LTD                                                      | WARRANTS                              | CUSIP: N/A<br>LEI: 300300C1086832000046       | Long             | DE               | CORP              | CN        |   1195231 | NS      | $1313086.75   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| SHAANXI COAL INDUSTRY CO LTD                                                | WARRANTS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DE               | CORP              | CN        |    116900 | NS      | $338375.58    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-29

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer