# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0000869392-23-000440
**Filing Date:** 2023-2
**Character Count:** 431351
**Document Hash:** 1f7736932bee988fee76481f49906cb8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000440.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0000869392-23-000440

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671
- **IRS NUMBER:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 23668377

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Diversified Income Fund (Series ID: S000003893)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000010881 | Class IA Shares |  |
| C000010882 | Class IB Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam VT Diversified Income Fund

- **b. EDGAR series identifier (if any):** S000003893

- **c. LEI of Series:** 8JXB19CF5HE2V5XUD764

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $262954650.74

**Total Liabilities:** $145846916.31

**Net Assets:** $117107734.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -455.28 | **1-Year:** 6850.01 | **5-Year:** 12270.8 | **10-Year:** 16756.24 | **30-Year:** 4876.47

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

- **3-Month:** 73.3 | **1-Year:** 1340.53 | **5-Year:** 4916.71 | **10-Year:** 2717.23 | **30-Year:** 83.44

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010881 | 0.00%                | 2.84%                | 0.22%                |
| Class ID C000010882 | 0.00%                | 2.83%                | 0.22%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1162277.86             | $231409.26                                 |
| Month 2  | $-2325750.47             | $7405505.16                                |
| Month 3  | $-2187091.26             | $2959119.02                                |

### Schedule of Portfolio Investments

| Name                                                                        | Title                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSAA HOME EQUITY TRUST 2006-8                                               | ASSET BACKED SECURITY                 | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508061 | PA      | $126862.00    | 0.11%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES 2006-HE2 TRUST    | ASSET BACKED SECURITY                 | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410041 | PA      | $294051.48    | 0.25%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES WAMU SERIES 2007-HE4 TRUST                   | ASSET BACKED SECURITY                 | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121791 | PA      | $94262.54     | 0.08%             | 2047-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                            | ASSET BACKED SECURITY                 | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202000 | PA      | $172467.22    | 0.15%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BWAY CORP                                                                   | BANK LOAN NOTE                        | CUSIP: 05604XAP1<br>LEI: 549300RY13CUZRBP7216 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121892.50    | 0.10%             | 2024-04-03      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                        | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: EM7QGKC1GYOF3LSZSL80       | Long             | DBT              | CORP              | US        |    269000 | PA      | $265806.97    | 0.23%             | 2029-12-08      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| WERNER FINCO LP                                                             | BANK LOAN NOTE                        | CUSIP: 95075EAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30217 | PA      | $27095.06     | 0.02%             | 2024-07-24      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| ROBERTSHAW US HOLDING CORP                                                  | BANK LOAN NOTE                        | CUSIP: 77051UAH2<br>LEI: 549300NMXRV2JIXFIY04 | Long             | DBT              | CORP              | US        |     55000 | PA      | $28325.00     | 0.02%             | 2026-02-28      | Floating      | 12.75%                | No            |                  2 | On Loan: No      |
| TAMKO BUILDING PRODUCTS LLC                                                 | BANK LOAN NOTE                        | CUSIP: 87510EAB5<br>LEI: 5493003VQCGZ0AORLH30 | Long             | DBT              | CORP              | US        |     94031 | PA      | $90621.99     | 0.08%             | 2026-05-29      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                          | BANK LOAN NOTE                        | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    167643 | PA      | $152375.70    | 0.13%             | 2026-08-21      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE INC                                                 | BANK LOAN NOTE                        | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |     60588 | PA      | $42222.22     | 0.04%             | 2025-10-02      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                 | BANK LOAN NOTE                        | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |     24687 | PA      | $21554.70     | 0.02%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP                                                               | BANK LOAN NOTE                        | CUSIP: 12657QAB9<br>LEI: 549300LPL012JY5D4B69 | Long             | DBT              | CORP              | US        |     79000 | PA      | $78528.37     | 0.07%             | 2028-05-27      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                        | BANK LOAN NOTE                        | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | DBT              | CORP              | US        |    143550 | PA      | $128791.62    | 0.11%             | 2026-06-29      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                       | BANK LOAN NOTE                        | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    184150 | PA      | $178894.36    | 0.15%             | 2027-07-22      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| VISION SOLUTIONS INC                                                        | BANK LOAN NOTE                        | CUSIP: 70477BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $136290.00    | 0.12%             | 2028-04-24      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: EFWMP121W54QV9MGOP87       | Long             | DBT              | CORP              | US        |     54588 | PA      | $53905.16     | 0.05%             | 2027-06-08      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                                         | BANK LOAN NOTE                        | CUSIP: 96350TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73507 | PA      | $70960.74     | 0.06%             | 2027-10-19      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                    | BANK LOAN NOTE                        | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | DBT              | CORP              | US        |     77614 | PA      | $9313.62      | 0.01%             | 2026-08-24      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                              | BANK LOAN NOTE                        | CUSIP: 74345HAD3<br>LEI: 529900C5FODDK0WSR085 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43050.15     | 0.04%             | 2029-08-31      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORP                                                    | BANK LOAN NOTE                        | CUSIP: 29373UAG6<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |     55666 | PA      | $13916.39     | 0.01%             | 2027-03-31      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORP                                                    | BANK LOAN NOTE                        | CUSIP: 29373UAF8<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |     22734 | PA      | $7729.50      | 0.01%             | 2027-03-31      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                    | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 04EEB871XLHVNY4RZJ65       | Long             | DBT              | CORP              | US        |    105000 | PA      | $93581.25     | 0.08%             | 2029-03-30      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC                                      | BANK LOAN NOTE                        | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120000.00    | 0.10%             | 2029-12-07      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                               | BANK LOAN NOTE                        | CUSIP: 10524MAN7<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |    157375 | PA      | $140456.76    | 0.12%             | 2024-06-21      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| TIAA REAL ESTATE CDO LTD                                                    | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 88631FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472775 | PA      | $4.73         | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MEZZ CAP COMMERCIAL MORTGAGE TRUST                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 59317EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11396 | PA      | $0.11         | 0.00%             | 2049-12-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116000 | PA      | $104105.71    | 0.09%             | 2047-06-10      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2021-C10                                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05551VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $125863.15    | 0.11%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BWAY 2022-26BW MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $276898.44    | 0.24%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| RREF 2012 LT1 LLC                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 76243NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217000 | PA      | $209947.50    | 0.18%             | 2037-01-19      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357548 | PA      | $355190.05    | 0.30%             | 2037-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NWPT                                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158000 | PA      | $157506.25    | 0.13%             | 2024-09-09      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $213124.73    | 0.18%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291000 | PA      | $224452.29    | 0.19%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B3 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $174575.64    | 0.15%             | 2051-04-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178000 | PA      | $155372.64    | 0.13%             | 2051-07-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    332039 | PA      | $311746.61    | 0.27%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    577000 | PA      | $532884.71    | 0.46%             | 2050-03-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2006-HQ10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61750HAH9<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |     92521 | PA      | $85242.98     | 0.07%             | 2041-11-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8960 | PA      | $8646.45      | 0.01%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401000 | PA      | $71479.13     | 0.06%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326000 | PA      | $273276.38    | 0.23%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| COMM 2012-LC4 MORTGAGE TRUST                                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126192AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175004 | PA      | $174678.10    | 0.15%             | 2044-12-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936TAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844486 | PA      | $62636.81     | 0.05%             | 2045-06-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232000 | PA      | $220761.92    | 0.19%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694000 | PA      | $509576.23    | 0.44%             | 2045-12-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAQ8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $235801.02    | 0.20%             | 2046-02-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GC10                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $194479.72    | 0.17%             | 2046-02-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17320DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $241594.14    | 0.21%             | 2046-04-10      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408000 | PA      | $294191.58    | 0.25%             | 2046-04-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBC4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    478000 | PA      | $315269.73    | 0.27%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE9 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12625UAJ2<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $254709.86    | 0.22%             | 2045-07-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $52306.88     | 0.04%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |   1231000 | PA      | $729207.84    | 0.62%             | 2046-08-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    513000 | PA      | $207116.36    | 0.18%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $153278.83    | 0.13%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $242603.82    | 0.21%             | 2047-01-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE3 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624PAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $304570.98    | 0.26%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $4.90         | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787000 | PA      | $549237.07    | 0.47%             | 2047-02-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE16 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $256133.90    | 0.22%             | 2047-04-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1331000 | PA      | $806719.10    | 0.69%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208000 | PA      | $189746.75    | 0.16%             | 2047-04-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194000 | PA      | $131430.93    | 0.11%             | 2047-11-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656000 | PA      | $394891.66    | 0.34%             | 2047-11-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369000 | PA      | $265451.96    | 0.23%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381000 | PA      | $211916.01    | 0.18%             | 2047-02-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    307000 | PA      | $205894.19    | 0.18%             | 2050-04-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $207286.32    | 0.18%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822000 | PA      | $818629.80    | 0.70%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $182062.29    | 0.16%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347000 | PA      | $293237.14    | 0.25%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191000 | PA      | $160132.74    | 0.14%             | 2058-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    213000 | PA      | $180687.52    | 0.15%             | 2048-06-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    534000 | PA      | $419936.00    | 0.36%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    828000 | PA      | $132861.46    | 0.11%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174000 | PA      | $132171.76    | 0.11%             | 2050-02-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $324356.53    | 0.28%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WINNEBAGO INDUSTRIES INC                                                    | CONV. NOTE                            | CUSIP: 974637AB6<br>LEI: 549300B7OYKYJLTE3G11 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31462.50     | 0.03%             | 2025-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64312.50     | 0.05%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MONGODB INC                                                                 | CONV. NOTE                            | CUSIP: 60937PAD8<br>LEI: 549300TPTG69WKWE1Z37 | Long             | DBT              | CORP              | US        |     30000 | PA      | $35175.00     | 0.03%             | 2026-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                                         | CONV. NOTE                            | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |     92000 | PA      | $72109.60     | 0.06%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                        | CONV. NOTE                            | CUSIP: 09857LAN8<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     68000 | PA      | $90569.47     | 0.08%             | 2025-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BURLINGTON STORES INC                                                       | CONV. NOTE                            | CUSIP: 122017AB2<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |     42000 | PA      | $48300.00     | 0.04%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                       | CONV. NOTE                            | CUSIP: 844741BG2<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $90075.00     | 0.08%             | 2025-05-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL VISION HOLDINGS INC                                                | CONV. NOTE                            | CUSIP: 63845RAB3<br>LEI: 549300JHURCBLI5ROA42 | Long             | DBT              | CORP              | US        |     30000 | PA      | $41162.54     | 0.04%             | 2025-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                                                  | CONV. NOTE                            | CUSIP: 252131AK3<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |     71000 | PA      | $77212.50     | 0.07%             | 2025-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL INC                                                 | CONV. NOTE                            | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |     27000 | PA      | $29013.14     | 0.02%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ZILLOW GROUP INC                                                            | CONV. NOTE                            | CUSIP: 98954MAH4<br>LEI: 2549002XEELQDIR6FU05 | Long             | DBT              | CORP              | US        |     36000 | PA      | $34236.00     | 0.03%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                                                   | CONV. NOTE                            | CUSIP: 338307AD3<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |     39000 | PA      | $35724.00     | 0.03%             | 2025-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TELADOC HEALTH INC                                                          | CONV. NOTE                            | CUSIP: 87918AAF2<br>LEI: 549300I2PVFBC9MFAC61 | Long             | DBT              | CORP              | US        |     58000 | PA      | $44555.30     | 0.04%             | 2027-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SILICON LABORATORIES INC                                                    | CONV. NOTE                            | CUSIP: 826919AD4<br>LEI: 4PRDF8Q9TDHRVZKZSZ47 | Long             | DBT              | CORP              | US        |     22000 | PA      | $27486.80     | 0.02%             | 2025-06-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                | CONV. NOTE                            | CUSIP: 723787AP2<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     11000 | PA      | $25652.00     | 0.02%             | 2025-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LYFT INC                                                                    | CONV. NOTE                            | CUSIP: 55087PAB0<br>LEI: 549300H7I5VN334XVZ52 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35218.38     | 0.03%             | 2025-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SPLUNK INC                                                                  | CONV. NOTE                            | CUSIP: 848637AF1<br>LEI: 549300XGDSGBP6UEI867 | Long             | DBT              | CORP              | US        |    121000 | PA      | $102099.80    | 0.09%             | 2027-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PALO ALTO NETWORKS INC                                                      | CONV. NOTE                            | CUSIP: 697435AF2<br>LEI: 549300QXR2YVZV231H43 | Long             | DBT              | CORP              | US        |     27000 | PA      | $39865.50     | 0.03%             | 2025-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| OKTA INC                                                                    | CONV. NOTE                            | CUSIP: 679295AF2<br>LEI: 549300N8J06I8MRHU620 | Long             | DBT              | CORP              | US        |     79000 | PA      | $66360.00     | 0.06%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                                                 | CONV. NOTE                            | CUSIP: 23804LAB9<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |     40000 | PA      | $43650.00     | 0.04%             | 2025-06-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ZSCALER INC                                                                 | CONV. NOTE                            | CUSIP: 98980GAB8<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |     36000 | PA      | $37800.00     | 0.03%             | 2025-07-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES GROUP INC                                                 | CONV. NOTE                            | CUSIP: 02376RAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24000 | PA      | $25296.00     | 0.02%             | 2025-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                                                      | CONV. NOTE                            | CUSIP: 695127AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $25217.50     | 0.02%             | 2025-08-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONV. NOTE                            | CUSIP: 531229AB8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     30000 | PA      | $36945.00     | 0.03%             | 2023-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HAX9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30255.00     | 0.03%             | 2025-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC                                                                 | CONV. NOTE                            | CUSIP: 94419LAM3<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |     61000 | PA      | $39436.50     | 0.03%             | 2025-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MIDDLEBY CORP/THE                                                           | CONV. NOTE                            | CUSIP: 596278AB7<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | DBT              | CORP              | US        |     35000 | PA      | $41142.50     | 0.04%             | 2025-09-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONV. NOTE                            | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     80000 | PA      | $60300.00     | 0.05%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS INC                                                   | CONV. NOTE                            | CUSIP: 40637HAD1<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |     87000 | PA      | $84226.88     | 0.07%             | 2027-03-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CERIDIAN HCM HOLDING INC                                                    | CONV. NOTE                            | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |     57000 | PA      | $49960.50     | 0.04%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                        | CONV. NOTE                            | CUSIP: 477143AP6<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |     61000 | PA      | $44473.70     | 0.04%             | 2026-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| RAPID7 INC                                                                  | CONV. NOTE                            | CUSIP: 753422AF1<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |     52000 | PA      | $40611.67     | 0.03%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| TYLER TECHNOLOGIES INC                                                      | CONV. NOTE                            | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |     34000 | PA      | $31586.00     | 0.03%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JOHN BEAN TECHNOLOGIES CORP                                                 | CONV. NOTE                            | CUSIP: 477839AB0<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |     31000 | PA      | $26613.50     | 0.02%             | 2026-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ETSY INC                                                                    | CONV. NOTE                            | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |     68000 | PA      | $58058.40     | 0.05%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY INC/THE                                                  | CONV. NOTE                            | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |     55000 | PA      | $45065.63     | 0.04%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                                                         | CONV. NOTE                            | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |     34000 | PA      | $27676.00     | 0.02%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UPWORK INC                                                                  | CONV. NOTE                            | CUSIP: 91688FAB0<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | DBT              | CORP              | US        |     60000 | PA      | $44991.56     | 0.04%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BEAUTY HEALTH CO/THE                                                        | CONV. NOTE                            | CUSIP: 88331LAA6<br>LEI: 5493001Z2JZQT4C63C50 | Long             | DBT              | CORP              | US        |     36000 | PA      | $27216.00     | 0.02%             | 2026-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| IMPINJ INC                                                                  | CONV. NOTE                            | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |     47000 | PA      | $56400.00     | 0.05%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PERFICIENT INC                                                              | CONV. NOTE                            | CUSIP: 71375UAF8<br>LEI: 549300HTBXKL2755T650 | Long             | DBT              | CORP              | US        |     28000 | PA      | $21630.00     | 0.02%             | 2026-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HBJ9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     65000 | PA      | $46637.50     | 0.04%             | 2027-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                 | CONV. NOTE                            | CUSIP: 780153BP6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     64000 | PA      | $80384.00     | 0.07%             | 2025-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                               | CONV. NOTE                            | CUSIP: 977852AC6<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |     42000 | PA      | $37821.00     | 0.03%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 516544AA1<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35241.50     | 0.03%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                         | CONV. NOTE                            | CUSIP: 05464CAA9<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     31000 | PA      | $30721.00     | 0.03%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| VIAVI SOLUTIONS INC                                                         | CONV. NOTE                            | CUSIP: 925550AB1<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |     27000 | PA      | $27108.00     | 0.02%             | 2024-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEUROCRINE BIOSCIENCES INC                                                  | CONV. NOTE                            | CUSIP: 64125CAD1<br>LEI: 549300FECER0XBN49756 | Long             | DBT              | CORP              | US        |     17000 | PA      | $26800.50     | 0.02%             | 2024-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                                      | CONV. NOTE                            | CUSIP: 472145AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     94000 | PA      | $92531.25     | 0.08%             | 2024-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TRUST INC                                               | CONV. NOTE                            | CUSIP: 09257WAC4<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |     48000 | PA      | $47070.00     | 0.04%             | 2023-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GUIDEWIRE SOFTWARE INC                                                      | CONV. NOTE                            | CUSIP: 40171VAA8<br>LEI: 549300WXSG0J8IXZCK32 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27765.00     | 0.02%             | 2025-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                              | CONV. NOTE                            | CUSIP: 893830BJ7<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | US        |     83000 | PA      | $79783.75     | 0.07%             | 2023-01-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAJ0<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |     48000 | PA      | $50400.00     | 0.04%             | 2025-05-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| IRONWOOD PHARMACEUTICALS INC                                                | CONV. NOTE                            | CUSIP: 46333XAH1<br>LEI: 549300PC8MR6QHH6P296 | Long             | DBT              | CORP              | US        |     42000 | PA      | $45806.25     | 0.04%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |    119000 | PA      | $114597.00    | 0.10%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                | CONV. NOTE                            | CUSIP: 45784PAK7<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |     47000 | PA      | $66364.00     | 0.06%             | 2026-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                                              | CONV. NOTE                            | CUSIP: 48123VAD4<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |     53000 | PA      | $52841.00     | 0.05%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONVERTIBLE BONDS                     | CUSIP: 531229AK8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     51000 | PA      | $50860.06     | 0.04%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CONVERTIBLE BONDS                     | CUSIP: 629377CG5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74137.50     | 0.06%             | 2048-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY TRIPADVISOR HOLDINGS INC                                            | CONVERTIBLE BONDS                     | CUSIP: 531465AA0<br>LEI: 5299006PCRAU736ZJ155 | Long             | DBT              | CORP              | US        |     78000 | PA      | $55926.00     | 0.05%             | 2051-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                           | CONVERTIBLE BONDS                     | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     83000 | PA      | $51999.50     | 0.04%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONVERTIBLE BONDS                     | CUSIP: 531229AJ1<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |    112000 | PA      | $102088.00    | 0.09%             | 2049-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                                                         | CONVERTIBLE ZERO                      | CUSIP: 82452JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $59437.50     | 0.05%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     63000 | PA      | $53062.15     | 0.05%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VAIL RESORTS INC                                                            | CONVERTIBLE ZERO                      | CUSIP: 91879QAN9<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |    101000 | PA      | $93677.50     | 0.08%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY PARTNERS LP                                                  | CONVERTIBLE ZERO                      | CUSIP: 65341BAD8<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |     87000 | PA      | $86478.00     | 0.07%             | 2025-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BOX INC                                                                     | CONVERTIBLE ZERO                      | CUSIP: 10316TAB0<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |     52000 | PA      | $68198.00     | 0.06%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALARM.COM HOLDINGS INC                                                      | CONVERTIBLE ZERO                      | CUSIP: 011642AB1<br>LEI: 549300HIH92U1EKIHZ32 | Long             | DBT              | CORP              | US        |     52000 | PA      | $42218.80     | 0.04%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                           | CONVERTIBLE ZERO                      | CUSIP: 30212PBE4<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     61000 | PA      | $53126.64     | 0.05%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENPHASE ENERGY INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 29355AAK3<br>LEI: 5493008U7KIGMI59Z314 | Long             | DBT              | CORP              | US        |     76000 | PA      | $88874.40     | 0.08%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHAKE SHACK INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 819047AB7<br>LEI: 529900J74GJAHYP80N79 | Long             | DBT              | CORP              | US        |     60000 | PA      | $39487.50     | 0.03%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EVERBRIDGE INC                                                              | CONVERTIBLE ZERO                      | CUSIP: 29978AAE4<br>LEI: 549300WCY0UMR64ATW81 | Long             | DBT              | CORP              | US        |     31000 | PA      | $26312.80     | 0.02%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLACKLINE INC                                                               | CONVERTIBLE ZERO                      | CUSIP: 09239BAD1<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |     38000 | PA      | $32371.25     | 0.03%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                                     | CONVERTIBLE ZERO                      | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |     43000 | PA      | $26595.50     | 0.02%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                               | CONVERTIBLE ZERO                      | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     78000 | PA      | $73593.00     | 0.06%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                    | CONVERTIBLE ZERO                      | CUSIP: 83304AAF3<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     78000 | PA      | $54483.00     | 0.05%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                       | CONVERTIBLE ZERO                      | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     29000 | PA      | $38425.00     | 0.03%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BILL.COM HOLDINGS INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 090043AD2<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |     73000 | PA      | $57706.50     | 0.05%             | 2027-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |     55000 | PA      | $37647.50     | 0.03%             | 2026-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 3D SYSTEMS CORP                                                             | CONVERTIBLE ZERO                      | CUSIP: 88554DAD8<br>LEI: 5493003HHDOCCW4OP744 | Long             | DBT              | CORP              | US        |     47000 | PA      | $32054.00     | 0.03%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITALOCEAN HOLDINGS INC                                                   | CONVERTIBLE ZERO                      | CUSIP: 25402DAB8<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |     47000 | PA      | $35132.50     | 0.03%             | 2026-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITY SOFTWARE INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |     64000 | PA      | $47904.00     | 0.04%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 84921RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56000 | PA      | $45080.00     | 0.04%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CYBERARK SOFTWARE LTD                                                       | CONVERTIBLE ZERO                      | CUSIP: 23248VAB1<br>LEI: 529900YEXNDM894PWS93 | Long             | DBT              | CORP              | IL        |     42000 | PA      | $44443.22     | 0.04%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GUARDANT HEALTH INC                                                         | CONVERTIBLE ZERO                      | CUSIP: 40131MAB5<br>LEI: 254900M8C3E5VC8BR186 | Long             | DBT              | CORP              | US        |     37000 | PA      | $23010.30     | 0.02%             | 2027-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 852234AJ2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     36000 | PA      | $29142.00     | 0.02%             | 2026-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOLAREDGE TECHNOLOGIES INC                                                  | CONVERTIBLE ZERO                      | CUSIP: 83417MAD6<br>LEI: 5493000K6Y58XXPDF853 | Long             | DBT              | CORP              | IL        |     42000 | PA      | $52143.00     | 0.04%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEGG INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 163092AF6<br>LEI: 549300AKX7O8JG0O3G77 | Long             | DBT              | CORP              | US        |     33000 | PA      | $25885.20     | 0.02%             | 2026-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 76680RAF4<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |     74000 | PA      | $63547.50     | 0.05%             | 2025-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                                  | CONVERTIBLE ZERO                      | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |    115000 | PA      | $94645.00     | 0.08%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179996 | PA      | $177745.67    | 0.15%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                             | CORP CMO                              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    157768 | PA      | $130201.93    | 0.11%             | 2035-10-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    143538 | PA      | $144868.65    | 0.12%             | 2024-02-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-65CB                                            | CORP CMO                              | CUSIP: 12668AY90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    311667 | PA      | $210937.30    | 0.18%             | 2035-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    148000 | PA      | $139860.00    | 0.12%             | 2042-01-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $317379.65    | 0.27%             | 2024-10-22      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    469000 | PA      | $425045.79    | 0.36%             | 2024-10-22      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    242000 | PA      | $262465.26    | 0.22%             | 2029-09-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    407000 | PA      | $428786.99    | 0.37%             | 2029-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    132789 | PA      | $107046.26    | 0.09%             | 2046-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4          | CORP CMO                              | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-CBDO         | CORP              | US        |    114701 | PA      | $93791.69     | 0.08%             | 2047-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2017-1 LTD                                                    | CORP CMO                              | CUSIP: 078767AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    220000 | PA      | $220797.43    | 0.19%             | 2027-10-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     30000 | PA      | $30768.78     | 0.03%             | 2030-02-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                            | CORP CMO                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128227 | PA      | $92032.48     | 0.08%             | 2037-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-2                                       | CORP CMO                              | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    171957 | PA      | $57912.94     | 0.05%             | 2035-05-19      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                       | CORP CMO                              | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159833 | PA      | $136280.60    | 0.12%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R03                                | CORP CMO                              | CUSIP: 20753MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    505000 | PA      | $512932.69    | 0.44%             | 2031-09-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                           | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    253000 | PA      | $215800.55    | 0.18%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |    163000 | PA      | $166831.80    | 0.14%             | 2048-10-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     22000 | PA      | $22641.46     | 0.02%             | 2030-05-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    451000 | PA      | $468327.19    | 0.40%             | 2030-12-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                           | CORP CMO                              | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |    152000 | PA      | $162824.32    | 0.14%             | 2049-03-25      | Floating      | 14.89%                | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                       | CORP CMO                              | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |    389000 | PA      | $385619.20    | 0.33%             | 2048-09-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |    333000 | PA      | $359880.93    | 0.31%             | 2048-10-25      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                | CORP CMO                              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    155000 | PA      | $144387.27    | 0.12%             | 2040-01-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                               | CORP CMO                              | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    276000 | PA      | $272587.12    | 0.23%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                     | CORP CMO                              | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85656 | PA      | $86531.38     | 0.07%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA3                                     | CORP CMO                              | CUSIP: 35565WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    237000 | PA      | $250627.50    | 0.21%             | 2050-06-25      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2                                    | CORP CMO                              | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    214020 | PA      | $89771.77     | 0.08%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR17 TRUST              | CORP CMO                              | CUSIP: 92922F7T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    331890 | PA      | $292340.90    | 0.25%             | 2045-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-38                                              | CORP CMO                              | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    266116 | PA      | $233350.47    | 0.20%             | 2035-09-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    918183 | PA      | $725179.17    | 0.62%             | 2046-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-59                                              | CORP CMO                              | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159533 | PA      | $139367.45    | 0.12%             | 2035-11-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-OH1                                             | CORP CMO                              | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85731 | PA      | $68867.74     | 0.06%             | 2047-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-3                                                     | CORP CMO                              | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40630 | PA      | $37420.84     | 0.03%             | 2035-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |      6377 | PA      | $6556.60      | 0.01%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2011-RR3 TRUST                                                     | CORP CMO                              | CUSIP: 05533WAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    269462 | PA      | $175150.24    | 0.15%             | 2036-11-27      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0FZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    395488 | PA      | $394969.45    | 0.34%             | 2027-12-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    174496 | PA      | $142456.35    | 0.12%             | 2046-06-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    517507 | PA      | $531280.69    | 0.45%             | 2028-04-25      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    323678 | PA      | $323836.96    | 0.28%             | 2028-03-25      | Floating      | 13.19%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1020787 | PA      | $1067550.83   | 0.91%             | 2028-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    580374 | PA      | $520421.03    | 0.44%             | 2046-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    270744 | PA      | $292853.64    | 0.25%             | 2028-08-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    965841 | PA      | $1065555.75   | 0.91%             | 2028-09-25      | Floating      | 16.64%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    496134 | PA      | $537834.24    | 0.46%             | 2028-10-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1                     | CORP CMO                              | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    214904 | PA      | $180923.53    | 0.15%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     89648 | PA      | $93597.16     | 0.08%             | 2029-01-25      | Floating      | 15.14%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA4                                     | CORP CMO                              | CUSIP: 35565XBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135000 | PA      | $146643.75    | 0.13%             | 2050-08-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP                            | CORP. NOTE                            | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     69000 | PA      | $68396.25     | 0.06%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     70000 | PA      | $70275.54     | 0.06%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | CORP. NOTE                            | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87167.49     | 0.07%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | CORP. NOTE                            | CUSIP: 12429TAD6<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14585.21     | 0.01%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOXAM SAS                                                                   | CORP. NOTE                            | CUSIP: F5837PAJ5<br>LEI: 969500BNA2YRNE1R5K91 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $318430.89    | 0.27%             | 2024-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LA FINANCIERE ATALIAN SASU                                                  | CORP. NOTE                            | CUSIP: F5474SAE8<br>LEI: 969500ICOLJMB33J0L87 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $90791.24     | 0.08%             | 2024-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22430.91     | 0.02%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     35000 | PA      | $34785.12     | 0.03%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PONTUS LTD                                                       | CORP. NOTE                            | CUSIP: 89382PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     25760 | PA      | $25244.80     | 0.02%             | 2025-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138066.60    | 0.12%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                             | CORP. NOTE                            | CUSIP: 15138AAC4<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    190000 | PA      | $179025.23    | 0.15%             | 2027-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                 | CORP. NOTE                            | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32361.35     | 0.03%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LOXAM SAS                                                                   | CORP. NOTE                            | CUSIP: F5837PAU0<br>LEI: 969500BNA2YRNE1R5K91 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $240540.71    | 0.21%             | 2026-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCZ1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    102000 | PA      | $96455.56     | 0.08%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102326.39    | 0.09%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / NEW RED FINANCE INC                                        | CORP. NOTE                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     80000 | PA      | $71600.00     | 0.06%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCF6<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54586.86     | 0.05%             | 2024-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                   | CORP. NOTE                            | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     34000 | PA      | $31758.66     | 0.03%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    318000 | PA      | $298617.90    | 0.25%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                    | CORP. NOTE                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |     57000 | PA      | $51087.35     | 0.04%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                            | CORP. NOTE                            | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41912.10     | 0.04%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $83222.69     | 0.07%             | 2028-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORP. NOTE                            | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66898.37     | 0.06%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    282000 | PA      | $274691.97    | 0.23%             | 2026-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP                        | CORP. NOTE                            | CUSIP: 435765AH5<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | US        |    144000 | PA      | $131112.91    | 0.11%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TECHEM VERWALTUNGSGESELLSCHAFT 675 MBH                                      | CORP. NOTE                            | CUSIP: D8317BAA0<br>LEI: 529900N0M7FQHNAV1A41 | Long             | DBT              | CORP              | DE        |    310000 | PA      | $303931.65    | 0.26%             | 2025-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                         | CORP. NOTE                            | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |     95000 | PA      | $82591.27     | 0.07%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORP. NOTE                            | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     33000 | PA      | $29006.86     | 0.02%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                            | CORP. NOTE                            | CUSIP: 172441BC0<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20196.38     | 0.02%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                              | CORP. NOTE                            | CUSIP: 78573NAC6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159380.32    | 0.14%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | CORP. NOTE                            | CUSIP: 57763RAA5<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29398.74     | 0.03%             | 2024-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66325.00     | 0.06%             | 2028-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                           | CORP. NOTE                            | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |     58000 | PA      | $58134.06     | 0.05%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                      | CORP. NOTE                            | CUSIP: 95081QAN4<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    111000 | PA      | $112388.85    | 0.10%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC / CRC FINCO INC                               | CORP. NOTE                            | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $230042.93    | 0.20%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    295000 | PA      | $265270.32    | 0.23%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORP. NOTE                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46668.50     | 0.04%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                            | CORP. NOTE                            | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     77000 | PA      | $62786.67     | 0.05%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORP. NOTE                            | CUSIP: 674599EB7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19927.57     | 0.02%             | 2025-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORP. NOTE                            | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    213000 | PA      | $178704.87    | 0.15%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BIG RIVER STEEL LLC / BRS FINANCE CORP                                      | CORP. NOTE                            | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     76000 | PA      | $72407.16     | 0.06%             | 2029-01-31      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                        | CORP. NOTE                            | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $69642.75     | 0.06%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER              | CORP. NOTE                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22390.69     | 0.02%             | 2027-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | CORP. NOTE                            | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9387.58      | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                | CORP. NOTE                            | CUSIP: 03690EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $55674.64     | 0.05%             | 2026-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164168.00    | 0.14%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                      | CORP. NOTE                            | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    200000 | PA      | $138042.38    | 0.12%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 62957HAH8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     56689 | PA      | $57396.96     | 0.05%             | 2025-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                        | CORP. NOTE                            | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |     41000 | PA      | $39052.43     | 0.03%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |    201000 | PA      | $169596.74    | 0.14%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     65000 | PA      | $57152.55     | 0.05%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VERISURE HOLDING AB                                                         | CORP. NOTE                            | CUSIP: W9821DAQ7<br>LEI: 549300VQQCWGISM3N408 | Long             | DBT              | CORP              | SE        |    300000 | PA      | $277460.51    | 0.24%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES LLC/ZOOMINFO FINANCE CORP                             | CORP. NOTE                            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    178000 | PA      | $149588.07    | 0.13%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KLEOPATRA HOLDINGS 2 SCA                                                    | CORP. NOTE                            | CUSIP: L5841GAA1<br>LEI: 222100ALG258IKQWWE73 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $58433.70     | 0.05%             | 2026-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     75000 | PA      | $63852.00     | 0.05%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWENS  AND  MINOR INC                                                       | CORP. NOTE                            | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39865.00     | 0.03%             | 2029-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                | CORP. NOTE                            | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     45000 | PA      | $39600.00     | 0.03%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                | CORP. NOTE                            | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     45000 | PA      | $39037.50     | 0.03%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18388.10     | 0.02%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61482.75     | 0.05%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                     | CORP. NOTE                            | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |     95000 | PA      | $81937.50     | 0.07%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                           | CORP. NOTE                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    256000 | PA      | $222109.08    | 0.19%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES            | CORP. NOTE                            | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    200000 | PA      | $168231.60    | 0.14%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                   | CORP. NOTE                            | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65054.25     | 0.06%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BQ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87225.00     | 0.07%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                         | CORP. NOTE                            | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $178230.00    | 0.15%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                  | CORP. NOTE                            | CUSIP: 380355AF4<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $48675.00     | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENCINO ACQUISITION PARTNERS HOLDINGS LLC                                    | CORP. NOTE                            | CUSIP: 29254BAA5<br>LEI: 549300BUKUEKT2UE4T49 | Long             | DBT              | CORP              | US        |    165000 | PA      | $150808.35    | 0.13%             | 2028-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORP. NOTE                            | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     35000 | PA      | $29477.90     | 0.03%             | 2031-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE  AND  DOCK CORP                                          | CORP. NOTE                            | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |    185000 | PA      | $143819.00    | 0.12%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE                                                              | CORP. NOTE                            | CUSIP: N/A<br>LEI: 724500KRJEMC79KAAU28       | Long             | DBT              | CORP              | FR        |    150000 | PA      | $126377.80    | 0.11%             | 2029-07-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     45000 | PA      | $38983.50     | 0.03%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORP. NOTE                            | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87030.00     | 0.07%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORP. NOTE                            | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11505.24     | 0.01%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                 | CORP. NOTE                            | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13180.80     | 0.01%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET  AND  CO                                                  | CORP. NOTE                            | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31400.00     | 0.03%             | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                 | CORP. NOTE                            | CUSIP: 575385AE9<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40446.31     | 0.03%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION INC                                                   | CORP. NOTE                            | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     80000 | PA      | $67229.60     | 0.06%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                    | CORP. NOTE                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74000 | PA      | $66204.84     | 0.06%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORP. NOTE                            | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     66000 | PA      | $59169.66     | 0.05%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $21373.02     | 0.02%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    278000 | PA      | $253541.28    | 0.22%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SYLVAMO CORP                                                                | CORP. NOTE                            | CUSIP: 87133LAA8<br>LEI: 5493001AOYU1ZOWOC971 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85500.00     | 0.07%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    185000 | PA      | $171506.10    | 0.15%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57667JAA0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     25000 | PA      | $19171.60     | 0.02%             | 2031-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AMERICA INC                                            | CORP. NOTE                            | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17294.00     | 0.01%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAC5<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    245000 | PA      | $241325.00    | 0.21%             | 2024-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |     51000 | PA      | $45192.63     | 0.04%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ROCKCLIFF ENERGY II LLC                                                     | CORP. NOTE                            | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    151000 | PA      | $138157.45    | 0.12%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                                                         | CORP. NOTE                            | CUSIP: 50221DAA7<br>LEI: 254900FPK7P5WNA66Y10 | Long             | DBT              | CORP              | US        |     95000 | PA      | $78480.57     | 0.07%             | 2029-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                           | CORP. NOTE                            | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    270000 | PA      | $229500.00    | 0.20%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61824.00     | 0.05%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                             | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |    560000 | PA      | $452200.00    | 0.39%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | CORP. NOTE                            | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23481.16     | 0.02%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66696.00     | 0.06%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CALLON PETROLEUM CO                                                         | CORP. NOTE                            | CUSIP: 13123XBF8<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |    201000 | PA      | $183915.00    | 0.16%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                | CORP. NOTE                            | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18158.30     | 0.02%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72873.11     | 0.06%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29589.79     | 0.03%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                     | CORP. NOTE                            | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18954.51     | 0.02%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP HOLDINGS INC                                           | CORP. NOTE                            | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $134765.00    | 0.12%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | CORP. NOTE                            | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |      3000 | PA      | $1780.94      | 0.00%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                        | CORP. NOTE                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    535000 | PA      | $504237.50    | 0.43%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                        | CORP. NOTE                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100529.00    | 0.09%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                 | CORPORATE BONDS                       | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $170301.85    | 0.15%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                   | CORPORATE BONDS                       | CUSIP: 65249BAB5<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7280.00      | 0.01%             | 2032-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | CORPORATE BONDS                       | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |    327000 | PA      | $270988.99    | 0.23%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                           | CORPORATE BONDS                       | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    410000 | PA      | $350765.58    | 0.30%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORPORATE BONDS                       | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    240000 | PA      | $216489.60    | 0.18%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORPORATE BONDS                       | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     43000 | PA      | $32038.37     | 0.03%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAL4<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119998.82    | 0.10%             | 2025-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORPORATE BONDS                       | CUSIP: 131347CK0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20955.61     | 0.02%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145627.50    | 0.12%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORPORATE BONDS                       | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     24000 | PA      | $21472.80     | 0.02%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    375000 | PA      | $346024.90    | 0.30%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     16000 | PA      | $16152.94     | 0.01%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     28000 | PA      | $25760.00     | 0.02%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC                              | CORPORATE BONDS                       | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    470000 | PA      | $450034.40    | 0.38%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8998.90      | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     76000 | PA      | $69635.76     | 0.06%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | CORPORATE BONDS                       | CUSIP: 037411BE4<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     32000 | PA      | $28801.95     | 0.02%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    118000 | PA      | $104163.32    | 0.09%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORPORATE BONDS                       | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $121878.22    | 0.10%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                | CORPORATE BONDS                       | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    463000 | PA      | $418677.01    | 0.36%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36033.79     | 0.03%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                            | CORPORATE BONDS                       | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    153000 | PA      | $138650.13    | 0.12%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41287.50     | 0.04%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | CORPORATE BONDS                       | CUSIP: 84762LAV7<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43271.31     | 0.04%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                        | CORPORATE BONDS                       | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     97000 | PA      | $83141.61     | 0.07%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    555000 | PA      | $566100.00    | 0.48%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     21000 | PA      | $18617.87     | 0.02%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORPORATE BONDS                       | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $26773.80     | 0.02%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16327.35     | 0.01%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    246000 | PA      | $233872.20    | 0.20%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORPORATE BONDS                       | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46569.72     | 0.04%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     35000 | PA      | $26337.62     | 0.02%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     45000 | PA      | $37732.50     | 0.03%             | 2031-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                 | CORPORATE BONDS                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    110000 | PA      | $94816.41     | 0.08%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORPORATE BONDS                       | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42228.14     | 0.04%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69814.52     | 0.06%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     65000 | PA      | $53711.33     | 0.05%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS  AND  CO                                                       | CORPORATE BONDS                       | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |     47000 | PA      | $37303.43     | 0.03%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | CORPORATE BONDS                       | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48643.67     | 0.04%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12245.89     | 0.01%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORPORATE BONDS                       | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    195000 | PA      | $152133.00    | 0.13%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    175000 | PA      | $131433.75    | 0.11%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3973.53      | 0.00%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                            | CORPORATE BONDS                       | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $81637.50     | 0.07%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORPORATE BONDS                       | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    147000 | PA      | $125624.73    | 0.11%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1293000 | PA      | $1015324.37   | 0.87%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                 | CORPORATE BONDS                       | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $60344.78     | 0.05%             | 2037-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $960882.34    | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6335.49      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7629.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $3181.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $64438.54     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $720913.85    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $22361.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3177919.64   | 2.71%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $907437.52    | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $19942.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $45769.64     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $10352.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $58955.65     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2615.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7688.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $159909.87    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $15572.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1689.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $179802.62    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $85227.55     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3175.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4753.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $800569.38    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $60067.23     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $242.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $25553.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $548122.52    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $456566.93    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $322.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $627065.30    | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6561.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $1707583.39   | 1.46%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $103479.64    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3545.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $20320.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $411553.51    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9080.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $35751.37     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1233326.99   | 1.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4254.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $26220.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $78144.52     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $143363.44    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $115961.15    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $21641.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $50003.63     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $57223.76     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $132227.76    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                               | Credit Default Swap Basket Index      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCR              | CORP              | US        |   2421540 | NC      | $50876.56     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | DISC. CP                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | STIV             | CORP              | CA        |    500000 | PA      | $498325.84    | 0.43%             | 2023-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD/SINGAPORE                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 5493006GGLR4BTEL8O61       | Long             | STIV             | CORP              | SG        |   1000000 | PA      | $997860.50    | 0.85%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                         | DISC. CP                              | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | STIV             | CORP              | FR        |    500000 | PA      | $498085.34    | 0.43%             | 2023-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD/NEW YORK NY                                                 | DISC. CP                              | CUSIP: N/A<br>LEI: RB0PEZSDGCO3JS6CEU02       | Long             | STIV             | CORP              | US        |    500000 | PA      | $497717.36    | 0.43%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NRW BANK                                                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 52990002O5KK6XOGJ020       | Long             | STIV             | CORP              | DE        |    500000 | PA      | $496767.74    | 0.42%             | 2023-02-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2396241 | PA      | $269165.90    | 0.23%             | 2050-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AUD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273439 | PA      | $21458.73     | 0.02%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FWKE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2673278 | PA      | $567327.91    | 0.48%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FYMM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2509884 | PA      | $443610.74    | 0.38%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FYLH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1868440 | PA      | $400140.22    | 0.34%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BPMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397747 | PA      | $51723.37     | 0.04%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BRPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493520 | PA      | $64641.24     | 0.06%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1838274 | PA      | $170332.48    | 0.15%             | 2050-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FVT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2415988 | PA      | $267546.49    | 0.23%             | 2050-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31394JDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567280 | PA      | $5672.80      | 0.00%             | 2043-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1868885 | PA      | $214772.21    | 0.18%             | 2056-08-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FCB52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526831 | PA      | $55058.26     | 0.05%             | 2047-12-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H1X68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3378315 | PA      | $625305.79    | 0.53%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ANL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319855 | PA      | $36956.99     | 0.03%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ALYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175794 | PA      | $26601.37     | 0.02%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FHLMC CMO IO                          | CUSIP: 3137B1VT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91782 | PA      | $911.40       | 0.00%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BMNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239900 | PA      | $43735.28     | 0.04%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    781412 | PA      | $122673.93    | 0.10%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AV3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359355 | PA      | $70981.17     | 0.06%             | 2042-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BH6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704200 | PA      | $146542.52    | 0.13%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ASB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281330 | PA      | $55084.18     | 0.05%             | 2042-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS                                                          | FHLMC CMO IO                          | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196400 | PA      | $7668.44      | 0.01%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BEK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231617 | PA      | $42589.85     | 0.04%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ALXZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143659 | PA      | $22770.00     | 0.02%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BXH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459111 | PA      | $53882.25     | 0.05%             | 2047-04-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17584 | PA      | $17343.43     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16445 | PA      | $16219.99     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6917 | PA      | $6767.20      | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3663 | PA      | $3612.53      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B1S47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1857824 | PA      | $200035.62    | 0.17%             | 2048-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BCLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500207 | PA      | $460406.96    | 0.39%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B8H51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423653 | PA      | $145924.40    | 0.12%             | 2050-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B5A54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255787 | PA      | $96796.23     | 0.08%             | 2049-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AWLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2890840 | PA      | $260638.15    | 0.22%             | 2047-05-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455481 | PA      | $135068.63    | 0.12%             | 2048-03-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AQKF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750700 | PA      | $112212.36    | 0.10%             | 2043-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ANX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1519029 | PA      | $93538.74     | 0.08%             | 2045-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ANRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1027198 | PA      | $166878.64    | 0.14%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AT6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135296 | PA      | $85168.31     | 0.07%             | 2046-12-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AGXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709967 | PA      | $74817.59     | 0.06%             | 2043-02-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AF6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757678 | PA      | $83010.70     | 0.07%             | 2043-09-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639789 | PA      | $113116.76    | 0.10%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AQZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170053 | PA      | $11434.97     | 0.01%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A9C48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120887 | PA      | $23589.79     | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADU80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409748 | PA      | $54914.46     | 0.05%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298215 | PA      | $38049.26     | 0.03%             | 2043-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34046 | PA      | $72.98        | 0.00%             | 2041-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FCZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50896 | PA      | $8473.05      | 0.01%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FEMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155753 | PA      | $24123.02     | 0.02%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280980 | PA      | $29981.70     | 0.03%             | 2040-04-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2000-T6                                            | FNMA CMO IO                           | CUSIP: 31358SR52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    413885 | PA      | $2690.25      | 0.00%             | 2040-11-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7108284.40   | 6.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5086875.00   | 4.34%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $25074230.00  | 21.41%            | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2728357.80   | 2.33%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4392578.00   | 3.75%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45000000 | PA      | $44374239.00  | 37.89%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $16386405.40  | 13.99%            | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4819531.00   | 4.12%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1877499.00   | 1.60%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6902659.40   | 5.89%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4081094.00   | 3.48%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16219 | PA      | $16502.03     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25182 | PA      | $25188.54     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23238 | PA      | $23185.84     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33299 | PA      | $33204.54     | 0.03%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617MUEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29916 | PA      | $29774.41     | 0.03%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13246 | PA      | $12226.68     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43740 | PA      | $40375.25     | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19340 | PA      | $17852.34     | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LES54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11979 | PA      | $11057.08     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LCDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63917 | PA      | $58999.51     | 0.05%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3366334 | PA      | $121188.02    | 0.10%             | 2065-09-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2225515 | PA      | $86127.44     | 0.07%             | 2065-09-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1601634 | PA      | $72874.35     | 0.06%             | 2065-10-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1859797 | PA      | $53089.77     | 0.05%             | 2065-09-20      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TKW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1185347 | PA      | $194657.61    | 0.17%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RPW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2213395 | PA      | $54892.19     | 0.05%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287116 | PA      | $57550.00     | 0.05%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2041206 | PA      | $93275.48     | 0.08%             | 2065-12-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1470364 | PA      | $48032.17     | 0.04%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2969547 | PA      | $61347.88     | 0.05%             | 2065-07-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2821732 | PA      | $133750.09    | 0.11%             | 2066-04-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LY34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820879 | PA      | $140902.98    | 0.12%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3238116 | PA      | $56955.23     | 0.05%             | 2066-02-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3106102 | PA      | $59475.65     | 0.05%             | 2066-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379PE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408290 | PA      | $49554.11     | 0.04%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1538735 | PA      | $65396.26     | 0.06%             | 2066-06-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RXR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900784 | PA      | $36358.18     | 0.03%             | 2066-07-20      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1899727 | PA      | $65160.62     | 0.06%             | 2064-10-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1132580 | PA      | $40164.68     | 0.03%             | 2066-06-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643101 | PA      | $50700.88     | 0.04%             | 2044-08-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5637907 | PA      | $186050.92    | 0.16%             | 2066-10-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1849329 | PA      | $90175.58     | 0.08%             | 2066-11-20      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1535821 | PA      | $65886.70     | 0.06%             | 2066-10-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381022 | PA      | $75125.05     | 0.06%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335403 | PA      | $65205.78     | 0.06%             | 2047-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2203631 | PA      | $91066.80     | 0.08%             | 2067-03-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1686485 | PA      | $59749.81     | 0.05%             | 2067-02-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2170300 | PA      | $64622.85     | 0.06%             | 2067-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190578 | PA      | $7900.28      | 0.01%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1441811 | PA      | $73658.96     | 0.06%             | 2067-05-20      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2933919 | PA      | $81269.55     | 0.07%             | 2067-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1602955 | PA      | $49217.12     | 0.04%             | 2067-01-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1301826 | PA      | $78630.27     | 0.07%             | 2067-04-20      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379V6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526437 | PA      | $100085.87    | 0.09%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2205748 | PA      | $63317.36     | 0.05%             | 2067-07-20      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2387891 | PA      | $128652.07    | 0.11%             | 2067-08-20      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2001258 | PA      | $75627.54     | 0.06%             | 2067-08-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1609589 | PA      | $60245.30     | 0.05%             | 2067-05-20      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380CH71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    924259 | PA      | $184001.67    | 0.16%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1869834 | PA      | $65143.16     | 0.06%             | 2066-10-20      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1878780 | PA      | $93115.74     | 0.08%             | 2068-02-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2012535 | PA      | $106144.72    | 0.09%             | 2068-02-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332700 | PA      | $39873.46     | 0.03%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    951186 | PA      | $193889.74    | 0.17%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317893 | PA      | $48539.09     | 0.04%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1703862 | PA      | $93817.82     | 0.08%             | 2068-02-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1244829 | PA      | $237074.84    | 0.20%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381WUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79948 | PA      | $5832.88      | 0.00%             | 2049-06-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1744533 | PA      | $159868.98    | 0.14%             | 2049-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XTX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82191 | PA      | $7097.33      | 0.01%             | 2049-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4076441 | PA      | $396352.32    | 0.34%             | 2049-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465795 | PA      | $148241.47    | 0.13%             | 2044-04-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382CRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172268 | PA      | $12030.16     | 0.01%             | 2050-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382DGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1293668 | PA      | $124628.16    | 0.11%             | 2050-01-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382BH89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1096258 | PA      | $99403.52     | 0.08%             | 2049-12-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382GXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2392690 | PA      | $310843.86    | 0.27%             | 2050-07-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382JB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500215 | PA      | $319287.43    | 0.27%             | 2050-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2496419 | PA      | $284133.14    | 0.24%             | 2050-04-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381AKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1323696 | PA      | $110840.30    | 0.09%             | 2048-10-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793313 | PA      | $508199.49    | 0.43%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2092152 | PA      | $190155.65    | 0.16%             | 2043-08-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RRP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3187435 | PA      | $464154.27    | 0.40%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2175399 | PA      | $224288.21    | 0.19%             | 2051-04-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2747071 | PA      | $327931.87    | 0.28%             | 2051-05-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381W6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2699188 | PA      | $232992.42    | 0.20%             | 2049-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1940685 | PA      | $226206.24    | 0.19%             | 2051-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382WSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2923210 | PA      | $400995.24    | 0.34%             | 2047-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383AQC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3522118 | PA      | $603057.66    | 0.51%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378A5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783752 | PA      | $71592.52     | 0.06%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441401 | PA      | $83820.87     | 0.07%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481279 | PA      | $94994.80     | 0.08%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158115 | PA      | $32800.37     | 0.03%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307801 | PA      | $65508.27     | 0.06%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157045 | PA      | $19194.00     | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388408 | PA      | $44635.82     | 0.04%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686097 | PA      | $126678.17    | 0.11%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043914 | PA      | $218574.70    | 0.19%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378MRH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225620 | PA      | $25082.17     | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378WY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264743 | PA      | $24292.83     | 0.02%             | 2043-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376VHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237673 | PA      | $48381.42     | 0.04%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595648 | PA      | $123948.37    | 0.11%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378YRM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275445 | PA      | $43081.84     | 0.04%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WK46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442338 | PA      | $76844.69     | 0.07%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741349 | PA      | $121970.45    | 0.10%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378UUA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468915 | PA      | $83546.57     | 0.07%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375ARB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281726 | PA      | $50161.39     | 0.04%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378PYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125823 | PA      | $9051.09      | 0.01%             | 2043-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378HK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851016 | PA      | $134583.72    | 0.11%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379DHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50407 | PA      | $2787.99      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193852 | PA      | $38270.75     | 0.03%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1582066 | PA      | $49360.46     | 0.04%             | 2063-02-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1398830 | PA      | $53994.85     | 0.05%             | 2065-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UVA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1092376 | PA      | $45224.38     | 0.04%             | 2065-03-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2672029.50   | 2.28%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2840015.70   | 2.43%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3881285.60   | 3.31%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                                         | GOVERNMENT BOND                       | CUSIP: V7691DAX4<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    400000 | PA      | $330000.00    | 0.28%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECB1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    390000 | PA      | $375343.18    | 0.32%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF MONGOLIA LLC                                            | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900HRWK3OKXS9UW60       | Long             | DBT              | NUSS              | MN        |    260000 | PA      | $231481.90    | 0.20%             | 2023-10-23      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WCY9<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    880000 | PA      | $714985.04    | 0.61%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1285000 | PA      | $1150099.42   | 0.98%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: 25714PED6<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    250000 | PA      | $212829.78    | 0.18%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V71795AU8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    850000 | PA      | $318750.00    | 0.27%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    185000 | PA      | $153563.88    | 0.13%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT OF MONGOLIA                                                      | GOVERNMENT BOND                       | CUSIP: Y6142NAC2<br>LEI: N/A                  | Long             | DBT              | NUSS              | MN        |    200000 | PA      | $172001.80    | 0.15%             | 2026-04-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    830000 | PA      | $697531.33    | 0.60%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    790000 | PA      | $609107.62    | 0.52%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WDP7<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    290000 | PA      | $205531.70    | 0.18%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1045000 | PA      | $1024061.34   | 0.87%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AC9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    275000 | PA      | $265375.00    | 0.23%             | 2024-07-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V3R60FAZ7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1130000 | PA      | $453412.50    | 0.39%             | 2026-01-18      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| SOCIALIST REPUBLIC OF VIETNAM                                               | GOVERNMENT BOND                       | CUSIP: Y9384RAA8<br>LEI: 5493008AE7RS4XK4BZ08 | Long             | DBT              | NUSS              | VN        |    600000 | PA      | $590400.00    | 0.50%             | 2024-11-19      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                                           | GOVERNMENT BOND                       | CUSIP: V06423AM5<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   1310000 | PA      | $899620.62    | 0.77%             | 2025-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    365000 | PA      | $368314.44    | 0.31%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    205000 | PA      | $200543.44    | 0.17%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AW5<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1180000 | PA      | $1047250.00   | 0.89%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       214 | NC      | $43886718.96  | 37.48%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        11 | NC      | $1301093.75   | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  48690000 | NC      | $250753.50    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  53189000 | NC      | $240414.28    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  33667000 | NC      | $14476.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  48162000 | NC      | $917967.72    | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9807000 | NC      | $535266.06    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1823000 | NC      | $6963.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1469000 | NC      | $4201.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    573000 | NC      | $5730.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    547000 | NC      | $28334.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1463000 | NC      | $29142.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  32880000 | NC      | $227858.40    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6487000 | NC      | $32435.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  65760000 | NC      | $449798.40    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29244000 | NC      | $56148.48     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  53861000 | NC      | $271459.44    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12974000 | NC      | $54880.02     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15987000 | NC      | $503910.24    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19875000 | NC      | $423130.99    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5321000 | NC      | $8992.49      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14062000 | NC      | $17577.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1822700 | NC      | $15930.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    465000 | NC      | $4747.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7917000 | NC      | $459324.63    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10609000 | NC      | $34373.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1315300 | NC      | $245749.15    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2104000 | NC      | $15380.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    375100 | NC      | $11799.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1250300 | NC      | $16729.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    319800 | NC      | $4159.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4361600 | NC      | $58009.28     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17737100 | NC      | $242820.90    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    160000 | NC      | $3572.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7679100 | NC      | $19646.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    618100 | NC      | $11731.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2079200 | NC      | $28027.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    687600 | NC      | $12397.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    584700 | NC      | $7610.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1375200 | NC      | $15787.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1882600 | NC      | $4612.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12801600 | NC      | $314151.26    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3343800 | NC      | $81220.90     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    255200 | NC      | $5075.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    189100 | NC      | $3732.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2746000 | NC      | $124531.10    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6903300 | NC      | $27406.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1524000 | NC      | $85465.92     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3483000 | NC      | $104106.87    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1247800 | NC      | $16620.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2429900 | NC      | $54478.36     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    552200 | NC      | $12291.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8236000 | NC      | $32779.28     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10032100 | NC      | $264446.16    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5700000 | NC      | $50958.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    624400 | NC      | $4264.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20040000 | NC      | $56112.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $34720.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    272300 | NC      | $20035.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    680800 | NC      | $40351.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    988000 | NC      | $54611.67     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1426000 | NC      | $7206.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    389000 | NC      | $11155.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5840000 | NC      | $16244.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    915000 | NC      | $20692.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16940000 | NC      | $85293.76     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    462000 | NC      | $24841.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5519000 | NC      | $67349.07     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4332000 | NC      | $15549.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4120000 | NC      | $105801.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4766000 | NC      | $13440.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    251000 | NC      | $7420.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1661000 | NC      | $48323.01     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4154000 | NC      | $20278.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    103000 | NC      | $9940.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     41000 | NC      | $8553.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2385000 | NC      | $71812.35     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4954000 | NC      | $414203.94    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4078000 | NC      | $670790.22    | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1064000 | NC      | $56019.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10918500 | NC      | $491441.68    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17016700 | NC      | $502332.98    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    867000 | NC      | $116628.84    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    688300 | NC      | $61857.52     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    899000 | NC      | $57634.89     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1407000 | NC      | $157682.49    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26491500 | NC      | $1555051.05   | 1.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1288200 | NC      | $285503.77    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20580500 | NC      | $409757.76    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14265000 | NC      | $361475.10    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1588700 | NC      | $33230.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2726900 | NC      | $135529.64    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1947800 | NC      | $77814.61     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2988500 | NC      | $172137.60    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8644100 | NC      | $309607.95    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    872000 | NC      | $166169.64    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6692200 | NC      | $557460.26    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6692200 | NC      | $554716.46    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2733500 | NC      | $178373.54    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6303100 | NC      | $551017.00    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6769000 | NC      | $618009.70    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10052000 | NC      | $844134.82    | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6163000 | NC      | $583574.47    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    620700 | NC      | $27937.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    887900 | NC      | $64097.50     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1827800 | NC      | $213011.81    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   3098000 | NC      | $378482.66    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1270300 | NC      | $157606.12    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5122000 | NC      | $216506.94    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10439000 | NC      | $799836.18    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1205300 | NC      | $31096.74     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    176000 | NC      | $10262.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    752000 | NC      | $31328.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10126400 | NC      | $199793.87    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5999300 | NC      | $52013.93     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    319800 | NC      | $27050.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5101400 | NC      | $215126.04    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1042200 | NC      | $23241.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    613600 | NC      | $14836.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    473000 | NC      | $34040.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2091000 | NC      | $122699.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10872000 | NC      | $145684.80    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    659000 | NC      | $17272.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5950000 | NC      | $135161.21    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2740000 | NC      | $25235.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    509000 | NC      | $3329.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    262000 | NC      | $1818.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1605900 | NC      | $4512.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3781000 | NC      | $4121.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11579000 | NC      | $90431.99     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1103000 | NC      | $20559.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    539000 | NC      | $9604.98      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1868000 | NC      | $32764.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1868000 | NC      | $33381.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4396000 | NC      | $76006.84     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1743000 | NC      | $32175.78     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4227000 | NC      | $75578.76     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    184000 | NC      | $3231.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    347600 | NC      | $39932.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    472900 | NC      | $119801.03    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    522000 | NC      | $141627.09    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    528600 | NC      | $149336.46    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    653200 | NC      | $197801.76    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    636800 | NC      | $90177.14     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    679000 | NC      | $213464.33    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    503000 | NC      | $142750.25    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    458800 | NC      | $157871.31    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    307000 | NC      | $112062.20    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1018300 | NC      | $404687.97    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    614700 | NC      | $283593.84    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   2817200 | NC      | $529211.02    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    864500 | NC      | $414257.11    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3365700 | NC      | $1367339.80   | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     53800 | NC      | $8268.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    401600 | NC      | $194552.25    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    181000 | NC      | $29821.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    189700 | NC      | $106198.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     67200 | NC      | $11296.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    104900 | NC      | $14352.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    391500 | NC      | $57961.90     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1164500 | NC      | $225847.94    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    550400 | NC      | $104354.80    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     25100 | NC      | $6348.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    766600 | NC      | $149514.59    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    262300 | NC      | $50481.26     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1200000 | NC      | $148444.36    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    746600 | NC      | $319487.38    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MD509M8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |    477400 | NC      | $123551.08    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    730000 | NC      | $173320.84    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    683800 | NC      | $168990.77    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    255600 | NC      | $118340.51    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149B5<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  34143500 | NC      | $979109.04    | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149C3<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  34143500 | NC      | $1024101.83   | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149D1<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  34143500 | NC      | $1069094.61   | 0.91%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13657400 | NC      | $366381.61    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6867000 | NC      | $697618.53    | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3221000 | NC      | $559101.18    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1426000 | NC      | $470850.94    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8610000 | NC      | $346208.10    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11649000 | NC      | $468173.31    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2714000 | NC      | $274738.22    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5265000 | NC      | $914056.65    | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6694000 | NC      | $2212701.70   | 1.89%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3035000 | NC      | $953050.70    | 0.81%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1201000 | NC      | $120256.13    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    315000 | NC      | $53093.25     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    813100 | NC      | $53632.08     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1953000 | NC      | $558479.88    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1337000 | NC      | $395324.16    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    967000 | NC      | $280932.84    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2046000 | NC      | $446109.76    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3248100 | NC      | $821282.09    | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16660000 | NC      | $633913.00    | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2170000 | NC      | $585661.30    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2392000 | NC      | $335956.40    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8640000 | NC      | $712540.80    | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1267400 | NC      | $184736.22    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6645800 | NC      | $1040267.07   | 0.89%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6890200 | NC      | $1081761.40   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3632000 | NC      | $515453.44    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    471000 | NC      | $13757.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     98000 | NC      | $5200.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     23393 | NC      | $3148.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     25228 | NC      | $3395.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13761 | NC      | $1852.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13761 | NC      | $1852.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     15137 | NC      | $2037.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     23852 | NC      | $3210.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5963 | NC      | $802.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      6880 | NC      | $926.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3616.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3670 | NC      | $493.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1508.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1376 | NC      | $185.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $930.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5751.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $12268.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $12268.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     62000 | NC      | $10744.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35000 | NC      | $6709.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    147680 | NC      | $56502.21     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     26145 | NC      | $3519.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     26000 | NC      | $3946.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $6689.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     39000 | NC      | $7917.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     96000 | NC      | $30604.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1533.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    118280 | NC      | $45254.08     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     67000 | NC      | $10653.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     60191 | NC      | $14758.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    134000 | NC      | $25687.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $5394.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $10176.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    236000 | NC      | $43896.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    117000 | NC      | $21762.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    234000 | NC      | $43524.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $18786.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    183000 | NC      | $48257.10     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $10848.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     17889 | NC      | $2407.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     54000 | NC      | $16804.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1244.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18806 | NC      | $2531.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     31000 | NC      | $5372.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    123000 | NC      | $21315.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $812.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $9184.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     57000 | NC      | $9878.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $1827.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $5887.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3977.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $2599.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    234000 | NC      | $40552.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     26000 | NC      | $5278.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $3654.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $9541.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $2639.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     17000 | NC      | $2946.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     27000 | NC      | $4679.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $8665.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    123750 | NC      | $47346.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    137424 | NC      | $52578.44     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     48163 | NC      | $6482.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     70000 | NC      | $12656.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $1669.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $151.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     90000 | NC      | $15597.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $159.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     89000 | NC      | $15423.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     66000 | NC      | $17404.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     28000 | NC      | $4852.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $8145.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $9300.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     77000 | NC      | $20304.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $4060.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $2599.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $2373.