# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-26-051340
**Filing Date:** 2026-5
**Character Count:** 565344
**Document Hash:** 25d3b6ec0b921033987569ccc228a849
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-051340.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-051340

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GOLDMAN SACHS TRUST
- **CENTRAL INDEX KEY:** 0000822977

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 261017904

**BUSINESS ADDRESS:**
- **STREET 1:** 71  SOUTH WACKER DRIVE
- **STREET 2:** C/O GOLDMAN SACHS & CO
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 3126554400

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19910711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19900104

## Series and Classes Contracts Data

### Goldman Sachs Bond Fund (Series ID: S000013795)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000037818 | Class A         | GSFAX           |
| C000037819 | Class C         | GSFCX           |
| C000037820 | Institutional   | GSNIX           |
| C000041010 | Service         | GSNSX           |
| C000058984 | Class R         | GSNRX           |
| C000058985 | Investor Shares | GSNTX           |
| C000161293 | Class R6 Shares | GSFUX           |
| C000202041 | Class P Shares  | GMVPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GOLDMAN SACHS TRUST

- **b. Investment Company Act file number:** 811-05349

- **c. CIK number of Registrant:** 0000822977

- **d. LEI of Registrant:** S2FHCT8U6D2VORP0J605

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

  - **Street Address 1:** 71  SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4600

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

- **a. Name of Series:** Goldman Sachs Bond Fund

- **b. EDGAR series identifier (if any):** S000013795

- **c. LEI of Series:** K5ZYN8ZUQE8S5OUPBU26

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $515202146.26

**Total Liabilities:** $154213167.46

**Net Assets:** $360988978.80

**Delayed Delivery Securities:** $11456842.81

**Cash Not Reported:** $9513637.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -481.18000000 | **1-Year:** -11877.64000000 | **5-Year:** -36647.20000000 | **10-Year:** -25543.35000000 | **30-Year:** -5733.47000000

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

- **3-Month:** -87.15000000 | **1-Year:** -6039.11000000 | **5-Year:** -25519.68000000 | **10-Year:** -3971.67000000 | **30-Year:** -3127.48000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000037818 | 0.21%                | 1.54%                | -2.31%               |
| Class ID C000037819 | 0.14%                | 1.60%                | -2.48%               |
| Class ID C000037820 | 0.23%                | 1.57%                | -2.39%               |
| Class ID C000041010 | 0.19%                | 1.53%                | -2.43%               |
| Class ID C000058984 | 0.18%                | 1.64%                | -2.44%               |
| Class ID C000058985 | 0.23%                | 1.57%                | -2.29%               |
| Class ID C000161293 | 0.23%                | 1.57%                | -2.39%               |
| Class ID C000202041 | 0.23%                | 1.57%                | -2.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-34652.66               | $-105431.13                                |
| Month 2  | $-348513.17              | $3132991.09                                |
| Month 3  | $-566836.08              | $-6996459.88                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate Bond Index

- **Index Identifier:** LMUSXXXCCJ

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT&T INC                                                 | AT&T Inc                                                                                                                   | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     336000 | PA      | $328544.16    | 0.09%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                                                                   | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     500000 | PA      | $457000.00    | 0.13%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                                                                   | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95261.00     | 0.03%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                         | AccessLex Institute                                                                                                        | CUSIP: 00432CBN0<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |     158389 | PA      | $156686.99    | 0.04%             | 2033-09-26      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                   | Acrisure LLC / Acrisure Finance Inc                                                                                        | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $269166.80    | 0.07%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                              | Acushnet Co                                                                                                                | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |     165000 | PA      | $164600.70    | 0.05%             | 2033-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AECOM                                                    | AECOM                                                                                                                      | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     517000 | PA      | $516555.38    | 0.14%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     675000 | PA      | $649998.00    | 0.18%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     275000 | PA      | $243072.50    | 0.07%             | 2033-10-29      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM                                 | Advanced Drainage Systems Inc                                                                                              | CUSIP: 00790RAC8<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |     360000 | PA      | $351104.40    | 0.10%             | 2034-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                   | Adventist Health System/West                                                                                               | CUSIP: 007944AK7<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |     235000 | PA      | $241957.55    | 0.07%             | 2034-12-01      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                   | Adventist Health System/West                                                                                               | CUSIP: 007944AN1<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $1084347.29   | 0.30%             | 2030-12-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                                                             | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     875000 | PA      | $872943.75    | 0.24%             | 2026-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                       | Alcon Finance Corp                                                                                                         | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     933000 | PA      | $886340.67    | 0.25%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                 | Alexandria Real Estate Equities Inc                                                                                        | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |     350000 | PA      | $322763.00    | 0.09%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALLEGION US HOLDING CO                                   | Allegion US Holding Co Inc                                                                                                 | CUSIP: 01748NAF1<br>LEI: 5493002B66JX7J7SXI33 | Long             | DBT              | CORP              | US        |     256000 | PA      | $261273.60    | 0.07%             | 2034-05-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6000000 | PA      | $-4822265.40  | -1.34%            | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2521875.00   | 0.70%             | 2056-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6000000 | PA      | $-5272968.60  | -1.46%            | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6413203.30   | 1.78%             | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1884765.60   | 0.52%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4960547.00   | 1.37%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5785312.80   | 1.60%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6000000 | PA      | $-5785312.80  | -1.60%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6000000 | PA      | $-5779921.80  | -1.60%            | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $15770625.60  | 4.37%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -19000000 | PA      | $-18727617.90 | -5.19%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $11045976.70  | 3.06%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3056953.20   | 0.85%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F062648<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3000000 | PA      | $-3102656.40  | -0.86%            | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALUMINA PTY LTD                                          | Alumina Pty Ltd                                                                                                            | CUSIP: 02220AAA5<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     285000 | PA      | $291244.35    | 0.08%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ALUMINA PTY LTD                                          | Alumina Pty Ltd                                                                                                            | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     240000 | PA      | $245644.80    | 0.07%             | 2032-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                              | Ameren Corp                                                                                                                | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     125000 | PA      | $118690.00    | 0.03%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                      | American Express Co                                                                                                        | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     595000 | PA      | $575251.95    | 0.16%             | 2036-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust             | American Express Credit Account Master Trust                                                                               | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    1050000 | PA      | $1060879.81   | 0.29%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                                                                   | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |     180000 | PA      | $158488.20    | 0.04%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                      | American International Group Inc                                                                                           | CUSIP: 026874DR5<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     250000 | PA      | $238477.50    | 0.07%             | 2030-06-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                             | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                                                                      | CUSIP: 02765UEQ3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     225000 | PA      | $230463.00    | 0.06%             | 2050-02-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                | Amgen Inc                                                                                                                  | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $1312774.38   | 0.36%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                     | Amkor Technology Inc                                                                                                       | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |     349000 | PA      | $347579.57    | 0.10%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L                                 | Amneal Pharmaceuticals LLC                                                                                                 | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |     234000 | PA      | $240956.82    | 0.07%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                 | Angel Oak Mortgage Trust 2019-6                                                                                            | CUSIP: 03464VAE4<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $819226.86    | 0.23%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                      | Elevance Health Inc                                                                                                        | CUSIP: 036752BJ1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     830000 | PA      | $816852.80    | 0.23%             | 2032-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                            | AppLovin Corp                                                                                                              | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     226000 | PA      | $224135.50    | 0.06%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARDONAGH FINCO LTD                                       | Ardonagh Finco Ltd                                                                                                         | CUSIP: 039853AA4<br>LEI: 254900D2T84O1K03BA28 | Long             | DBT              | CORP              | JE        |     215000 | PA      | $217199.45    | 0.06%             | 2031-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                             | Ares LXV CLO Ltd                                                                                                           | CUSIP: 04019FAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $579924.60    | 0.16%             | 2034-07-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                         | Ascension Health                                                                                                           | CUSIP: 04351LAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     485000 | PA      | $479215.53    | 0.13%             | 2035-11-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                      | Ashtead Capital Inc                                                                                                        | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     301000 | PA      | $307092.24    | 0.09%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                               | Atkore Inc                                                                                                                 | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Long             | DBT              | CORP              | US        |      15000 | PA      | $14077.20     | 0.00%             | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                           | AutoNation Inc                                                                                                             | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     450000 | PA      | $447052.50    | 0.12%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                                                           | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1109083.50   | 0.31%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                                                           | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     835000 | PA      | $859114.80    | 0.24%             | 2035-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS 2018-TALL Mortgage Trust                                                                                             | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $616316.07    | 0.17%             | 2037-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS 2018-TALL Mortgage Trust                                                                                             | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225000 | PA      | $208125.00    | 0.06%             | 2037-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                               | BFLD Commercial Mortgage Trust 2025-660F                                                                                   | CUSIP: 05556QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $996691.92    | 0.28%             | 2042-11-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                                                                    | CUSIP: 05583JAE2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     525000 | PA      | $524842.50    | 0.15%             | 2028-09-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                       | BMO 2023-C7 Mortgage Trust                                                                                                 | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $961250.05    | 0.27%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Trust 2025-ROIC                                                                                                         | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     683211 | PA      | $679610.40    | 0.19%             | 2030-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                      | BWAY 2013-1515 Mortgage Trust                                                                                              | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624649 | PA      | $600418.16    | 0.17%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2024-XL4                                                                                      | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     879101 | PA      | $879323.24    | 0.24%             | 2039-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Trust 2024-BIO                                                                                                          | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050000 | PA      | $1046117.21   | 0.29%             | 2041-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2024-XL5                                                                                      | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351489 | PA      | $351507.99    | 0.10%             | 2041-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX 2024-BRVE                                                                                                               | CUSIP: 05612KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812944 | PA      | $812478.04    | 0.23%             | 2041-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX 2024-BRVE                                                                                                               | CUSIP: 05612KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478202 | PA      | $478077.62    | 0.13%             | 2041-04-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2024-VLT5                                                                                     | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $446183.55    | 0.12%             | 2046-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                           | BSTN Commercial Mortgage Trust 2025-1C                                                                                     | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675000 | PA      | $686576.46    | 0.19%             | 2044-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Trust 2025-ARIA                                                                                                         | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1407712.36   | 0.39%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                            | BLP Commercial Mortgage Trust 2024-IND2                                                                                    | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535410 | PA      | $534085.50    | 0.15%             | 2041-03-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Limited                          | Bain Capital Credit Clo 2019-3 Ltd                                                                                         | CUSIP: 05683TBG3<br>LEI: 549300434Q955VK1W392 | Long             | ABS-CBDO         | CORP              | KY        |     575000 | PA      | $553921.08    | 0.15%             | 2034-10-21      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                         | Bain Capital Credit CLO 2019-1                                                                                             | CUSIP: 05683VBQ6<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | KY        |     850000 | PA      | $815852.95    | 0.23%             | 2034-04-19      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                                                                         | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $599214.00    | 0.17%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                                                                         | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $647370.00    | 0.18%             | 2033-08-08      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                                                                         | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $179634.00    | 0.05%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                 | Banco Mercantil del Norte SA/Grand Cayman                                                                                  | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     260000 | PA      | $256921.60    | 0.07%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1925000 | PA      | $1899205.00   | 0.53%             | 2037-02-06      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     525000 | PA      | $522348.75    | 0.14%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     750000 | PA      | $746902.50    | 0.21%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      75000 | PA      | $69324.75     | 0.02%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $534702.00    | 0.15%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     475000 | PA      | $410338.25    | 0.11%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     275000 | PA      | $269937.25    | 0.07%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     550000 | PA      | $553454.00    | 0.15%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                       | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1622704.00   | 0.45%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2021-BNK35                                                                                                            | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $839730.58    | 0.23%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2022-BNK44                                                                                                            | CUSIP: 06540KAJ8<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $525783.56    | 0.15%             | 2055-11-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2024-5YR8                                                                                                            | CUSIP: 065923BR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $153635.69    | 0.04%             | 2057-08-15      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2025-5YR16                                                                                                           | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $972702.59    | 0.27%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2026-5YR21                                                                                                           | CUSIP: 06644BAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $247803.80    | 0.07%             | 2059-04-15      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2024-5YR11                                                                                                           | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $310185.69    | 0.09%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 Trust 2025-5YR13                                                                                                     | CUSIP: 06650CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $517393.75    | 0.14%             | 2058-01-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                          | Barclays Dryrock Issuance Trust                                                                                            | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     775000 | PA      | $772208.81    | 0.21%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                           | Barings CLO Ltd 2024-I                                                                                                     | CUSIP: 06763VAL9<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |    1525000 | PA      | $1520083.40   | 0.42%             | 2039-01-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                 | Baxter International Inc                                                                                                   | CUSIP: 071813CL1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |      78000 | PA      | $76217.70     | 0.02%             | 2027-02-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                               | BFLD Commercial Mortgage Trust 2025-5MW                                                                                    | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $499286.56    | 0.14%             | 2042-10-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                              | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      15000 | PA      | $10330.65     | 0.00%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                              | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1368136.00   | 0.38%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                              | CUSIP: 097023CE3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      25000 | PA      | $20100.50     | 0.01%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                              | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     145000 | PA      | $136392.80    | 0.04%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1211000 | PA      | $1229504.08   | 0.34%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | Boeing Co/The                                                                                                              | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     457000 | PA      | $497810.10    | 0.14%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | Boeing Co/The                                                                                                              | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     386000 | PA      | $424681.06    | 0.12%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                          | BRAVO Residential Funding Trust 2025-NQM7                                                                                  | CUSIP: 10570TAA3<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |     865226 | PA      | $867914.18    | 0.24%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BRINK'S CO/THE                                           | Brink's Co/The                                                                                                             | CUSIP: 109696AC8<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |      70000 | PA      | $71003.10     | 0.02%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                 | Builders FirstSource Inc                                                                                                   | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     395000 | PA      | $395233.05    | 0.11%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                          | Cigna Group/The                                                                                                            | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     184000 | PA      | $169995.76    | 0.05%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                          | Cigna Group/The                                                                                                            | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     550000 | PA      | $561610.50    | 0.16%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                | CIM Trust 2019-INV3                                                                                                        | CUSIP: 12557LAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42017 | PA      | $37585.67     | 0.01%             | 2049-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                         | CIFC Funding 2022-IV Ltd                                                                                                   | CUSIP: 12567WAS8<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $478243.50    | 0.13%             | 2035-07-16      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                       | CNX Resources Corp                                                                                                         | CUSIP: 12653CAM0<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     300000 | PA      | $292011.00    | 0.08%             | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2024-277P Mortgage Trust                                                                                              | CUSIP: 12654FAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $912325.31    | 0.25%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                          | CSL Finance PLC                                                                                                            | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $99453.00     | 0.03%             | 2027-04-27      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                                                            | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1388000 | PA      | $1278556.20   | 0.35%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                   | CACI International Inc                                                                                                     | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |     515000 | PA      | $523821.95    | 0.15%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| State of California                                      | CALIFORNIA ST                                                                                                              | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     210000 | PA      | $249285.25    | 0.07%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                      | Cardinal Health Inc                                                                                                        | CUSIP: 14149YBN7<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     247000 | PA      | $251248.40    | 0.07%             | 2029-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                         | Carlyle Global Market Strategies CLO 2015-4 Ltd                                                                            | CUSIP: 14311NBJ2<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    3825000 | PA      | $3826996.65   | 1.06%             | 2032-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                         | CARLYLE US CLO 2021-8 LTD                                                                                                  | CUSIP: 143120AN3<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |    1325000 | PA      | $1325401.48   | 0.37%             | 2038-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                            | Carnival Corp                                                                                                              | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     316000 | PA      | $319848.88    | 0.09%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CARPENTER TECHNOLOGY                                     | Carpenter Technology Corp                                                                                                  | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |     180000 | PA      | $178374.60    | 0.05%             | 2034-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                      | Carrier Global Corp                                                                                                        | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $367000.00    | 0.10%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Chart Industries Inc                                     | Chart Industries Inc 2024 Term Loan B                                                                                      | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |     581882 | PA      | $580607.96    | 0.16%             | 2030-03-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                       | Chase Home Lending Mortgage Trust Series 2024-3                                                                            | CUSIP: 16159HAN7<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101538.25    | 0.03%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                 | Cheniere Energy Partners LP                                                                                                | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     230000 | PA      | $241237.80    | 0.07%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                                   | Choice Hotels International Inc                                                                                            | CUSIP: 169905AG1<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     540000 | PA      | $506503.80    | 0.14%             | 2031-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                                   | Choice Hotels International Inc                                                                                            | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     262000 | PA      | $263765.88    | 0.07%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                   | Chubb INA Holdings LLC                                                                                                     | CUSIP: 171232AE1<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |     342000 | PA      | $377256.78    | 0.10%             | 2031-11-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                              | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     125000 | PA      | $124871.25    | 0.03%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                              | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     800000 | PA      | $796440.00    | 0.22%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                              | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     355000 | PA      | $362781.60    | 0.10%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                              | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     365000 | PA      | $364967.15    | 0.10%             | 2031-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                        | Citigroup Mortgage Loan Trust Inc                                                                                          | CUSIP: 17307GP77<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      55212 | PA      | $54834.07     | 0.02%             | 2035-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                              | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     550000 | PA      | $519233.00    | 0.14%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                     | Colombia Government International Bond                                                                                     | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     240000 | PA      | $238200.00    | 0.07%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                         | COLT 2021-4 Mortgage Loan Trust                                                                                            | CUSIP: 19688GAA1<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |     887119 | PA      | $757686.98    | 0.21%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                         | COLT 2025-6 Mortgage Loan Trust                                                                                            | CUSIP: 19689BAA1<br>LEI: 213800IXUWCX6RHIO921 | Long             | ABS-MBS          | CORP              | US        |     727154 | PA      | $729788.48    | 0.20%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                      | CommonSpirit Health                                                                                                        | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     635000 | PA      | $465593.28    | 0.13%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                      | CommonSpirit Health                                                                                                        | CUSIP: 20268JAM5<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     610000 | PA      | $647486.61    | 0.18%             | 2052-11-01      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                      | CommonSpirit Health                                                                                                        | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     290000 | PA      | $285591.17    | 0.08%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                      | CommonSpirit Health                                                                                                        | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     440000 | PA      | $429337.60    | 0.12%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| COMPOSECURE HOLDINGS LLC                                 | CompoSecure Holdings LLC                                                                                                   | CUSIP: 20459XAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     505000 | PA      | $493738.50    | 0.14%             | 2033-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20753GAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     250000 | PA      | $249804.78    | 0.07%             | 2044-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     225000 | PA      | $225971.82    | 0.06%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755CAF5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     330000 | PA      | $342280.46    | 0.09%             | 2043-10-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755JAG8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $347321.03    | 0.10%             | 2045-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755RAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     321687 | PA      | $321070.69    | 0.09%             | 2044-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 207941AB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     250000 | PA      | $251420.03    | 0.07%             | 2044-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                 | Constellation Brands Inc                                                                                                   | CUSIP: 21036PAY4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     500000 | PA      | $492440.00    | 0.14%             | 2028-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                 | Constellation Brands Inc                                                                                                   | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     325000 | PA      | $286646.75    | 0.08%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIVERSITY                                       | Cornell University                                                                                                         | CUSIP: 219207AF4<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |     830000 | PA      | $822601.80    | 0.23%             | 2035-06-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $2471507.70   | 0.68%             | 2056-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3433991.20   | 0.95%             | 2056-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2000000 | PA      | $-1783546.00  | -0.49%            | 2056-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $916406.30    | 0.25%             | 2056-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $1824375.00   | 0.51%             | 2056-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -3000000 | PA      | $-2893397.40  | -0.80%            | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3949953.60   | 1.09%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6000000 | PA      | $6033180.60   | 1.67%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                 | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5000000 | PA      | $5082422.00   | 1.41%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                         | CoStar Group Inc                                                                                                           | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |     625000 | PA      | $565331.25    | 0.16%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                                                                  | CUSIP: 221625AX4<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $175000.00    | 0.05%             | 2041-02-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                               | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2025000 | PA      | $2017183.50   | 0.56%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities           | Credit Suisse First Boston Mortgage Securities Corp                                                                        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        245 | PA      | $238.42       | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                  | Home Equity Asset Trust 2002-1                                                                                             | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        257 | PA      | $241.15       | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                       | Crown Americas LLC                                                                                                         | CUSIP: 22819CAA6<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |     370000 | PA      | $370229.40    | 0.10%             | 2033-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                           | Crown City CLO IV                                                                                                          | CUSIP: 228233AU6<br>LEI: 549300AGQI0XSPNAK945 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $650445.90    | 0.18%             | 2037-04-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                             | CubeSmart LP                                                                                                               | CUSIP: 22966RAJ5<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |      90000 | PA      | $78964.20     | 0.02%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                       | Alternative Loan Trust 2006-OC8                                                                                            | CUSIP: 232434AE0<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     894868 | PA      | $772905.63    | 0.21%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                  | DCP Midstream Operating LP                                                                                                 | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     455000 | PA      | $414154.65    | 0.11%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                               | DOLP Trust 2021-NYC                                                                                                        | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $987654.81    | 0.27%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DBR LAND HOLDINGS LLC                                    | DBR Land Holdings LLC                                                                                                      | CUSIP: 24024BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $354564.00    | 0.10%             | 2030-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                  | Dell International LLC / EMC Corp                                                                                          | CUSIP: 24703TAG1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      75000 | PA      | $76535.25     | 0.02%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                    | DP World Crescent Ltd                                                                                                      | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |     560000 | PA      | $547792.00    | 0.15%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                          | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $806642.46    | 0.22%             | 2042-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                          | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1008251.02   | 0.28%             | 2042-08-10      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                          | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $351751.41    | 0.10%             | 2042-08-10      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                       | EFMT 2026-NQM4                                                                                                             | CUSIP: 26846KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1150210.57   | 0.32%             | 2071-04-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                 | EQT Corp                                                                                                                   | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      43000 | PA      | $42596.66     | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                 | EQT Corp                                                                                                                   | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     610000 | PA      | $569581.40    | 0.16%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                 | Eagle Funding Luxco Sarl                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    1060000 | PA      | $1062650.00   | 0.29%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $24198.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-23689.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $23108.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2113.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $1196.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $17804.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-21673.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $259.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-29687.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-9640.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $29888.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1926.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-41587.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $37098.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4626.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $22685.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $166001.12    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4151.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-11539.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-247377.56   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3849.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $-4181.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-62906.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13418.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $110059.84    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-59819.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-4088.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-49384.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-21748.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25891.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $23041.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-40394.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-6291.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $65563.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1660.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1873.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-14350.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $14509.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-97865.89    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $94684.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1202.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1822.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $-72076.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-217130.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $362717.91    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1743.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $3757.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3312.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5810.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $740.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-9950.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9625.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-43742.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13820.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-16176.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-16376.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $19766.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $-176.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-5302.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-6015.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $859.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6761.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-7370.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-462.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $70421.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-25190.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $953.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2495.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-11330.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $1009.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-4791.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $12330.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11249.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $20675.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-9453.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4606.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $110922.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6221.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-1259.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $42511.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-4351.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4885.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $535.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $29617.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2370.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-31876.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-45607.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-3062.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-2610.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $7356.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3708.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $59344.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-86122.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11407.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $15859.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-4316.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6489.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-5271.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-726.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4292.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-10274.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $12607.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-7009.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $17182.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $36068.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3841.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-6159.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-1102.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-26771.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SEK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $150341.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-150216.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5755.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1320.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED PHP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PH        |          1 | NC      | $-13391.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-7558.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-6482.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3703.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $-1730.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-784.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-10330.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-3647.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1101.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-43481.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8116.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $99197.52     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-8569.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $149.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2871.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $10383.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-91496.30    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SGD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |          1 | NC      | $-33641.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |          1 | NC      | $-15010.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CLP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CL        |          1 | NC      | $-13376.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD PHP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $18537.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7225.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $12830.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $33698.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $147778.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-6627.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $-15397.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD PLN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $46694.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2288.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CZK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $-65860.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-9440.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7869.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SEK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $98700.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ILS / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |          1 | NC      | $-5459.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |          1 | NC      | $13221.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $1719.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6568.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |          1 | NC      | $-20506.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4271.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5691.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-1232.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11244.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $171.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1871.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $32155.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6453.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-10927.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $45940.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $-14494.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $89021.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $36971.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-113378.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-84919.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CZK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $56144.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1730.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-39107.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $-86850.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-37610.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ILS                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5912.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3233.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $326.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25076.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-74232.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-2252.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3139.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5407.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-7812.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-132.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $199.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9014.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $16214.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $-11070.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $-1274.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $175.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25180.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $31715.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7113.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-24052.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $61.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TRY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |          1 | NC      | $-681.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-9132.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TRY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2140.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CLP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3248.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $6364.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-8050.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $35.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4757.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-2376.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-31521.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $38361.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13364.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $26373.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $4249.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-2825.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1697.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-19683.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $12778.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-6167.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11981.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1274.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TRY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |          1 | NC      | $-2498.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $-616.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $2507.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3809.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-16583.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-10542.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-1767.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $589.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-667.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-10453.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $5544.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-3932.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1586.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-22978.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-1281.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1281.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $-1636.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |          1 | NC      | $22871.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-3592.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $3694.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3706.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-641.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $616.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-881.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-1538.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1536.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $880.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3431.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-775.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $775.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-15392.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $15387.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5157.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-9318.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-7214.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7201.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-29879.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1242.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3106.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-3195.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-7092.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-12084.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $-3107.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-43221.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2956.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-2056.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4149.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-1266.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1381.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5567.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $2445.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-432.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $330.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2033.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-1640.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2489.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1392.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2969.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-2973.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |          1 | NC      | $3880.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3939.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-15279.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $15282.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1770.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-2080.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-2886.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4668.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-20025.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-6167.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $5367.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5204.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2263.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $1993.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-4214.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-1908.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $24003.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3336.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3297.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-2589.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1975.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-211.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4809.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-7386.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7489.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-540.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4094.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-2847.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2745.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-5636.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-794.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $420.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1450.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9952.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-1812.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $20724.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-5349.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4451.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CZK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $-1305.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CZK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $877.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $572.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-918.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $451.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2674.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-2924.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $836.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-2859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-1269.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1151.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13860.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $477.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $315.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-472.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD PLN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1047.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $441.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $767.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-3245.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $491.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1100.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-1786.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1795.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $252.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-321.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-400.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $399.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $580.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $59.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-9728.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-12442.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $7290.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3182.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $2080.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-329.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-2145.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-785.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-761.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $867.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-870.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-938.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $931.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $756.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $402.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-407.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $4879.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $2083.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $2134.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1125.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $2544.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $2061.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $1941.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1271.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2799.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $1025.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $1580.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $615.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $9925.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1176.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $2481.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $2247.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2227.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-697.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $2499.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-9837.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $5531.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5947.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $7117.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-7104.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-15463.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $2479.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $7825.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| East Bay Municipal Utility District Water System Revenue | EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE                                                                              | CUSIP: 271014TU6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     900000 | PA      | $942564.96    | 0.26%             | 2040-06-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                               | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      40000 | PA      | $40024.00     | 0.01%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                               | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     110000 | PA      | $116105.00    | 0.03%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                               | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      90000 | PA      | $94981.50     | 0.03%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                               | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      90000 | PA      | $90990.00     | 0.03%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                        | Kinder Morgan Inc                                                                                                          | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |        500 | PA      | $573.25       | 0.00%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                               | Elastic NV                                                                                                                 | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |     380000 | PA      | $356538.80    | 0.10%             | 2029-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                      | Electronic Arts Inc                                                                                                        | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     287000 | PA      | $231715.19    | 0.06%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                        | Elmwood CLO X Ltd                                                                                                          | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1450000 | PA      | $1450175.45   | 0.40%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 35 Ltd                                       | Elmwood CLO 35 Ltd                                                                                                         | CUSIP: 29004NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2175000 | PA      | $2176485.53   | 0.60%             | 2037-10-18      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                                                                         | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     550000 | PA      | $560389.50    | 0.16%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                                                                         | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     725000 | PA      | $731851.25    | 0.20%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ESAB CORP                                                | Esab Corp                                                                                                                  | CUSIP: 29605JAB2<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |     300000 | PA      | $302088.00    | 0.08%             | 2031-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2025-1                                                                                 | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     153027 | PA      | $153181.06    | 0.04%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                        | Expedia Group Inc                                                                                                          | CUSIP: 30212PAR6<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     200000 | PA      | $189152.00    | 0.05%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                        | Expedia Group Inc                                                                                                          | CUSIP: 30212PBH7<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      81000 | PA      | $74242.98     | 0.02%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                        | Expedia Group Inc                                                                                                          | CUSIP: 30212PBK0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     260000 | PA      | $260226.20    | 0.07%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                                                                         | CUSIP: 30303MAB8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     545000 | PA      | $539381.05    | 0.15%             | 2030-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                                                                         | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     650000 | PA      | $637526.50    | 0.18%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                          | Fair Isaac Corp                                                                                                            | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     295000 | PA      | $289439.25    | 0.08%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                          | Fair Isaac Corp                                                                                                            | CUSIP: 303250AJ3<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     790000 | PA      | $776340.90    | 0.22%             | 2034-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1245 | PA      | $1268.23      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        887 | PA      | $903.42       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7EV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12853 | PA      | $13088.26     | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.40         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6999 | PA      | $6845.59      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128MJ3P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     280606 | PA      | $268721.63    | 0.07%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285071 | PA      | $272407.27    | 0.08%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128P7FQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8200 | PA      | $8252.21      | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                                                                  | CUSIP: 3128QJ4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2168 | PA      | $2244.31      | 0.00%             | 2035-09-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312933AN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1047 | PA      | $1066.62      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        807 | PA      | $820.96       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296LKE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        207 | PA      | $211.03       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296LVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3536 | PA      | $3601.71      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296NDL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $629.87       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $978.93       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31297KC91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11872 | PA      | $12089.48     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31297KFM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25205 | PA      | $25666.96     | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3820055 | PA      | $3751586.75   | 1.04%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1661582 | PA      | $1584300.18   | 0.44%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DPHR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429411 | PA      | $445467.41    | 0.12%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2665216 | PA      | $2171919.68   | 0.60%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2003975 | PA      | $1794433.26   | 0.50%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1472516 | PA      | $1264188.68   | 0.35%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     826662 | PA      | $708933.04    | 0.20%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2320308 | PA      | $2268787.61   | 0.63%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2275775 | PA      | $2395055.08   | 0.66%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2367373 | PA      | $2013136.90   | 0.56%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7109400 | PA      | $5773658.99   | 1.60%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1935590 | PA      | $1977358.53   | 0.55%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3132E06J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675497 | PA      | $710004.29    | 0.20%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132GEV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1122 | PA      | $1140.15      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3709 | PA      | $3627.70      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     794331 | PA      | $781615.98    | 0.22%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KGR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1355632 | PA      | $1217695.21   | 0.34%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KHRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     720355 | PA      | $704310.79    | 0.20%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KKH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     816812 | PA      | $730127.67    | 0.20%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2192018 | PA      | $1869227.98   | 0.52%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364816 | PA      | $1166607.15   | 0.32%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1357617 | PA      | $1161726.84   | 0.32%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                           | CUSIP: 3133KQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     762251 | PA      | $789324.86    | 0.22%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A3B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120126 | PA      | $11366.29     | 0.00%             | 2042-02-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10008 | PA      | $10658.75     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27884 | PA      | $29950.99     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 3136AWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306795 | PA      | $35014.07     | 0.01%             | 2047-05-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766154 | PA      | $770454.16    | 0.21%             | 2055-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                                                                         | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196474 | PA      | $18597.54     | 0.01%             | 2044-03-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137FQKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215866 | PA      | $215865.91    | 0.06%             | 2029-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H9Y94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452034 | PA      | $452452.61    | 0.13%             | 2033-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                                                                         | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394775 | PA      | $394344.38    | 0.11%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1349010.18   | 0.37%             | 2030-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13018 | PA      | $12953.72     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138EP2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81688 | PA      | $80869.27     | 0.02%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693425 | PA      | $688642.66    | 0.19%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138ERH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51024 | PA      | $48940.04     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332477 | PA      | $329354.95    | 0.09%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138M6P76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1926 | PA      | $1783.87      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6699 | PA      | $6213.92      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14530 | PA      | $13465.38     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11417 | PA      | $10618.40     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6176 | PA      | $5791.99      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22956 | PA      | $21323.48     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6804 | PA      | $6294.12      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138W0FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7333 | PA      | $6761.42      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138W3FS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12121 | PA      | $11259.82     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5596 | PA      | $5150.29      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WHGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26466 | PA      | $25385.57     | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WK2U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47307 | PA      | $45342.99     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WLA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233412 | PA      | $228813.06    | 0.06%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WMKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5042 | PA      | $4707.23      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32204 | PA      | $29704.53     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WPGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7247 | PA      | $6686.80      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WRNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7369 | PA      | $6790.13      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WVH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7763 | PA      | $7131.79      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138WVN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13282 | PA      | $12222.70     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138XRXN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9471 | PA      | $9603.18      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138XZSV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241005 | PA      | $217880.02    | 0.06%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3138YDZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11270 | PA      | $10535.04     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 31394EZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13799 | PA      | $14149.72     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                          | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111237 | PA      | $111691.06    | 0.03%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140GULV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120181 | PA      | $117812.60    | 0.03%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334858 | PA      | $321062.33    | 0.09%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140H4BV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384803 | PA      | $376018.44    | 0.10%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140HBH76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214829 | PA      | $205843.85    | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140J7R98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146803 | PA      | $140847.11    | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140J8MQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315334 | PA      | $302342.77    | 0.08%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854925 | PA      | $861499.82    | 0.24%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416798 | PA      | $399626.35    | 0.11%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105208 | PA      | $100939.58    | 0.03%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211312 | PA      | $202474.42    | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q9TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205985 | PA      | $202441.44    | 0.06%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708930 | PA      | $610626.44    | 0.17%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QFFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1710103 | PA      | $1532892.67   | 0.42%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QFFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1662780 | PA      | $1486316.00   | 0.41%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1335886 | PA      | $1197453.49   | 0.33%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QFNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1716809 | PA      | $1536757.34   | 0.43%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477873 | PA      | $388255.30    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QQUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1657029 | PA      | $1719507.82   | 0.48%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140QS5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1809242 | PA      | $1882725.78   | 0.52%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140W2VU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1972270 | PA      | $2022813.18   | 0.56%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5013 | PA      | $4892.33      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140XCUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2101540 | PA      | $1798309.02   | 0.50%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 3140Y7S41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4937252 | PA      | $4990280.64   | 1.38%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31416A6T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1719 | PA      | $1715.97      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31416MVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1433 | PA      | $1427.72      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418BZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21483 | PA      | $20678.61     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8093 | PA      | $7762.92      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418CCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8721 | PA      | $8365.11      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418DGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25372 | PA      | $24752.80     | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4925200 | PA      | $4011889.68   | 1.11%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4921241 | PA      | $4006945.68   | 1.11%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2085937 | PA      | $1695738.32   | 0.47%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34457 | PA      | $34363.78     | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                            | CUSIP: 31418QAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33304 | PA      | $33238.34     | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON CORP                                       | First Horizon Corp                                                                                                         | CUSIP: 320517AE5<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |     330000 | PA      | $334247.10    | 0.09%             | 2031-03-07      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                                                                   | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     500000 | PA      | $503670.00    | 0.14%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                                                                   | CUSIP: 345397J61<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1344778.30   | 0.37%             | 2031-04-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2024-DNA3                                                                                    | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | USGSE             | US        |     465671 | PA      | $465285.81    | 0.13%             | 2044-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GCAT                                                     | GCAT 2019-NQM3 Trust                                                                                                       | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $485433.35    | 0.13%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GCAT                                                     | GCAT 2021-NQM5 Trust                                                                                                       | CUSIP: 36168KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     545947 | PA      | $460721.70    | 0.13%             | 2066-07-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1731 | PA      | $1671.63      | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1080 | PA      | $1042.48      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1536 | PA      | $1478.47      | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274040 | PA      | $264001.74    | 0.07%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179QDZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1881 | PA      | $1810.17      | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131343 | PA      | $126156.65    | 0.03%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31781 | PA      | $30525.82     | 0.01%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8644 | PA      | $8295.88      | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31294 | PA      | $30011.98     | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170643 | PA      | $163507.91    | 0.05%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     814713 | PA      | $801585.67    | 0.22%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92415 | PA      | $93333.33     | 0.03%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     543814 | PA      | $535391.23    | 0.15%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219347 | PA      | $215812.87    | 0.06%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     573415 | PA      | $564175.32    | 0.16%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     664594 | PA      | $670784.37    | 0.19%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     370198 | PA      | $373646.25    | 0.10%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     378961 | PA      | $382253.46    | 0.11%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     887620 | PA      | $873041.16    | 0.24%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     702422 | PA      | $708086.40    | 0.20%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355272 | PA      | $338290.44    | 0.09%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     726172 | PA      | $714017.13    | 0.20%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227991 | PA      | $217093.35    | 0.06%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18504 | PA      | $18200.05     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61113 | PA      | $61643.72     | 0.02%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384782 | PA      | $366028.37    | 0.10%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     505528 | PA      | $453949.37    | 0.13%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179V4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209949 | PA      | $199520.22    | 0.06%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228448 | PA      | $224695.32    | 0.06%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     987839 | PA      | $883955.25    | 0.24%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1422581 | PA      | $1389467.54   | 0.38%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36200KFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4785 | PA      | $4864.82      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36200N3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44491 | PA      | $45825.06     | 0.01%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36200NXX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52437 | PA      | $53918.04     | 0.01%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36201SQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12250 | PA      | $12555.33     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36201SSM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6939 | PA      | $7093.77      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4108 | PA      | $4203.21      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36201U5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8026 | PA      | $8205.36      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        536 | PA      | $518.04       | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1980 | PA      | $1916.82      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3176 | PA      | $3069.82      | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36202SBG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2594 | PA      | $2629.34      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36210AT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38768 | PA      | $39948.67     | 0.01%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36213X3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6025 | PA      | $6155.83      | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABD33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     245688 | PA      | $211140.59    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABHF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     788607 | PA      | $701278.35    | 0.19%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259170 | PA      | $223131.47    | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     454396 | PA      | $391211.17    | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622AEHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1478701 | PA      | $1475376.20   | 0.41%             | 2056-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36290NBS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2291 | PA      | $2328.23      | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36290QX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4953 | PA      | $5072.73      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36290XLG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6081 | PA      | $6201.61      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36291GXG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6395 | PA      | $6511.43      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36291NPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8368 | PA      | $8586.61      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                          | CUSIP: 36292MYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        149 | PA      | $151.38       | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                   | Galaxy Pipeline Assets Bidco Ltd                                                                                           | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     200000 | PA      | $169602.76    | 0.05%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                   | General Motors Financial Co Inc                                                                                            | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     500000 | PA      | $445470.00    | 0.12%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                    | GENMAB A/S/GENMAB FINANCE LLC                                                                                              | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     495000 | PA      | $507454.20    | 0.14%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                     | Glencore Funding LLC                                                                                                       | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     250000 | PA      | $222672.50    | 0.06%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                      | Global Payments Inc                                                                                                        | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     530000 | PA      | $509632.10    | 0.14%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO19, LTD                 | GoldenTree Loan Management US CLO 19 Ltd                                                                                   | CUSIP: 38138WAN4<br>LEI: 9845000ND1D1M408P483 | Long             | ABS-CBDO         | CORP              | JE        |    1275000 | PA      | $1272447.45   | 0.35%             | 2039-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund           | Goldman Sachs Financial Square Government Fund                                                                             | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |    1667107 | NS      | $1667107.00   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Corporate Bond ETF                         | Goldman Sachs Corporate Bond ETF                                                                                           | CUSIP: 38149W465<br>LEI: 984500077864807KE333 | Long             | EC               | RF                | US        |      10636 | NS      | $534459.00    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38376VHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     292653 | PA      | $30289.67     | 0.01%             | 2040-02-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145157 | PA      | $14479.43     | 0.00%             | 2043-11-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82422 | PA      | $3788.28      | 0.00%             | 2043-10-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379FEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69053 | PA      | $7903.66      | 0.00%             | 2045-11-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379GQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82098 | PA      | $6238.60      | 0.00%             | 2044-09-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379GV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70916 | PA      | $6184.32      | 0.00%             | 2044-11-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379MVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91860 | PA      | $10711.95     | 0.00%             | 2045-08-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379QCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114099 | PA      | $13429.69     | 0.00%             | 2045-09-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88129 | PA      | $11459.49     | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38380YR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186962 | PA      | $21194.85     | 0.01%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38380YR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     271600 | PA      | $31144.76     | 0.01%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64354 | PA      | $6963.73      | 0.00%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58359 | PA      | $6346.01      | 0.00%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38382BUQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     855599 | PA      | $181818.61    | 0.05%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                   | CUSIP: 38382XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2143389 | PA      | $1765259.43   | 0.49%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GRAHAM HOLDINGS CO                                       | Graham Holdings Co                                                                                                         | CUSIP: 384637AC8<br>LEI: 529900BOSCEEEMAFQJ29 | Long             | DBT              | CORP              | US        |     630000 | PA      | $615976.20    | 0.17%             | 2033-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                                                                    | CUSIP: 404119CR8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     685000 | PA      | $652770.75    | 0.18%             | 2053-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                                                                    | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     770000 | PA      | $789511.80    | 0.22%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                 | Hilton Domestic Operating Co Inc                                                                                           | CUSIP: 432833AT8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     350000 | PA      | $341953.50    | 0.09%             | 2034-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                   | Home Equity Loan Trust                                                                                                     | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     265729 | PA      | $259942.49    | 0.07%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                 | Host Hotels & Resorts LP                                                                                                   | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |     224000 | PA      | $199205.44    | 0.06%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                             | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $819239.41    | 0.23%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                             | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340000 | PA      | $348642.11    | 0.10%             | 2040-01-13      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                             | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $385027.16    | 0.11%             | 2040-01-13      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                        | Hyatt Hotels Corp                                                                                                          | CUSIP: 448579AS1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     630000 | PA      | $636337.80    | 0.18%             | 2034-06-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                  | Hyundai Auto Lease Securitization Trust 2024-B                                                                             | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     678888 | PA      | $680456.67    | 0.19%             | 2027-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                         | IRB Holding Corp 2025 Term Loan B                                                                                          | CUSIP: 44988LAM9<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |     657821 | PA      | $655834.72    | 0.18%             | 2030-12-16      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $705896.32    | 0.20%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $495743.86    | 0.14%             | 2047-03-14      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $350543.96    | 0.10%             | 2047-03-14      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                        | ILLINOIS ST                                                                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     462451 | PA      | $471056.37    | 0.13%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                        | ILLINOIS ST                                                                                                                | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      79615 | PA      | $83368.55     | 0.02%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                        | ILLINOIS ST                                                                                                                | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     521429 | PA      | $560615.70    | 0.16%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| PRA HEALTH SCIENCES INC                                  | PRA Health Sciences Inc                                                                                                    | CUSIP: 45569KAA1<br>LEI: 549300R1HR1VWWHIAK47 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198344.00    | 0.05%             | 2026-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                       | Ingersoll Rand Inc                                                                                                         | CUSIP: 45687VAE6<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     177000 | PA      | $181653.33    | 0.05%             | 2031-06-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| INSTALLED BUILDING PRODU                                 | Installed Building Products Inc                                                                                            | CUSIP: 45780RAB7<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |     355000 | PA      | $348517.70    | 0.10%             | 2034-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                               | Intel Corp                                                                                                                 | CUSIP: 458140CL2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     159000 | PA      | $158548.44    | 0.04%             | 2034-02-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                 | Intercontinental Exchange Inc                                                                                              | CUSIP: 45866FBB9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     190000 | PA      | $187170.90    | 0.05%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                 | International Flavors & Fragrances Inc                                                                                     | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     170000 | PA      | $163075.90    | 0.05%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                      | Invitation Homes Operating Partnership LP                                                                                  | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |     300000 | PA      | $282285.00    | 0.08%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                                           | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $302747.59    | 0.08%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                  | CUSIP: 465970AA9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     484933 | PA      | $487310.74    | 0.13%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2023-HE3                                                                                          | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |     125913 | PA      | $126111.28    | 0.03%             | 2054-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                       | JP Morgan Alternative Loan Trust 2006-A7                                                                                   | CUSIP: 466286AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87320 | PA      | $81471.93     | 0.02%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $186374.00    | 0.05%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     840000 | PA      | $864108.00    | 0.24%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PFG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     795000 | PA      | $783711.00    | 0.22%             | 2032-01-22      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PFJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1085000 | PA      | $1061433.80   | 0.29%             | 2037-01-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PFK7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     475000 | PA      | $466374.00    | 0.13%             | 2037-02-05      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                                            | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $600512.87    | 0.17%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | J.P. Morgan Mortgage Trust 2021-LTV2                                                                                       | CUSIP: 46654VAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     664325 | PA      | $563142.68    | 0.16%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust Series 2024-3                                                                                     | CUSIP: 46657QAH4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     820011 | PA      | $748560.65    | 0.21%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust Series 2025-NQM4                                                                                  | CUSIP: 46660HAA4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     927492 | PA      | $922173.77    | 0.26%             | 2066-03-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                            | JDE Peet's NV                                                                                                              | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     375000 | PA      | $365377.50    | 0.10%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                    | KKR CLO 57 Ltd                                                                                                             | CUSIP: 481954AA3<br>LEI: 254900BA22H056KP3B65 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2005646.00   | 0.56%             | 2038-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                                          | Katayma CLO II Ltd                                                                                                         | CUSIP: 485862AC0<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | JE        |     600000 | PA      | $600544.80    | 0.17%             | 2037-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                     | Keurig Dr Pepper Inc                                                                                                       | CUSIP: 49271VAF7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     575000 | PA      | $574948.25    | 0.16%             | 2028-05-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                     | Keurig Dr Pepper Inc                                                                                                       | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     925000 | PA      | $816599.25    | 0.23%             | 2031-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                         | Kilroy Realty LP                                                                                                           | CUSIP: 49427RAN2<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |     397000 | PA      | $394010.59    | 0.11%             | 2028-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                           | KIND Commercial Mortgage Trust 2024-1                                                                                      | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $474275.72    | 0.13%             | 2041-08-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                                     | LBTY Commercial Mortgage Trust 2026-225L                                                                                   | CUSIP: 50178LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $880324.79    | 0.24%             | 2043-02-10      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                         | Lamar Media Corp                                                                                                           | CUSIP: 513075CA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     510000 | PA      | $501896.10    | 0.14%             | 2033-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                     | Las Vegas Sands Corp                                                                                                       | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     230000 | PA      | $232846.83    | 0.06%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                     | Las Vegas Sands Corp                                                                                                       | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92453.64     | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                                                             | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     425000 | PA      | $399415.00    | 0.11%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                     | M&T Bank Corp                                                                                                              | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     650000 | PA      | $681050.50    | 0.19%             | 2032-03-13      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                                                                    | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     225000 | PA      | $226914.75    | 0.06%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                 | MSCI Inc                                                                                                                   | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     760000 | PA      | $719393.20    | 0.20%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                           | MSWF Commercial Mortgage Trust 2023-2                                                                                      | CUSIP: 55361AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637721 | PA      | $662568.12    | 0.18%             | 2056-12-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                     | MAD Commercial Mortgage Trust 2025-11MD                                                                                    | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $904808.09    | 0.25%             | 2042-10-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                        | Magnetite XXXV Ltd                                                                                                         | CUSIP: 55954TBA3<br>LEI: 549300WIDF28MGY5Q843 | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $798640.00    | 0.22%             | 2039-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                           | Manhattan West 2020-1MW Mortgage Trust                                                                                     | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $722615.38    | 0.20%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                                                                   | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     875000 | PA      | $884135.00    | 0.24%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                                                                   | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     775000 | PA      | $784106.25    | 0.22%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                              | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $366332.00    | 0.10%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                              | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     475000 | PA      | $479336.75    | 0.13%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                              | CUSIP: 571903BP7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     221000 | PA      | $223382.38    | 0.06%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                              | CUSIP: 571903BY8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     325000 | PA      | $313706.25    | 0.09%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                       | MARYLAND ST ECON DEV CORP                                                                                                  | CUSIP: 574205JA9<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |     360000 | PA      | $368317.30    | 0.10%             | 2032-11-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                       | MARYLAND ST ECON DEV CORP                                                                                                  | CUSIP: 574205JB7<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |     145000 | PA      | $148295.15    | 0.04%             | 2033-11-30      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                               | Masco Corp                                                                                                                 | CUSIP: 574599BS4<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     325000 | PA      | $307671.00    | 0.09%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MASTEC INC                                               | MasTec Inc                                                                                                                 | CUSIP: 576323AP4<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |     610000 | PA      | $603582.80    | 0.17%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                   | Match Group Holdings II LLC                                                                                                | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     515000 | PA      | $501259.80    | 0.14%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                    | MET TRANSPRTN AUTH NY REVENUE                                                                                              | CUSIP: 59261A2P1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      60000 | PA      | $55979.66     | 0.02%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                   | Mexico City Airport Trust                                                                                                  | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     250000 | PA      | $243887.50    | 0.07%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                 | Mill City Mortgage Loan Trust 2017-2                                                                                       | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57772 | PA      | $56767.16     | 0.02%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                 | Mill City Mortgage Loan Trust 2019-GS2                                                                                     | CUSIP: 59981TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     720000 | PA      | $678247.56    | 0.19%             | 2059-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                 | Mill City Mortgage Loan Trust 2021-NMR1                                                                                    | CUSIP: 59982HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $687678.63    | 0.19%             | 2060-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MOOG INC                                                 | Moog Inc                                                                                                                   | CUSIP: 615394AP8<br>LEI: 549300WM2I4U7OBAHG07 | Long             | DBT              | CORP              | US        |     120000 | PA      | $120472.80    | 0.03%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | Morgan Stanley Capital I Trust 2018-H4                                                                                     | CUSIP: 61691RAE6<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $396567.28    | 0.11%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198952.00    | 0.06%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     725000 | PA      | $673401.75    | 0.19%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     750000 | PA      | $649755.00    | 0.18%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     141000 | PA      | $126730.80    | 0.04%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1395000 | PA      | $1411042.50   | 0.39%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     310000 | PA      | $317334.60    | 0.09%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     925000 | PA      | $905972.75    | 0.25%             | 2037-01-30      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                       | Morgan Stanley Mortgage Loan Trust 2007-7AX                                                                                | CUSIP: 61754HAA0<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |    2288739 | PA      | $511916.70    | 0.14%             | 2037-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                             | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     174000 | PA      | $172938.60    | 0.05%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                   | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                     | CUSIP: 62954HAY4<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |     275000 | PA      | $262113.50    | 0.07%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                             | NY Commercial Mortgage Trust 2025-299P                                                                                     | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $461645.24    | 0.13%             | 2047-02-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NatWest Group PLC                                                                                                          | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $202006.00    | 0.06%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Student Loan Trust 2017-2                                                                                          | CUSIP: 63939RAA2<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    1839957 | PA      | $1846863.57   | 0.51%             | 2066-12-27      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                 | Neuberger Berman Loan Advisers CLO 55 Ltd                                                                                  | CUSIP: 640969AG6<br>LEI: 254900P6M7LX99MHDX34 | Long             | ABS-CBDO         | CORP              | JE        |     720000 | PA      | $720416.88    | 0.20%             | 2038-04-22      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                 | Neuberger Berman Loan Advisers CLO 45 Ltd                                                                                  | CUSIP: 64134MAJ5<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $459262.16    | 0.13%             | 2036-10-14      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                                                                        | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     525000 | PA      | $498030.75    | 0.14%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                            | 1988 CLO 6 Ltd                                                                                                             | CUSIP: 65444GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $863902.80    | 0.24%             | 2038-04-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                             | NiSource Inc                                                                                                               | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96424.00     | 0.03%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                                                                     | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     420000 | PA      | $437379.60    | 0.12%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                  | O'Reilly Automotive Inc                                                                                                    | CUSIP: 67103HAP2<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     240000 | PA      | $236942.40    | 0.07%             | 2036-03-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                 | OBX 2025-NQM13 Trust                                                                                                       | CUSIP: 67121UAF3<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |     447802 | PA      | $449079.68    | 0.12%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                   | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1000085.92   | 0.28%             | 2040-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                   | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $550171.79    | 0.15%             | 2040-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| OAK-EAGLE ACQUIRECO INC                                  | OAK-Eagle Acquireco Inc                                                                                                    | CUSIP: 67124CAA1<br>LEI: 6488ICS9P20290MA1H31 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103567.00    | 0.03%             | 2033-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                          | Oaktree CLO 2023-2 Ltd                                                                                                     | CUSIP: 67401QAL0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |    1450000 | PA      | $1448512.30   | 0.40%             | 2038-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                        | Chord Energy Corp                                                                                                          | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     440000 | PA      | $444672.80    | 0.12%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                 | Occidental Petroleum Corp                                                                                                  | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     278000 | PA      | $315871.94    | 0.09%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Octagon 67 Ltd                                           | Octagon 67 Ltd                                                                                                             | CUSIP: 67571LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1693166.00   | 0.47%             | 2038-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                 | 1011778 BC ULC / New Red Finance Inc                                                                                       | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     185000 | PA      | $188187.55    | 0.05%             | 2029-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                       | One New York Plaza Trust 2020-1NYP                                                                                         | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542747 | PA      | $523768.63    | 0.15%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                            | 1988 CLO 4 Ltd                                                                                                             | CUSIP: 68252EAE1<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500000.00    | 0.14%             | 2037-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO                                               | OPAL BIDCO                                                                                                                 | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |     345000 | PA      | $345231.15    | 0.10%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2239000 | PA      | $2042594.92   | 0.57%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     490000 | PA      | $435438.50    | 0.12%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     580000 | PA      | $551870.00    | 0.15%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     675000 | PA      | $632630.25    | 0.18%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     510000 | PA      | $496214.70    | 0.14%             | 2033-05-04      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     465000 | PA      | $447060.30    | 0.12%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     390000 | PA      | $361241.40    | 0.10%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency          | PHEAA Student Loan Trust 2016-1                                                                                            | CUSIP: 69343FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     342000 | PA      | $340505.50    | 0.09%             | 2065-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                              | PRKCM 2021-AFC2 Trust                                                                                                      | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     580446 | PA      | $514075.84    | 0.14%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                              | PRKCM 2021-AFC2 Trust                                                                                                      | CUSIP: 69361JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625000 | PA      | $462218.38    | 0.13%             | 2056-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                                                                | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $242245.00    | 0.07%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                                                                | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     125000 | PA      | $93520.00     | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                    | Palmer Square CLO 2024-3 Ltd                                                                                               | CUSIP: 69688GAA6<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |    1775000 | PA      | $1775443.75   | 0.49%             | 2037-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                    | Palmer Square CLO 2024-2 LTD                                                                                               | CUSIP: 69703LAA6<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |    1775000 | PA      | $1776228.30   | 0.49%             | 2037-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                    | Panama Government International Bonds                                                                                      | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     200000 | PA      | $146328.00    | 0.04%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GR                                 | PeaceHealth Obligated Group                                                                                                | CUSIP: 70462GAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     335000 | PA      | $333391.10    | 0.09%             | 2028-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I                                 | Performance Food Group Inc                                                                                                 | CUSIP: 71376LAH3<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     485000 | PA      | $468810.70    | 0.13%             | 2034-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                      | Peru Government International Bonds                                                                                        | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      20000 | PA      | $10615.00     | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                      | Peru Government International Bonds                                                                                        | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $53350.00     | 0.01%             | 2121-07-28      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                                                                        | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      60000 | PA      | $58725.00     | 0.02%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     550000 | PA      | $551870.00    | 0.15%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     280000 | PA      | $267806.00    | 0.07%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds        | Republic of Poland Government International Bonds                                                                          | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     350000 | PA      | $322451.50    | 0.09%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                  | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                                      | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     375000 | PA      | $335845.39    | 0.09%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING 1                                  | Pricoa Global Funding I                                                                                                    | CUSIP: 74153WCY3<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |     542000 | PA      | $534802.24    | 0.15%             | 2032-08-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                    | Qnity Electronics Inc                                                                                                      | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     120000 | PA      | $120150.00    | 0.03%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                    | Qnity Electronics Inc                                                                                                      | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81164.00     | 0.02%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                    | QXO Building Products Inc                                                                                                  | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     440000 | PA      | $448866.00    | 0.12%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                 | RHP Hotel Properties LP / RHP Finance Corp                                                                                 | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              |  | US        |     110000 | PA      | $111928.30    | 0.03%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                               | ROCK Trust 2024-CNTR                                                                                                       | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1525302.71   | 0.42%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                               | ROCK Trust 2024-CNTR                                                                                                       | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $987618.84    | 0.27%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                 | RHP Hotel Properties LP / RHP Finance Corp                                                                                 | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              |  | US        |     140000 | PA      | $138173.00    | 0.04%             | 2034-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                       | Regency Centers LP                                                                                                         | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |     700000 | PA      | $666638.00    | 0.18%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                 | Regatta XVI Funding Ltd                                                                                                    | CUSIP: 75888TAY1<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1645545.00   | 0.46%             | 2039-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                           | Rocket Cos Inc                                                                                                             | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $227207.25    | 0.06%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                           | Rocket Cos Inc                                                                                                             | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $257662.20    | 0.07%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                 | Rogers Communications Inc                                                                                                  | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    1215000 | PA      | $1200128.40   | 0.33%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                  | Royal Caribbean Cruises Ltd                                                                                                | CUSIP: 78017TAD5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     610000 | PA      | $579994.10    | 0.16%             | 2038-02-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                       | Royalty Pharma PLC                                                                                                         | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     461000 | PA      | $464812.47    | 0.13%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                         | SLG Office Trust 2021-OVA                                                                                                  | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $533827.74    | 0.15%             | 2041-07-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SeaWorld Parks & Entertainment Inc                       | SeaWorld Parks & Entertainment Inc 2024 Term Loan B3                                                                       | CUSIP: 78488CAL4<br>LEI: 549300UZV72O3371JJ53 | Long             | LON              | CORP              | US        |          0 | PA      | $0.00         | 0.00%             | 2031-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SV RNO PROPERTY OWNER 1                                  | SV RNO Property Owner 1 LLC                                                                                                | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     380000 | PA      | $376568.60    | 0.10%             | 2031-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                           | Salesforce Inc                                                                                                             | CUSIP: 79466LAS3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1505000 | PA      | $1502953.20   | 0.42%             | 2031-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                           | Salesforce Inc                                                                                                             | CUSIP: 79466LAU8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1520379.25   | 0.42%             | 2036-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                          | Sands China Ltd                                                                                                            | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $201368.00    | 0.06%             | 2028-08-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                   | Santander Drive Auto Receivables Trust 2025-1                                                                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     609969 | PA      | $611120.12    | 0.17%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                        | Seagate Data Storage Technology Pte Ltd                                                                                    | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     225000 | PA      | $228818.25    | 0.06%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                      | Sherwin-Williams Co/The                                                                                                    | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     500000 | PA      | $494860.00    | 0.14%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                            | J M Smucker Co/The                                                                                                         | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     449000 | PA      | $464400.70    | 0.13%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                 | Snap Inc                                                                                                                   | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     339000 | PA      | $318724.41    | 0.09%             | 2034-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ADVANCED MATERI                                 | Solstice Advanced Materials Inc                                                                                            | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |     355000 | PA      | $350044.20    | 0.10%             | 2033-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                           | Solventum Corp                                                                                                             | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     272000 | PA      | $278457.28    | 0.08%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                           | Solventum Corp                                                                                                             | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1093775.40   | 0.30%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                 | Republic of South Africa Government International Bond                                                                     | CUSIP: 836205AP9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     380000 | PA      | $338200.00    | 0.09%             | 2041-03-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                 | Republic of South Africa Government International Bond                                                                     | CUSIP: 836205BH6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     280000 | PA      | $259946.40    | 0.07%             | 2037-12-11      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                | Block Inc                                                                                                                  | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     225000 | PA      | $226262.25    | 0.06%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                | Block Inc                                                                                                                  | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     145000 | PA      | $142629.25    | 0.04%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                                 | Standard Building Solutions Inc                                                                                            | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     513000 | PA      | $507818.70    | 0.14%             | 2033-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                  | Starwood Property Trust Inc                                                                                                | CUSIP: 85571BBF1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     255000 | PA      | $252850.35    | 0.07%             | 2028-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                  | Starwood Property Trust Inc                                                                                                | CUSIP: 85571BBG9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     245000 | PA      | $242047.75    | 0.07%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                      | Starwood Mortgage Residential Trust 2020-2                                                                                 | CUSIP: 85573DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $929362.77    | 0.26%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                      | Starwood Mortgage Residential Trust 2021-6                                                                                 | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293774 | PA      | $259429.42    | 0.07%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                       | Steel Dynamics Inc                                                                                                         | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     275000 | PA      | $263986.25    | 0.07%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| STERIS PLC                                               | STERIS Irish FinCo UnLtd Co                                                                                                | CUSIP: 85917PAA5<br>LEI: 549300BRDKZ1HFI2J358 | Long             | DBT              | CORP              | IE        |     218000 | PA      | $197841.54    | 0.05%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC                                 | Stonex Escrow Issuer LLC                                                                                                   | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     440000 | PA      | $445777.20    | 0.12%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                             | Sunnova Hestia I Issuer LLC                                                                                                | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85866 | PA      | $84214.83     | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                                                                         | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      75000 | PA      | $66663.75     | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                | Sunoco LP                                                                                                                  | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     465000 | PA      | $459945.45    | 0.13%             | 2034-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                      | Synchrony Financial                                                                                                        | CUSIP: 87165BAZ6<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     510000 | PA      | $495159.00    | 0.14%             | 2032-02-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                        | Sysco Corp                                                                                                                 | CUSIP: 871829BM8<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |      50000 | PA      | $53140.50     | 0.01%             | 2040-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                           | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $993950.00    | 0.28%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                           | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     520000 | PA      | $478868.00    | 0.13%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                           | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     275000 | PA      | $263769.00    | 0.07%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                           | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     350000 | PA      | $356002.50    | 0.10%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TPG Trust                                                | TPG Trust 2024-WLSC                                                                                                        | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1147550.99   | 0.32%             | 2029-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| TPG Trust                                                | TPG Trust 2024-WLSC                                                                                                        | CUSIP: 872973AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $250264.67    | 0.07%             | 2029-11-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| TAKEOFF MERGER SUB INC                                   | Takeoff Merger Sub Inc                                                                                                     | CUSIP: 873923AE6<br>LEI: 984500DF5ACB4A114F45 | Long             | DBT              | CORP              | US        |     650000 | PA      | $642219.50    | 0.18%             | 2031-03-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                 | Take-Two Interactive Software Inc                                                                                          | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     360000 | PA      | $356526.00    | 0.10%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                     | Targa Resources Corp                                                                                                       | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     235000 | PA      | $222758.85    | 0.06%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                          | TEXAS Commercial Mortgage Trust 2025-TWR                                                                                   | CUSIP: 88231WAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $149062.50    | 0.04%             | 2042-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                | Towd Point Mortgage Trust 2017-3                                                                                           | CUSIP: 89169DAF8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $91442.31     | 0.03%             | 2057-07-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                            | TransDigm Inc                                                                                                              | CUSIP: 893647CB1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     165000 | PA      | $162546.45    | 0.05%             | 2034-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                      | Travel + Leisure Co                                                                                                        | CUSIP: 894164AC6<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |      94000 | PA      | $92663.32     | 0.03%             | 2033-09-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                        | Trimaran Cavu 2021-2 Ltd                                                                                                   | CUSIP: 89624UAU6<br>LEI: 254900IFDJE1IJQ1HT84 | Long             | ABS-CBDO         | CORP              | KY        |     575000 | PA      | $547251.08    | 0.15%             | 2034-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                                                                      | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150384.00    | 0.04%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKIYE                                      | Turkiye Government International Bond                                                                                      | CUSIP: 900123DS6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     360000 | PA      | $339750.00    | 0.09%             | 2036-11-04      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                               | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     307000 | PA      | $307033.77    | 0.09%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                               | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $225348.00    | 0.06%             | 2033-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                               | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     510000 | PA      | $516864.60    | 0.14%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                                                                 | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     650000 | PA      | $635661.00    | 0.18%             | 2027-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES HOLDINGS                                 | United Airlines Holdings Inc                                                                                               | CUSIP: 910047AL3<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |     299000 | PA      | $292834.62    | 0.08%             | 2031-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                                                                      | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     624000 | PA      | $372216.00    | 0.10%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                                                                 | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     890000 | PA      | $902371.00    | 0.25%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1500000 | PA      | $1128515.63   | 0.31%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1450000 | PA      | $1136210.94   | 0.31%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1550000 | PA      | $1101468.75   | 0.31%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Inflation-Indexed Bonds                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3902512 | PA      | $2989994.97   | 0.83%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      15000 | PA      | $13434.38     | 0.00%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                        | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $4192890.63   | 1.16%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                        | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3212500 | PA      | $3211245.13   | 0.89%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17780000 | PA      | $17732771.88  | 4.91%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| VFH PARENT / VALOR CO                                    | VFH Parent LLC / Valor Co-Issuer Inc                                                                                       | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     460000 | PA      | $473004.20    | 0.13%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                    | Vale Overseas Ltd                                                                                                          | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $201236.00    | 0.06%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                    | Venture Global Plaquemines LNG LLC                                                                                         | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     205000 | PA      | $210879.40    | 0.06%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                    | Venture Global Plaquemines LNG LLC                                                                                         | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     210000 | PA      | $218507.10    | 0.06%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                                                                 | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     467000 | PA      | $467116.75    | 0.13%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                                                                 | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     975000 | PA      | $885183.00    | 0.25%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                                       | Vertiv Holdings Co                                                                                                         | CUSIP: 92537NAA6<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |     666000 | PA      | $647531.82    | 0.18%             | 2036-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-7                                                                                          | CUSIP: 92538QAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |     747031 | PA      | $688337.17    | 0.19%             | 2066-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2025-1                                                                                          | CUSIP: 92540TAA8<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     738452 | PA      | $741930.00    | 0.21%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2025-1                                                                                          | CUSIP: 92540TAL4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     991079 | PA      | $996127.87    | 0.28%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                   | VICI Properties LP / VICI Note Co Inc                                                                                      | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |     590000 | PA      | $585610.40    | 0.16%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                       | Viking Cruises Ltd                                                                                                         | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     510000 | PA      | $504451.20    | 0.14%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                         | Vista Point Securitization Trust 2020-2                                                                                    | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $475603.25    | 0.13%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                               | VMware LLC                                                                                                                 | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     175000 | PA      | $164759.00    | 0.05%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                            | VTR Commercial Mortgage Trust 2025-STEM                                                                                    | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $842649.87    | 0.23%             | 2039-10-13      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                            | VTR Commercial Mortgage Trust 2025-STEM                                                                                    | CUSIP: 92890YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $296069.15    | 0.08%             | 2039-10-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                             | WP Carey Inc                                                                                                               | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |     425000 | PA      | $414940.25    | 0.11%             | 2029-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                     | WR Grace Holdings LLC                                                                                                      | CUSIP: 92943GAH4<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |     165000 | PA      | $160764.45    | 0.04%             | 2033-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                     | Waste Management Inc                                                                                                       | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |      27000 | PA      | $27605.88     | 0.01%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                           | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     675000 | PA      | $670227.75    | 0.19%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                           | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $599022.00    | 0.17%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust             | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                                                        | CUSIP: 949831AA9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |      21552 | PA      | $19494.55     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2026-1250B                                                                           | CUSIP: 949939AA0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $741927.53    | 0.21%             | 2041-03-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                           | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      75000 | PA      | $74568.00     | 0.02%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                           | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     400000 | PA      | $401672.00    | 0.11%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2017-C39                                                                             | CUSIP: 95000XAF4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    1125000 | PA      | $1107355.28   | 0.31%             | 2050-09-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2021-C59                                                                             | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     825000 | PA      | $743345.72    | 0.21%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                            | CUSIP: 95003PAA9<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $878379.14    | 0.24%             | 2035-07-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                            | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $551435.69    | 0.15%             | 2035-07-15      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                   | WESCO Distribution Inc                                                                                                     | CUSIP: 95081QAT1<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     155000 | PA      | $154021.95    | 0.04%             | 2031-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                   | WESCO Distribution Inc                                                                                                     | CUSIP: 95081QAU8<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     220000 | PA      | $216840.80    | 0.06%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                   | Williams Cos Inc/The                                                                                                       | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     425000 | PA      | $439649.75    | 0.12%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                       | Wind River 2021-2 CLO Ltd                                                                                                  | CUSIP: 97315VAN7<br>LEI: 254900AGKLJSTAXGRN27 | Long             | ABS-CBDO         | CORP              | KY        |     450000 | PA      | $449170.65    | 0.12%             | 2034-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                       | Wind River 2021-2 CLO Ltd                                                                                                  | CUSIP: 97315VAQ0<br>LEI: 254900AGKLJSTAXGRN27 | Long             | ABS-CBDO         | CORP              | KY        |     425000 | PA      | $422541.80    | 0.12%             | 2034-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                                                                | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     225000 | PA      | $222995.25    | 0.06%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                                                                | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     150000 | PA      | $139236.00    | 0.04%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                          | Xcel Energy Inc                                                                                                            | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     900000 | PA      | $894051.00    | 0.25%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR228526  IRS JPY R F  2.16000 2 CCPOIS / Short: SR228526  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  919348538 | OU      | $-304067.70   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: SX003205  CDS USD R F  1.00000 2 CCPCDX / Short: SX003205  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   23000000 | OU      | $413595.20    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR233890  IRS BRL R F 13.25000 2 CCPNDFPREDISWAP / Short: SR233890  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   16080000 | OU      | $-51044.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7550000 | OU      | $43780.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6000000 | OU      | $43599.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10790000 | OU      | $-122534.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   86623690 | OU      | $-564849.61   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   86623690 | OU      | $350994.74    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    1800000 | OU      | $-26130.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: SX003325  CDS USD R F  1.00000 2 CCPCDX / Short: SX003325  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   20165000 | OU      | $356807.58    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR253442  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR253442  IRS JPY P F  1.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 5164770000 | OU      | $79167.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR254459  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR254459  IRS JPY P F  2.00000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  568742163 | OU      | $20433.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: BR252837  IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BR252837  IRS BRL P F 12.75000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    1800000 | OU      | $8632.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR252837  IRS BRL R F 12.75000 2 CCPNDFPREDISWAP / Short: SR252837  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    3890000 | OU      | $-18656.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255081  IRS GBP R F  3.75000 2 CCPOIS / Short: SR255081  IRS GBP P V 00MSONIA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14720000 | OU      | $-174623.85   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255064  IRS EUR R V 00MESTR 1 CCPOIS / Short: BR255064  IRS EUR P F  2.00000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     140000 | OU      | $1928.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255104  IRS CAD R F  3.25000 2 CCPOIS / Short: SR255104  IRS CAD P V 00MCORRA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1520000 | OU      | $-283.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255477  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255477  IRS USD P F  3.40711 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14090000 | OU      | $246715.90    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255050  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255050  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     750000 | OU      | $16484.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255481  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255481  IRS USD P F  3.17503 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21450000 | OU      | $148288.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255047  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255047  IRS EUR P F  2.25000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4710000 | OU      | $67149.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255050  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR255050  IRS EUR P V 06MEURIB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   11960000 | OU      | $-262880.73   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255058  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255058  IRS EUR P F  3.00000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $21243.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255084  IRS GBP R F  4.00000 2 CCPOIS / Short: SR255084  IRS GBP P V 00MSONIA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    5730000 | OU      | $-59844.88    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255087  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255087  IRS GBP P F  4.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    1610000 | OU      | $28845.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255053  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255053  IRS EUR P F  2.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   13110000 | OU      | $440192.77    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255030  IRS USD R F  3.00000 2 CCPOIS / Short: SR255030  IRS USD P V 00MSOFR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     750000 | OU      | $-8486.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255030  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255030  IRS USD P F  3.00000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16740000 | OU      | $189421.47    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255036  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255036  IRS USD P F  3.75000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    3650000 | OU      | $39248.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255119  IRS AUD R F  5.00000 2 CCPVANILLA / Short: SR255119  IRS AUD P V 06MBBSW 1 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4300000 | OU      | $-12758.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255133  IRS JPY R F  2.50000 2 CCPOIS / Short: SR255133  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  115500000 | OU      | $-79189.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255201  IRS NZD R F  3.75000 2 CCPVANILLA / Short: SR255201  IRS NZD P V 03MNZDBB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16910000 | OU      | $-129068.49   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255942  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255942  IRS USD P F  3.29785 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16650000 | OU      | $188454.69    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255116  IRS AUD R F  4.75000 2 CCPVANILLA / Short: SR255116  IRS AUD P V 06MBBSW 1 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16580000 | OU      | $-70114.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255098  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR255098  IRS CAD P F  2.50000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1980000 | OU      | $8474.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255206  IRS NZD R F  4.00000 2 CCPVANILLA / Short: SR255206  IRS NZD P V 03MNZDBB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3680000 | OU      | $-65030.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255182  IRS NOK R F  4.25000 2 CCPVANILLA / Short: SR255182  IRS NOK P V 06MNIBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    7510000 | OU      | $-11011.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255159  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR255159  IRS SEK P F  2.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   23000000 | OU      | $71058.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255141  IRS CHF R F   .50000 2 CCPOIS / Short: SR255141  IRS CHF P V 00MSARON 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    1580000 | OU      | $-14255.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255129  IRS JPY R F  1.50000 2 CCPOIS / Short: SR255129  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  276000000 | OU      | $-109969.23   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255126  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR255126  IRS JPY P F  1.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 7691000000 | OU      | $1287395.04   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255985  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255985  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2160000 | OU      | $18810.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255988  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR255988  IRS AUD P F  4.50000 2 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6100000 | OU      | $14565.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255986  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255986  IRS GBP P F  4.00000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1310000 | OU      | $7428.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255984  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255984  IRS USD P F  3.25000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3520000 | OU      | $22969.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: BR233890  IRS BRL R V 00MBRCDI 2 CCPNDFPREDISWAP / Short: BR233890  IRS BRL P F 13.25000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    5250000 | OU      | $16665.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR256088  IRS KRW R V 03MKSDA 1 CCPNDF / Short: BR256088  IRS KRW P F  3.50000 2 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 4016490000 | OU      | $15527.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255465  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255465  IRS THB P F  2.00000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13480000 | OU      | $7715.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255457  IRS THB R F  1.50000 2 CCPNDFOIS / Short: SR255457  IRS THB P V 00MTHOR 1 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     860000 | OU      | $-412.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR256085  IRS INR R V 00MMIBOR 1 CCPNDFOIS / Short: BR256085  IRS INR P F  6.00000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  221360000 | OU      | $29658.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255456  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255456  IRS THB P F  1.25000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   16240000 | OU      | $2667.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR256081  IRS CZK R F  4.25000 2 CCPVANILLA / Short: SR256081  IRS CZK P V 06MPRIBO 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4950000 | OU      | $-6238.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR256079  IRS CZK R F  4.00000 2 CCPVANILLA / Short: SR256079  IRS CZK P V 06MPRIBO 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   40870000 | OU      | $-14281.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR256095  IRS ZAR R F  6.75000 2 CCPVANILLA / Short: SR256095  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27470000 | OU      | $-21921.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR256097  IRS ZAR R V 03MJIBAR 1 CCPVANILLA / Short: BR256097  IRS ZAR P F  7.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11700000 | OU      | $34581.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR256096  IRS ZAR R F  7.00000 2 CCPVANILLA / Short: SR256096  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6170000 | OU      | $-12354.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR255987  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR255987  IRS CAD P F  2.75000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    3030000 | OU      | $2449.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR256082  IRS HUF R F  6.25000 2 CCPVANILLA / Short: SR256082  IRS HUF P V 06MBUBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  111060000 | OU      | $-6442.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR256084  IRS HUF R V 06MBUBOR 1 CCPVANILLA / Short: BR256084  IRS HUF P F  6.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  143340000 | OU      | $11717.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR256237  IRS CLP R F  4.75000 2 CCPNDFCAMARAPROMEDIO / Short: SR256237  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  927410000 | OU      | $-5464.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR256238  IRS CLP R F  5.25000 2 CCPNDFCAMARAPROMEDIO / Short: SR256238  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   88080000 | OU      | $-577.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR256253  IRS MXN R F  8.00000 2 CCPOIS / Short: SR256253  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6560000 | OU      | $-15086.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR256252  IRS MXN R F  7.25000 2 CCPOIS / Short: SR256252  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   25470000 | OU      | $-18008.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR256251  IRS MXN R F  7.75000 2 CCPOIS / Short: SR256251  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   13160000 | OU      | $-16794.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR256094  IRS PLN R F  4.50000 2 CCPVANILLA / Short: SR256094  IRS PLN P V 06MWIBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1360000 | OU      | $-12315.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR256092  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR256092  IRS PLN P F  3.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4820000 | OU      | $19190.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: BR256285  IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BR256285  IRS COP P F 11.25000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        | 1510370000 | OU      | $-4430.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR255482  IRS JPY R F  1.77125 2 CCPOIS / Short: SR255482  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  167890000 | OU      | $-3311.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     130000 | PA      | $129425.90    | 0.04%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      10000 | PA      | $11084.31     | 0.00%             | 2029-03-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      26000 | PA      | $18241.63     | 0.01%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                          | State of Israel                                                                                                            | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $128632.00    | 0.04%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     190000 | PA      | $209623.61    | 0.06%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                      | Ecuador Government International Bond                                                                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      37415 | PA      | $31278.77     | 0.01%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     120000 | PA      | $128715.48    | 0.04%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds                   | Hungary Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     400000 | PA      | $409192.00    | 0.11%             | 2028-05-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                   | Romania Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      70000 | PA      | $69580.00     | 0.02%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                                                                     | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     360000 | PA      | $377393.40    | 0.10%             | 2054-05-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                   | Egypt Government International Bond                                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     350000 | PA      | $366208.50    | 0.10%             | 2033-02-04      | Fixed         | 9.45%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                         | CVC Cordatus Loan Fund XXXIV DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400DVOSHFEKDFWJ26 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $915668.24    | 0.25%             | 2038-04-20      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                               | Aurium Clo VIII DAC                                                                                                        | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $682545.74    | 0.19%             | 2038-10-16      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Aqueduct European CLO                                    | Aqueduct European Clo 14 DAC                                                                                               | CUSIP: 000000000<br>LEI: 2549003MKHH8W6CBWG92 | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $459319.16    | 0.13%             | 2039-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                          | Armada Euro CLO IX DAC                                                                                                     | CUSIP: 000000000<br>LEI: 254900H74CRBB8IV8606 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $690590.45    | 0.19%             | 2039-10-30      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                          | Bridgepoint Clo IX DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400KHJOULRBQMED20 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $692609.26    | 0.19%             | 2039-10-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                              | Harvest CLO XXXVII DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400IUMEGLVCCJWL30 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $690037.03    | 0.19%             | 2039-01-15      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                       | Arini European Clo VII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $690160.48    | 0.19%             | 2039-01-15      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                       | Arini European Clo VII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $687706.15    | 0.19%             | 2039-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                      | Ecuador Government International Bond                                                                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     200000 | PA      | $196350.00    | 0.05%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                    | Indonesia Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     320000 | PA      | $354847.87    | 0.10%             | 2034-03-04      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      60000 | PA      | $64713.16     | 0.02%             | 2033-03-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                       | Arini European Clo IX DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400TNJSU8PGVNSX11 | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $346755.07    | 0.10%             | 2040-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU DEC26                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        193 | NC      | $-287053.39   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | EURO-SCHATZ FUT JUN26                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        119 | NC      | $-38050.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US LONG BOND(CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        223 | NC      | $-689149.67   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US ULTRA BOND CBT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        180 | NC      | $-662345.98   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR NOTE (CBT)JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          5 | NC      | $3681.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 5YR NOTE (CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        392 | NC      | $-412014.98   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 2YR NOTE (CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        189 | NC      | $-277409.46   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR ULTRA FUT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -106 | NC      | $222272.96    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                           | OPS08399A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    2370000 | NC      | $59.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08400A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -710000 | NC      | $-1437.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08401A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    2390000 | NC      | $3187.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09382A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -723810 | NC      | $-82.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09418A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -310000 | NC      | $-156.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09417A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    1340000 | NC      | $90.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09936A SWAPTION GBP OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | GB        |    4340000 | NC      | $1519.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09937A SWAPTION GBP OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | GB        |   -1010000 | NC      | $-1702.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | OPS10180A SWAPTION JPY OTC                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | JP        | 1179999999 | NC      | $55342.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | OPS10181A SWAPTION JPY OTC                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | JP        | 1179999999 | NC      | $32055.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS10293A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2490000 | NC      | $-1.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS10292A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2490000 | NC      | $-80538.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | OPS10312A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |   -2400000 | NC      | $-30645.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | OPS10311A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |   -2400000 | NC      | $-7093.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS10320A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2630000 | NC      | $-7650.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS10319A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2630000 | NC      | $-33938.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | OPS10331A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1750000 | NC      | $-12947.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | OPS10332A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1750000 | NC      | $-13181.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | OPS10342A SWAPTION EUR OTC APR26 3.117 PUT                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |   -1610000 | NC      | $-11529.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | OPS10341A SWAPTION EUR OTC APR26 3.117 CALL                                                                                | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |   -1610000 | NC      | $-18834.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | OPS10349A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1750000 | NC      | $-14143.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | OPS10351A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1750000 | NC      | $-15612.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CTBOAUSMX20260407182 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    9259000 | OU      | $24425.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | CTHSBUSCN202604166965 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |    6210000 | OU      | $2130.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS20260417116 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    5339000 | OU      | $49782.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITUSMX20260407182 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -9254262 | OU      | $-24412.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CTCITUSMX202604071775 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    9247000 | OU      | $114237.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | PWRBCEUUS20260417116 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |   -5339000 | OU      | $-49782.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSCN202604166965 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -6210000 | OU      | $-2130.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSMX202604071775 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -9247000 | OU      | $-114237.44   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CTBNPNZUS202603310613 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   10593560 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | CWUBSNZUS202603310613 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |  -10593560 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PTMSIEUUS2026040111775 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    5267000 | OU      | $111304.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PTDEUUSKR202604021416 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    6209000 | OU      | $6.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202604011178 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    5256000 | OU      | $113696.41    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CWDEUUSKR2026040214855 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -6209000 | OU      | $-81902.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PWDEUEUUS202604011178 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -5256000 | OU      | $-113696.41   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | PWSTAUSJP2026040915425 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |   -3122000 | OU      | $-1567.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PWDEUEUUS2026040111775 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -5267000 | OU      | $-111304.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PTDEUEUUS2026040111945 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    7862000 | OU      | $299671.70    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | PTSTAUSJP2026040915015 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |    6244000 | OU      | $256.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CTMSIUSKR2026040214855 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    3104500 | OU      | $40951.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202604011179 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    7949000 | OU      | $179888.98    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUUS2026040111945 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -7862000 | OU      | $-299671.70   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITEUUS202604011179 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -7949000 | OU      | $-179888.98   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITEUUS2026042111725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   10624000 | OU      | $190016.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CWBNPUSBR202604065375 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -3152000 | OU      | $-1002.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CTBNPUSBR202604065215 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    3152000 | OU      | $11955.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPUSJP2026040915425 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    3122000 | OU      | $1567.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPUSJP2026040915015 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -6244000 | OU      | $-256.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | PWSTAUSSG202603311262 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |   -1578000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | CWSTAUSSG202603311262 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |   -1578000 | OU      | $-29080.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CTCHAUSKR2026040214855 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    3104500 | OU      | $40951.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CTCHAUSTW202604083186 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    6344000 | OU      | $52623.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CTDEUUSBR202604065375 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    3152000 | OU      | $1002.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CWDEUUSBR202604065215 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |   -3152000 | OU      | $-11955.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITUSKR202604021416 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -6209000 | OU      | $-6.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | PWRBCEUUS2026042111725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |  -10624000 | OU      | $-190016.90   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | PTRBCEUUS202604211149 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |   10809000 | OU      | $56845.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSMX202604071784 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -6300924 | OU      | $-57836.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PWDEUEUUS202604211149 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |   -5415937 | OU      | $-28483.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CTBOAUSMX202604071784 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    6313000 | OU      | $57947.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202604161155 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    5417000 | OU      | $36715.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PTBOAUSJP20260417154 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   12564000 | OU      | $16396.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSJP2026041715725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -6282000 | OU      | $-31020.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | PWRBCEUUS202604161155 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |   -2712000 | OU      | $-18381.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIUSTW202604093194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -3138000 | OU      | $-22078.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | PWRBCUSCA202604071355 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |   -1576000 | OU      | $-1.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUUS202604161155 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -2719437 | OU      | $-18432.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | CWRBCUSCA202604071355 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |   -1576000 | OU      | $-40615.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSSG202604021272 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1563000 | OU      | $-18.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSSG202604021272 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1563000 | OU      | $-16117.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | CTSTAUSTW202605143208 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |    3125000 | OU      | $36862.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CTCHAUSZA202605141686 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    3125000 | OU      | $75900.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAUSZA202605141772 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -3438000 | OU      | $-32011.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITUSKR2026043014762 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    3125000 | OU      | $19084.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPUSJP20260417154 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |  -12564000 | OU      | $-16396.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPUSJP2026041715725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    6282000 | OU      | $31020.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | CWSTAUSTW202604093194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |   -3172000 | OU      | $-22318.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202604211139 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    2701000 | OU      | $7942.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PTBOAGBUS202606151314 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    2332000 | OU      | $36067.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSSG202604061276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1557000 | OU      | $-781.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSSG202604061276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1557000 | OU      | $-11865.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | PTUBSNZUS202604280577 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   10733000 | OU      | $81703.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | CWSTAUSTW202604083186 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |   -6344000 | OU      | $-52623.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | PTUBSEUUS202606161144 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | LU        |    2721000 | OU      | $24704.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                  | CTSTAUSTW202604093194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |    6310000 | OU      | $44397.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUNZ202604151211 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -2217000 | OU      | $-16530.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAAUNZ202604151211 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -2217000 | OU      | $-2193.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202606181145 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    2723000 | OU      | $26186.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIUSCN20260416686 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1564000 | OU      | $-7267.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIUSCN20260416686 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1564000 | OU      | $-3013.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CWDEUUSMX202605181865 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -3479000 | OU      | $-29637.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CTDEUUSMX20260518178 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    3163000 | OU      | $72461.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUNZ202604071212 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -2228000 | OU      | $-15624.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUUS202606161144 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -2721000 | OU      | $-24704.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAAUNZ202604071212 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -2228000 | OU      | $-530.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PTCHAAUUS2026052206955 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    8933000 | OU      | $128936.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIUSMX202605211893 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -3457000 | OU      | $-23777.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITAUNZ202604221203 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -2233000 | OU      | $-11326.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CTMSIUSMX2026052118135 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    3143000 | OU      | $51051.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITAUNZ202604221203 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -2233000 | OU      | $-6689.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAEUUS202604211139 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -2701000 | OU      | $-7942.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAUSCN202604076885 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1565000 | OU      | $-3195.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAUSCN202604076885 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1565000 | OU      | $-3422.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | PWHSBUSSG202604231276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |   -1565000 | OU      | $-4051.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIEUPL202604234268 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1351000 | OU      | $-13830.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUUS202604211149 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -5393063 | OU      | $-28362.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202605221153 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    5403000 | OU      | $55593.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | CWHSBUSSG202604231276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |   -1565000 | OU      | $-13077.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIAUUS2026052206955 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -4466500 | OU      | $-64468.38    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIEUPL202604234268 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1351000 | OU      | $-3536.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIAUNZ202604231194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -2245000 | OU      | $-12698.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIAUNZ202604231194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -2245000 | OU      | $-6022.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIEUPL20260428427 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1357000 | OU      | $-14122.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIEUPL20260428427 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1357000 | OU      | $-4280.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITGBUS202605071326 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    2348000 | OU      | $34823.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS202605271145 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    2704000 | OU      | $21352.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSZA202605141686 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -3125000 | OU      | $-75900.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CTBOAUSZA202605141772 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    3438000 | OU      | $32011.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CTCHAUSZA20260527175 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    3121000 | OU      | $44308.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAUSZA2026052718575 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -3121000 | OU      | $-16041.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIAUNZ202604271197 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -2264000 | OU      | $-8102.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPNZUS202604280577 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |  -10733000 | OU      | $-81703.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PTCHAAUUS202605220673 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    4528000 | OU      | $25461.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIAUNZ202604271197 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -2264000 | OU      | $-10876.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAAUUS2026052206955 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -4466500 | OU      | $-64468.38    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPNZUS202605280561 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   10834000 | OU      | $49021.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                    | Guatemala Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     480000 | PA      | $488040.00    | 0.14%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                   | Mexico City Airport Trust                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $199370.00    | 0.06%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bonds                   | Nigeria Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     340000 | PA      | $343485.00    | 0.10%             | 2032-02-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bonds               | Ivory Coast Government International Bonds                                                                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $187850.00    | 0.05%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Allison Fracchiolla

**Name of Signer:** Allison Fracchiolla

**Title:** Vice President