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    117000 | NC      | $30852.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    357000 | NC      | $94140.90     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $2373.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    169000 | NC      | $44565.30     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    126000 | NC      | $25578.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $1015.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    111000 | NC      | $19236.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     69000 | NC      | $14007.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     12000 | NC      | $2436.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    154000 | NC      | $49095.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $609.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    282000 | NC      | $89901.60     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    135000 | NC      | $43038.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $10150.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     76000 | NC      | $23651.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $5075.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    123000 | NC      | $21315.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $13070.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $5075.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $4650.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $3423.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     70541 | NC      | $25465.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     20641 | NC      | $2778.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $3654.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     42200 | NC      | $5680.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13302 | NC      | $1790.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |      9504 | NC      | $2330.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     50687 | NC      | $12428.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    371934 | NC      | $142301.85    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     74000 | NC      | $24686.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    179000 | NC      | $38323.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   2050000 | NC      | $438905.00    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    528000 | NC      | $113044.80    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     51000 | NC      | $17013.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    111443 | NC      | $42638.24     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $20016.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    216000 | NC      | $72057.60     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    282000 | NC      | $94075.20     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $12009.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $46704.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     54000 | NC      | $11561.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $667.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     77000 | NC      | $25687.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     69000 | NC      | $23018.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    247000 | NC      | $52882.70     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $16913.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    210000 | NC      | $66948.00     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    166000 | NC      | $55377.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    111000 | NC      | $35386.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    210000 | NC      | $66948.00     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $9848.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     84000 | NC      | $26779.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $32198.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $32198.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $5601.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $6846.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $3425.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    111000 | NC      | $35386.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35754 | NC      | $12907.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     12000 | NC      | $3734.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     43073 | NC      | $16479.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     40000 | NC      | $8564.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $14315.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     34869 | NC      | $13340.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    202000 | NC      | $64397.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $311.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $2800.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1244.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $933.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    786941 | NC      | $301083.52    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    902000 | NC      | $300907.20    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   2129000 | NC      | $455818.90    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    161000 | NC      | $53709.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $9336.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    384924 | NC      | $147271.95    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $21838.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    172000 | NC      | $31097.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     17889 | NC      | $2407.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     19265 | NC      | $2593.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $151.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     40365 | NC      | $5433.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    156000 | NC      | $28204.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     72473 | NC      | $9754.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     34000 | NC      | $6147.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $6982.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     38000 | NC      | $5768.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     83000 | NC      | $15006.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $180.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     99995 | NC      | $13459.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $3394.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | PERPETUAL BONDS                       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $174000.00    | 0.15%             | 2023-12-11      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                          | PERPETUAL BONDS                       | CUSIP: N22634XZ2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     94525 | PA      | $96996.22     | 0.08%             | 2044-01-24      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     13000 | PA      | $9652.50      | 0.01%             | 2028-02-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC               | RIGHTS                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     10369 | NS      | $11924.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                           | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |  28953866 | NS      | $28953866.00  | 24.72%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   2777000 | NS      | $2777000.00   | 2.37%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2850600 | NC      | $567468.94    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  81528100 | NC      | $244360.91    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  40764100 | NC      | $-239561.26   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    800600 | NC      | $-10367.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    800600 | NC      | $14357.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1715600 | NC      | $-60354.81    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1715600 | NC      | $48500.01     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1143800 | NC      | $-65994.12    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1143800 | NC      | $102774.52    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3645300 | NC      | $-58771.45    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3645300 | NC      | $61451.91     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   5162000 | NC      | $-176746.88   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   5162000 | NC      | $273792.48    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4211100 | NC      | $48259.21     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4211100 | NC      | $-46574.77    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1667600 | NC      | $-18243.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1667600 | NC      | $15692.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    339500 | NC      | $18757.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    339500 | NC      | $-14598.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8029300 | NC      | $-27058.74    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | N/A              | DIR              | CORP              | US        |   9113300 | NC      | $-66618.22    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  20831200 | NC      | $-70241.09    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  20831200 | NC      | $-12933.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  13318200 | NC      | $-176066.60   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  13318200 | NC      | $49144.16     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   4002000 | NC      | $54707.34     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   4002000 | NC      | $-70115.04    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1021200 | NC      | $-41317.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1021200 | NC      | $31034.27     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   5446300 | NC      | $52175.55     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   5446300 | NC      | $-47382.81    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2723200 | NC      | $-91962.46    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2723200 | NC      | $62007.26     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2770500 | NC      | $-31085.01    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2770500 | NC      | $48428.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2687400 | NC      | $-28190.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2687400 | NC      | $49528.78     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2847800 | NC      | $256.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2847800 | NC      | $-113.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    596900 | NC      | $17650.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    596900 | NC      | $-32149.03    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    725000 | NC      | $-56818.25    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    725000 | NC      | $27448.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    725000 | NC      | $-48234.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    725000 | NC      | $26462.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    948300 | NC      | $-48922.80    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    948300 | NC      | $-25177.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    941400 | NC      | $-25977.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    941400 | NC      | $118685.12    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1717500 | NC      | $-139495.35   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1717500 | NC      | $268290.68    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2832600 | NC      | $-129563.12   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2832600 | NC      | $378407.03    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1311400 | NC      | $134099.65    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1311400 | NC      | $-35777.17    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1442500 | NC      | $197377.28    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1442500 | NC      | $-68287.95    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    628200 | NC      | $121409.75    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    628200 | NC      | $-32065.42    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1533900 | NC      | $-49069.46    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1533900 | NC      | $70037.87     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    562900 | NC      | $101319.84    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    562900 | NC      | $-40781.01    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1688700 | NC      | $-64226.48    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1688700 | NC      | $224693.25    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1406300 | NC      | $-45704.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1406300 | NC      | $132375.02    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |    487500 | NC      | $27202.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |    487500 | NC      | $-11826.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5000300 | NC      | $62853.77     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3500200 | NC      | $-131747.53   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5511400 | NC      | $-367224.58   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5511400 | NC      | $479657.14    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  10000600 | NC      | $-369322.16   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  20001300 | NC      | $219614.27    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1498600 | NC      | $78047.09     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1498600 | NC      | $-38334.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   1909000 | NC      | $-87222.21    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   1909000 | NC      | $138116.15    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7582000 | NC      | $-44809.62    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7582000 | NC      | $161496.60    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1703900 | NC      | $-28515.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1703900 | NC      | $67227.81     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2121400 | NC      | $-83339.29    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2121400 | NC      | $235776.54    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  34881900 | NC      | $-246266.21   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  34881900 | NC      | $893674.28    | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12778300 | NC      | $687728.11    | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12778300 | NC      | $-228603.79   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    799300 | NC      | $113812.33    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    799300 | NC      | $-68819.73    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   8128800 | NC      | $-463260.31   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   8128800 | NC      | $135263.23    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1334500 | NC      | $42930.86     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1334500 | NC      | $-109228.83   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5420500 | NC      | $-161964.54   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5420500 | NC      | $351356.81    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2907200 | NC      | $-217400.42   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2907200 | NC      | $580480.62    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3368400 | NC      | $658252.73    | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3368400 | NC      | $-249834.23   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2850600 | NC      | $-208777.94   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Total Return Swap                     | CUSIP: 99MK129K6<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | US        |    895000 | NC      | $778918.50    | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    781000 | NC      | $814309.65    | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $499284.69    | 0.43%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3097819.37   | 2.65%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    131000 | PA      | $130227.10    | 0.11%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99775.96     | 0.09%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $108466.80    | 0.09%             | 2025-07-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    132000 | PA      | $121944.24    | 0.10%             | 2026-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    111000 | PA      | $110543.04    | 0.09%             | 2023-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828VB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    162000 | PA      | $160660.46    | 0.14%             | 2023-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    680000 | PA      | $573294.40    | 0.49%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND                                      | VAR.RT. CORP. BONDS                   | CUSIP: 46556L2A1<br>LEI: 5493002W2IVG62O3ZJ94 | Long             | DBT              | CORP              | KY        |    980000 | PA      | $891251.20    | 0.76%             | 2031-04-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer