# EDGAR Filing Document

**Accession Number:** 0001479360
**File Stem:** 0001479360-23-000151
**Filing Date:** 2023-3
**Character Count:** 311655
**Document Hash:** 8cfa2ddb0d406dd62717561a45c545fe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001479360-23-000151.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001479360-23-000151

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Equity Series
- **CENTRAL INDEX KEY:** 0001479360
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22375
- **FILM NUMBER:** 23688792

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO Funds Equity Trust
- **DATE OF NAME CHANGE:** 20091223

## Series and Classes Contracts Data

### PIMCO Dividend and Income Fund (Series ID: S000034646)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000106724 | Institutional Class | PQIIX           |
| C000106725 | I-2                 | PQIPX           |
| C000106728 | Class A             | PQIZX           |
| C000106729 | Class C             | PQICX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Equity Series

- **b. Investment Company Act file number:** 811-22375

- **c. CIK number of Registrant:** 0001479360

- **d. LEI of Registrant:** 549300ZSNZVZHKC5OG19

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Dividend and Income Fund

- **b. EDGAR series identifier (if any):** S000034646

- **c. LEI of Series:** YCQRZRQ961D14WOYVN37

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

- **a. Date of fiscal year-end:** 2023-06-30

- **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:** $240701549.65

**Total Liabilities:** $75277089.79

**Net Assets:** $165424459.86

**Cash Not Reported:** $2145417.10

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 10487.887100 | **1-Year:** 1877.313400 | **5-Year:** 6386.741000 | **10-Year:** -2253.387200 | **30-Year:** -2025.554000

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

- **3-Month:** 5512.692200 | **1-Year:** 1165.405900 | **5-Year:** 3579.906200 | **10-Year:** 829.138400 | **30-Year:** 1.037300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000106728 | 4.05%                | 6.33%                | -0.84%               |
| Class ID C000106729 | 3.96%                | 6.26%                | -0.89%               |
| Class ID C000106725 | 4.13%                | 6.31%                | -0.85%               |
| Class ID C000106724 | 4.14%                | 6.41%                | -0.89%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2196246.01             | $7515362.83                                |
| Month 2  | $-398812.41              | $9171200.69                                |
| Month 3  | $299081.87               | $-1981121.28                               |

**Designated Index Information**

- **Index Name:** MSCI ACWI High Dividend Yield Net Total Return Index

- **Index Identifier:** M1ACWIHD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 3I GROUP PLC                                                       | 3I GROUP PLC COMMON STOCK GBP.738636                       | CUSIP: B1YW44908<br>LEI: 35GDVHRBMFE7NWATNM84 | Long             | EC               | CORP              | GB        |     25508 | NS      | $411376.22    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U1SYA1 PIMCO SWAPTION 3.73 PUT USD 20230123             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-9498.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U1SZA0 PIMCO SWAPTION 3.23 CALL USD 2023012             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-794.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U1TAA5 PIMCO SWAPTION 3.77 PUT USD 20230123             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-510.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U1TBA4 PIMCO SWAPTION 3.27 CALL USD 2023012             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-62.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U385O5 PIMCO SWAPTION 0.55 CALL EUR 2023040             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U386O4 PIMCO FPPSWAPTION 2.6875 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1211.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U387O3 PIMCO FPPSWAPTION 2.69 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1209.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2409.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U389O1 PIMCO FPPSWAPTION 2.6875 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-250.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U390O8 PIMCO FPPSWAPTION 2.69 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-251.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-506.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U392O6 PIMCO SWAPTION 2.1 PUT EUR 20230403              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-12329.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U400O6 PIMCO SWAPTION 0.55 CALL EUR 2023040             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-0.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U401O5 PIMCO SWAPTION 2.1 PUT EUR 20230404              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-6202.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U412O2 PIMCO SWAPTION 2.1 PUT EUR 20230405              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4645.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U413O1 PIMCO SWAPTION 0.55 CALL EUR 2023040             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U418O6 PIMCO FPPSWAPTION 2.781 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2278.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U419O5 PIMCO FPPSWAPTION 2.781 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-555.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U458O7 PIMCO SWAPTION 2.1 PUT EUR 20230411              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4676.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U459O6 PIMCO SWAPTION 0.55 CALL EUR 2023041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U460O3 PIMCO FPPSWAPTION 2.721 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1179.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U461O2 PIMCO FPPSWAPTION 2.721 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-265.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U474O7 PIMCO FPPSWAPTION 2.835 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-292.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U475O6 PIMCO FPPSWAPTION 2.79 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-281.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U476O5 PIMCO FPPSWAPTION 2.79 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1131.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U477O4 PIMCO FPPSWAPTION 2.835 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1101.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1135.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-280.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA SHENHUA ENERGY COMPANY LIMITED                               | CHINA SHENHUA ENERGY CO H COMMON STOCK CNY1.0              | CUSIP: B09N7M905<br>LEI: 529900N9JOX4C108MA40 | Long             | EC               | CORP              | CN        |     89000 | NS      | $256380.34    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3             | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43522 | PA      | $36351.87     | 0.02%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | INF SWAP GB NI 4.0 09/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-14443.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA TOWER CORPORATION LIMITED                                    | CHINA TOWER CORP LTD H COMMON STOCK CNY1.0                 | CUSIP: BFZ2PK903<br>LEI: 300300T6BNNP0L7O7H91 | Long             | EC               | CORP              | CN        |   1118000 | NS      | $119969.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | INF SWAP GB NI 4.14 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-12600.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | INF SWAP GB NI 4.25 11/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-10753.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS AUD 2.75000 06/17/16-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-160492.23   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS AUD 3.00000 03/21/17-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $2584.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS EUR -0.15000 03/18/20-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $186977.27    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS EUR 0.83000 12/09/42-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $41765.76     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS EUR 1.75000 03/15/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $133492.76    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS EUR 2.00000 09/21/22-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-71313.44    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHUGAI PHARMACEUTICAL                                              | CHUGAI PHARMACEUTICAL CO LTD COMMON STOCK                  | CUSIP: 619640006<br>LEI: 529900T9LAII161DCN95 | Long             | EC               | CORP              | JP        |     13100 | NS      | $334138.41    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 5.99000 02/12/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-19264.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 6.08000 03/22/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-67734.23    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 6.49000 09/20/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-123358.18   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.16500 09/25/17-15Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-2107.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 1A3             | CUSIP: 059522AV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5635 | PA      | $5304.91      | 0.00%             | 2036-05-20      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.36000 09/15/17-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-611.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.38000 09/08/17-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-605.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.49500 01/26/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2745.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.49750 01/27/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $11341.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.61000 01/29/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-853.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.64000 01/09/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-24.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.64500 01/09/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-241.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.74500 01/11/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-163.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.80000 01/09/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2628.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.80500 02/12/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-794.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.82000 02/12/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-790.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.91000 01/11/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $1367.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 7.98400 12/22/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $5110.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.00500 01/02/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $19341.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.03000 02/12/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $3391.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.05000 02/12/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $3141.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.10250 01/29/18-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2783.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.41000 04/06/22-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $887.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.66000 04/07/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $4643.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.67500 04/06/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $10973.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.70100 04/13/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $186.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.73000 04/12/22-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $448.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.73200 04/12/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $8.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS MXN 8.75000 04/08/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $4304.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 0.50000 06/16/21-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $121169.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 0.50000 06/16/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-276776.81   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 0.75000 06/16/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-149634.20   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 0.75000 06/16/21-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $585968.19    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 0.92750 05/06/21-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10833.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 0.94000 06/08/21-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10726.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.00000 12/16/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $25127.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.08800 02/03/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9067.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.23500 05/12/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13687.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.25000 06/17/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $411758.24    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.25000 12/15/21-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10673.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.25000 12/16/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $164543.73    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.26500 09/28/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13527.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.27000 11/04/22-1Y (WHT) LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-381187.14   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.28000 03/24/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-49920.80    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.35000 01/20/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52633.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.36000 07/20/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18372.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.37000 07/19/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18300.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.37900 12/22/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13739.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.38000 01/04/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10356.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.40500 09/07/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $17949.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.42500 01/18/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10215.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.44250 01/18/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10146.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.45000 02/17/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $121329.58    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.45000 07/16/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $17645.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.49125 01/21/21-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36869.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.50000 01/12/22-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7277.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.50000 10/05/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18019.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.50000 12/15/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-55444.42    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.50000 12/18/19-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $29488.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.53500 10/15/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-17763.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.54500 10/26/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-17727.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.55000 10/20/21-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-232740.32   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.57000 01/11/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-19135.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.58000 02/16/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-19154.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.59000 02/09/21-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-314967.17   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.62500 01/16/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34034.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.62500 02/03/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $102021.39    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.70000 03/06/23-1Y (RED) LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13226.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.70000 10/12/21-7Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24146.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.70000 11/17/21-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-444791.78   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.74000 12/16/19-7Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8869.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.75000 01/15/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $39672.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.75000 01/22/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $158992.97    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.76800 02/02/22-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15903.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.78500 08/12/21-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $31547.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.89500 10/18/19-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $29623.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 1.91000 10/17/19-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $29338.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.00000 01/15/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $27307.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.00000 02/12/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $23252.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.00000 02/18/22-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-28139.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.00000 03/10/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11529.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.00000 12/10/19-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11727.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.25000 03/12/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $135947.88    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.25000 06/20/18-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $420543.54    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.25000 12/11/19-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $208735.92    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 2.50000 12/18/19-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $132646.28    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS USD 3.00000 06/19/19-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $92565.99     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS ZAR 4.84750 01/11/21-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $-1006.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | IRS ZAR 7.71000 11/23/22-3Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $16.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | OIS JPY MUTKCALM/0.17625 04/27/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-3169.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | OIS JPY MUTKCALM/0.71125 04/27/22-20Y LC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $6670.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | OIS USD SOFR/1.87200 04/06/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-26982.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | OIS USD SOFR/1.92750 03/25/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15080.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | OIS USD SOFR/2.45000 10/04/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $19238.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $204414.22    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $31665.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR JPY MUT+5.89/-0.0200 3/20/21-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $66279.54     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR JPY MUT+5.89/0.00000 03/15/21-8Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $223640.31    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                  | CISCO SYSTEMS INC COMMON STOCK USD.001                     | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |     42446 | NS      | $2022127.44   | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                       | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65      | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    100000 | PA      | $24599.99     | 0.01%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR JPY MUTKCALM/0.4000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $47212.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR JPY MUTKCALM/0.5000 03/15/22-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $85173.76     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.00000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $24759.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.00000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $49902.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.00000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35392.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.25000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-25071.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.25000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-40417.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.60000 01/16/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $43902.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.75000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $60003.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.75000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-41989.40    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIC LTD (AKA: CITIC PACIFIC LTD)                                 | CITIC LTD COMMON STOCK                                     | CUSIP: 619615008<br>LEI: 2549006I3Q3M98KHOT11 | Long             | EC               | CORP              | HK        |    126000 | NS      | $132480.29    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.75000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32232.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/1.81700 04/05/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-55813.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.00000 12/21/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $218422.06    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.00000 12/21/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $15870.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.00000 12/21/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $113195.66    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.30000 01/17/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $23837.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.35000 01/17/24-1Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $23709.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.45000 12/20/23-1Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $47635.84     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.85000 08/30/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8263.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35656.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | RFR USD SOFR/2.95500 10/04/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7422.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.14 03/29/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-619.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.16 03/29/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-612.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.22 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-737.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.26 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-715.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.35 03/28/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-537.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.715 03/24/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-465.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 11.87 03/22/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1143.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12 03/23/22-01/02/25 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-572.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.08 03/21/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-765.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.14 03/21/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-464.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.145 03/22/22-01/02/25 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-461.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.16 03/21/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-673.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.67 03/29/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $181.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.69 03/29/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $115.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.74 03/25/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $250.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.75 03/28/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $98.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.76 03/25/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $189.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.9 03/21/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $233.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.93 03/24/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $24.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.9385 03/21/22-01/02/23 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $104.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.946 03/22/22-01/02/23 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $249.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.96 03/21/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $162.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.97 03/22/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $88.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.97 03/23/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $111.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 12.97 03/24/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $96.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 5.83 12/23/19-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2697.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 5.836 12/23/19-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2003.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 5.855 12/23/19-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-646.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ZCS BRL 6.17 03/18/21-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-49555.87    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | TURKEY EM SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-5971.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230214                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2458.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230301                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-12970.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230306                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-51719.15    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230313                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-9553.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4467.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317536AI1 OTC ECAL FN 5.5 JAN23 101.890625 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317543V29 OTC ECAL FN 5.5 JAN23 102.25 CALL                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | US 10YR NOTE (CBT)MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       190 | NC      | $-145729.05   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | US 10YR ULTRA FUT MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -24 | NC      | $13467.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | US 2YR NOTE (CBT) MAR23 XCBT 20230331                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-106.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | US 5YR NOTE (CBT) MAR23 XCBT 20230331                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        13 | NC      | $-1997.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | US LONG BOND(CBT) MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -9 | NC      | $5330.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | US ULTRA BOND CBT MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $3087.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $533.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | WINDSTREAM HOLDINGS II, LLC 8725909B2                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        40 | NC      | $809.75       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10           | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9077 | PA      | $7359.36      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CK ASSET HOLDINGS LIMITED                                          | CK ASSET HOLDINGS LTD COMMON STOCK HKD1.0                  | CUSIP: BYZQ07905<br>LEI: 5299006GJZSGP78B8S35 | Long             | EC               | CORP              | KY        |     53000 | NS      | $325058.11    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 4A2            | CUSIP: 05950TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3149 | PA      | $2676.96      | 0.00%             | 2046-11-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                 | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                  | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     29821 | NS      | $31312.05     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA COLA COMPANY                                                  | COCA COLA CO/THE COMMON STOCK USD.25                       | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |      6086 | NS      | $387130.46    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA HBC AG                                                   | COCA COLA HBC AG DI COMMON STOCK CHF6.7                    | CUSIP: B9895B904<br>LEI: 549300EFP3TNG7JGVE49 | Long             | EC               | CORP              | CH        |      5381 | NS      | $127200.35    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| COSCO SHIPPING HOLDINGS CO LTD (AKA: CHINA COSCO HOLDINGS CO LTD)  | COSCO SHIPPING HOLDINGS CO H COMMON STOCK CNY1.0           | CUSIP: B0B8Z1900<br>LEI: 3003009XI0QGYYA29S17 | Long             | EC               | CORP              | CN        |     81000 | NS      | $82339.81     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES INCORPORATED                                    | COUSINS PROPERTIES INC REIT USD1.0                         | CUSIP: 222795502<br>LEI: 5493007XPYD5EJABN062 | Long             | EC               | CORP              | US        |      8195 | NS      | $207251.55    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3          | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922927 | PA      | $887511.33    | 0.54%             | 2034-12-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1                       | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1             | CUSIP: 07400XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10739 | PA      | $10763.77     | 0.01%             | 2036-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG2 MORTGAGE TRUST                                  | BENCHMARK MORTGAGE TRUST BMARK 2020 IG2 UBRC 144A          | CUSIP: 08162NAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $718479.03    | 0.43%             | 2048-09-15      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                             | CVS HEALTH CORP COMMON STOCK USD.01                        | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |      3958 | NS      | $368846.02    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| DANONE SA                                                          | DANONE COMMON STOCK EUR.25                                 | CUSIP: B1Y9TB906<br>LEI: 969500KMUQ2B6CBAF162 | Long             | EC               | CORP              | FR        |      2242 | NS      | $118166.08    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                             | DARDEN RESTAURANTS INC COMMON STOCK                        | CUSIP: 237194105<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | EC               | CORP              | US        |      3264 | NS      | $451509.12    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                         | DESARROLLADORA HOMEX SAB DE COMMON STOCK                   | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     41996 | NS      | $58.19        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                                                      | BOEING CO SR UNSECURED 02/33 6.125                         | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    400000 | PA      | $407818.97    | 0.25%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST INC                                           | DIGITAL REALTY TRUST INC REIT USD.01                       | CUSIP: 253868103<br>LEI: 549300HKCZ31D08NEI41 | Long             | EC               | CORP              | US        |      2225 | NS      | $223100.75    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| DOW INC                                                            | DOW INC COMMON STOCK USD.01                                | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |      5206 | NS      | $262330.34    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                                         | ABBVIE INC COMMON STOCK USD.01                             | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |      4333 | NS      | $700256.13    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| EDP - ENERGIAS DE PORTUGAL SA                                      | EDP ENERGIAS DE PORTUGAL SA COMMON STOCK EUR1.             | CUSIP: 410359905<br>LEI: 529900CLC3WDMGI9VH80 | Long             | EC               | CORP              | PT        |     72885 | NS      | $363317.50    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| EIFFAGE SA                                                         | EIFFAGE COMMON STOCK EUR4.0                                | CUSIP: B13X01900<br>LEI: 969500OQXKE5WDM9M994 | Long             | EC               | CORP              | FR        |      2204 | NS      | $216794.32    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                | ELEVANCE HEALTH INC COMMON STOCK USD.01                    | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |       230 | NS      | $117983.10    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ELIA GROUP SA/NV                                                   | ELIA GROUP SA/NV COMMON STOCK                              | CUSIP: B09M9F900<br>LEI: 549300S1MP1NFDIKT460 | Long             | EC               | CORP              | BE        |       754 | NS      | $107190.65    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ENAGAS SA                                                          | ENAGAS SA COMMON STOCK EUR1.5                              | CUSIP: 738307909<br>LEI: 213800OU3FQKGM4M2U23 | Long             | EC               | CORP              | ES        |      6496 | NS      | $108018.74    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                               | CARNIVAL CORPORATION USD TERM LOAN B                       | CUSIP: P2121YAN8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |    394937 | PA      | $379773.12    | 0.23%             | 2025-06-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| ENDESA SA                                                          | ENDESA SA COMMON STOCK EUR1.2                              | CUSIP: 527178909<br>LEI: 549300LHK07F2CHV4X31 | Long             | EC               | CORP              | ES        |      8172 | NS      | $154013.85    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                         | CARVANA CO COMPANY GUAR 144A 04/27 5.5                     | CUSIP: 146869AF9<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    230000 | PA      | $91409.54     | 0.06%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                         | CARVANA CO COMPANY GUAR 144A 05/30 10.25                   | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    200000 | PA      | $94350.69     | 0.06%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                     | EPR PROPERTIES REIT USD.01                                 | CUSIP: 26884U109<br>LEI: 549300YSSXFHMPOWZ492 | Long             | EC               | CORP              | US        |      5931 | NS      | $223717.32    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUITY RESIDENTIAL                                                 | EQUITY RESIDENTIAL REIT USD.01                             | CUSIP: 29476L107<br>LEI: 5493008RACSH5EP3PI59 | Long             | EC               | CORP              | US        |      3868 | NS      | $228212.00    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 1A2           | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19789 | PA      | $16445.54     | 0.01%             | 2036-09-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| EXXARO RESOURCES LIMITED                                           | EXXARO RESOURCES LTD COMMON STOCK ZAR.01                   | CUSIP: 641880901<br>LEI: 378900BC3D9BFF4E4A37 | Long             | EC               | CORP              | ZA        |      8717 | NS      | $111756.19    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                            | EXXON MOBIL CORP COMMON STOCK                              | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |     12374 | NS      | $1364852.20   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                   | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8           | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    184000 | PA      | $167900.00    | 0.10%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                | FIFTH THIRD BANCORP COMMON STOCK                           | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | EC               | CORP              | US        |      4470 | NS      | $146660.70    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                                   | ALTRIA GROUP INC COMMON STOCK USD.333                      | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     47896 | NS      | $2189326.16   | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M1           | CUSIP: 17307GNR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019825 | PA      | $942364.80    | 0.57%             | 2035-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FIRSTRAND LIMITED                                                  | FIRSTRAND LTD COMMON STOCK ZAR.01                          | CUSIP: 660699901<br>LEI: 529900XYOP8CUZU7R671 | Long             | EC               | CORP              | ZA        |    134787 | NS      | $489692.93    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| AMBEV SA                                                           | AMBEV SA COMMON STOCK                                      | CUSIP: BG7ZWY901<br>LEI: 549300TH5Q6VRP8OT012 | Long             | EC               | CORP              | BR        |    125200 | NS      | $342192.90    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTESCUE METALS GROUP LIMITED                                     | FORTESCUE METALS GROUP LTD COMMON STOCK                    | CUSIP: 608625901<br>LEI: 529900VEJFORCO6I4826 | Long             | EC               | CORP              | AU        |     45159 | NS      | $631194.24    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                               | CITY OF BUENOS AIRES UNSECURED 03/24 VAR                   | CUSIP: BD8QV0II3<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |   3481000 | PA      | $10969.27     | 0.01%             | 2024-03-29      | Floating      | 59.45%                | No            |                  2 | On Loan: No      |
| GAMING AND LEISURE PROPERTIES INC                                  | GAMING AND LEISURE PROPERTIE REIT                          | CUSIP: 36467J108<br>LEI: 5493006GWRDBCZYWTM57 | Long             | EC               | CORP              | US        |     13005 | NS      | $677430.45    | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| GARMIN LTD                                                         | GARMIN LTD COMMON STOCK CHF.1                              | CUSIP: H2906T109<br>LEI: 2549001E0HIPIJQ0W046 | Long             | EC               | CORP              | CH        |      1871 | NS      | $172674.59    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL DYNAMICS CORPORATION                                       | GENERAL DYNAMICS CORP COMMON STOCK USD1.0                  | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |      6172 | NS      | $1531334.92   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| GENUINE PARTS COMPANY                                              | GENUINE PARTS CO COMMON STOCK USD1.0                       | CUSIP: 372460105<br>LEI: 549300D46DQVEU651W04 | Long             | EC               | CORP              | US        |       763 | NS      | $132388.13    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GEORGE WESTON LIMITED                                              | WESTON (GEORGE) LTD COMMON STOCK                           | CUSIP: 961148954<br>LEI: 549300FAHC3L1QKNT280 | Long             | EC               | CORP              | CA        |       930 | NS      | $115384.56    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GERDAU SA                                                          | GERDAU SA PREF PREFERENCE                                  | CUSIP: 264551904<br>LEI: 254900YDV6SEQQPZVG24 | Long             | EP               | CORP              | BR        |     29700 | NS      | $163253.80    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL CORP 1998-8                                      | CONSECO FINANCIAL CORP GT 1998 8 A1                        | CUSIP: 393505N99<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25427 | PA      | $25432.71     | 0.02%             | 2030-09-01      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7         | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19997 | PA      | $9244.42      | 0.01%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-16CB                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 16CB A2          | CUSIP: 021460AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82873 | PA      | $49586.44     | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A11        | CUSIP: 02149JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49684 | PA      | $19242.54     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSK PLC                                                            | GSK PLC COMMON STOCK GBP.3125                              | CUSIP: BN7SWP901<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     43015 | NS      | $743438.31    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| HARTFORD FINANCIAL SERVICES GROUP INC/THE                          | HARTFORD FINANCIAL SVCS GRP COMMON STOCK USD.01            | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |      8605 | NS      | $652517.15    | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTHCARE REALTY TRUST INCORPORATED                               | HEALTHCARE REALTY TRUST INC REIT USD.01                    | CUSIP: 42226K105<br>LEI: 549300L0I14L7I0VLX84 | Long             | EC               | CORP              | US        |     20480 | NS      | $394649.60    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                          | HEALTHPEAK PROPERTIES INC REIT USD1.0                      | CUSIP: 42250P103<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | EC               | CORP              | US        |     15418 | NS      | $386529.26    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3          | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A1                     | CUSIP: 17025QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14114 | PA      | $4388.21      | 0.00%             | 2037-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS PROPERTIES INC                                           | HIGHWOODS PROPERTIES INC REIT USD.01                       | CUSIP: 431284108<br>LEI: ZIIGTYKL9T0X3HLTDX53 | Long             | EC               | CORP              | US        |      5799 | NS      | $162256.02    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                             | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR         | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    365000 | PA      | $319740.00    | 0.19%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES INC                                      | HUDSON PACIFIC PROPERTIES IN REIT USD.01                   | CUSIP: 444097109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     39047 | NS      | $379927.31    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                   | AMERICAN INTERNATIONAL GROUP COMMON STOCK USD2.5           | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     20250 | NS      | $1280610.00   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| IBERDROLA SOCIEDAD ANONIMA                                         | IBERDROLA SA COMMON STOCK EUR.75                           | CUSIP: B288C9908<br>LEI: 5QK37QC7NWOJ8D7WVQ45 | Long             | EC               | CORP              | ES        |     29975 | NS      | $349912.81    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R               | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A        | CUSIP: 12646QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106925 | PA      | $68509.38     | 0.04%             | 2037-12-29      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                    | IHEARTMEDIA INC   CLASS A COMMON STOCK                     | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6979 | NS      | $42781.27     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1           | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483998 | PA      | $459681.55    | 0.28%             | 2032-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                    | IHEARTMEDIA INC   CLASS B COMMON STOCK                     | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5486 | NS      | $30266.26     | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                              | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 10A3           | CUSIP: 225470FM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309307 | PA      | $92446.97     | 0.06%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                              | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1            | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28278 | PA      | $17494.10     | 0.01%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMPALA PLATINUM HOLDINGS LIMITED                                   | IMPALA PLATINUM HOLDINGS LTD COMMON STOCK NPV              | CUSIP: B1FFT7902<br>LEI: 254900BZFIFB4PD2Z778 | Long             | EC               | CORP              | ZA        |     22712 | NS      | $285418.49    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS PLC                                                | IMPERIAL BRANDS PLC COMMON STOCK GBP.1                     | CUSIP: 045449907<br>LEI: 549300DFVPOB67JL3A42 | Long             | EC               | CORP              | GB        |     24109 | NS      | $600582.15    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| INDUSTRIA DE DISENO TEXTIL SA (INDITEX)                            | INDUSTRIA DE DISENO TEXTIL COMMON STOCK EUR.03             | CUSIP: ACI08XL68<br>LEI: 549300TTCXZOGZM2EY83 | Long             | EC               | CORP              | ES        |     13350 | NS      | $354589.81    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| INDUSTRIAL & COMMERCIAL BANK OF CHINA LTD (ICBC)                   | IND + COMM BK OF CHINA H COMMON STOCK CNY1.0               | CUSIP: B1G1QD902<br>LEI: 5493002ERZU2K9PZDL40 | Long             | EC               | CORP              | CN        |   1486000 | NS      | $762153.73    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST SERIES 2009                                 | CVS PASS THRU TR 2009 PASS THRU CE 144A 07/31 8.353        | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    383464 | PA      | $419337.09    | 0.25%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                           | AMERIPRISE FINANCIAL INC COMMON STOCK USD.01               | CUSIP: 03076C106<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | EC               | CORP              | US        |      2637 | NS      | $821082.69    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                       | DBGS MORTGAGE TRUST DBGS 2021 W52 D 144A                   | CUSIP: 23308LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $774382.50    | 0.47%             | 2036-10-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                        | INTELSAT EMERGENCE SA COMMON STOCK                         | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      2886 | NS      | $69264.00     | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ABSA GROUP LTD                                                     | ABSA GROUP LTD COMMON STOCK ZAR2.0                         | CUSIP: BFX05H908<br>LEI: 2138006IPPRD4N6XLT30 | Long             | EC               | CORP              | ZA        |     22256 | NS      | $252730.46    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| ITOCHU CORPORATION                                                 | ITOCHU CORP COMMON STOCK                                   | CUSIP: 646780007<br>LEI: J48DJYXDTLHM30UMYI18 | Long             | EC               | CORP              | JP        |     31400 | NS      | $985104.28    | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                               | DISH DBS CORP SR SECURED 144A 12/26 5.25                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $413662.90    | 0.25%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                          | AMGEN INC COMMON STOCK USD.0001                            | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |       768 | NS      | $201707.52    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN TOBACCO INC                                                  | JAPAN TOBACCO INC COMMON STOCK                             | CUSIP: 647453901<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | EC               | CORP              | JP        |     31700 | NS      | $639078.90    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| JERONIMO MARTINS SGPS SA                                           | JERONIMO MARTINS COMMON STOCK EUR1.                        | CUSIP: B1Y1SQ901<br>LEI: 259400A8SZP10GB5IB19 | Long             | EC               | CORP              | PT        |      7450 | NS      | $161184.30    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON COMPANY                                          | JOHNSON + JOHNSON COMMON STOCK USD1.0                      | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     16605 | NS      | $2933273.25   | 1.77%             |  |  |  | No            |                  1 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2002-B                                     | EMC MORTGAGE LOAN TRUST EMCM 2002 B A1 144A                | CUSIP: 268668BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20979 | PA      | $20281.66     | 0.01%             | 2041-02-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                 | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                 | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3843.99      | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KDDI CORPORATION                                                   | KDDI CORP COMMON STOCK                                     | CUSIP: 624899902<br>LEI: 5299003FU7V4I45FU310 | Long             | EC               | CORP              | JP        |     16300 | NS      | $494328.25    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                     | EPR PROPERTIES COMPANY GUAR 04/28 4.95                     | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1709.54      | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                     | EPR PROPERTIES COMPANY GUAR 12/26 4.75                     | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1799.66      | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMUNDI SA                                                          | AMUNDI SA COMMON STOCK EUR2.5                              | CUSIP: BYZR01906<br>LEI: 96950010FL2T1TJKR531 | Long             | EC               | CORP              | FR        |      2063 | NS      | $116990.50    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| KEYCORP                                                            | KEYCORP COMMON STOCK USD1.0                                | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |     24607 | NS      | $428653.94    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| KIA CORPORATION                                                    | KIA CORP COMMON STOCK KRW5000.0                            | CUSIP: 649092905<br>LEI: 988400V8MJK9N7OI5X76 | Long             | EC               | CORP              | KR        |      6993 | NS      | $329024.02    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                                | ERSTE GROUP BANK AG JR SUBORDINA REGS 12/99 VAR            | CUSIP: BDRXT5II9<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |    600000 | PA      | $628332.44    | 0.38%             | 2024-04-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORPORATION                                         | KIMBERLY CLARK CORP COMMON STOCK USD1.25                   | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |      1069 | NS      | $145116.75    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROSAIL PLC 2007-3A                                               | EUROSAIL PLC ESAIL 2007 3A A3C 144A                        | CUSIP: 29880YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    124832 | PA      | $149040.00    | 0.09%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                               | EUROSAIL PLC ESAIL 2007 3X A3A REGS                        | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    206008 | PA      | $246223.30    | 0.15%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                               | EUROSAIL PLC ESAIL 2007 3X A3C REGS                        | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     74900 | PA      | $89424.07     | 0.05%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                             | EUROSAIL PLC ESAIL 2007 6NCX A3A REGS                      | CUSIP: B29Q4HII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    315800 | PA      | $368041.59    | 0.22%             | 2045-09-13      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                         | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5        | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $2100.00      | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| KONINKLIJKE AHOLD DELHAIZE NV                                      | KONINKLIJKE AHOLD DELHAIZE N COMMON STOCK EUR.01           | CUSIP: BD0Q39902<br>LEI: 724500C9GNBV20UYRX36 | Long             | EC               | CORP              | NL        |     23971 | NS      | $689196.52    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| KROGER CO                                                          | KROGER CO COMMON STOCK USD1.0                              | CUSIP: 501044101<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | EC               | CORP              | US        |      3606 | NS      | $160755.48    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| KT&G CORPORATION                                                   | KT+G CORP COMMON STOCK KRW5000.                            | CUSIP: 617507900<br>LEI: 988400ZJV6ISYBLQX875 | Long             | EC               | CORP              | KR        |      2889 | NS      | $208809.62    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| KUEHNE + NAGEL INTERNATIONAL AG                                    | KUEHNE   NAGEL INTL AG REG COMMON STOCK CHF1.0             | CUSIP: B142S6906<br>LEI: 529900Q0YED3805QXQ66 | Long             | EC               | CORP              | CH        |      1436 | NS      | $333844.96    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN PLATINUM LIMITED                                    | ANGLO AMERICAN PLATINUM LTD COMMON STOCK ZAR.1             | CUSIP: 676100902<br>LEI: 529900RORCZ0E5S5FX81 | Long             | EC               | CORP              | ZA        |      1236 | NS      | $103152.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LARGAN PRECISION CO LTD                                            | LARGAN PRECISION CO LTD COMMON STOCK TWD10.                | CUSIP: 645166901<br>LEI: N/A                  | Long             | EC               | CORP              | TW        |      2000 | NS      | $132198.74    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN PLC                                                 | ANGLO AMERICAN PLC COMMON STOCK USD.54945                  | CUSIP: B1XZS8907<br>LEI: 549300S9XF92D1X8ME43 | Long             | EC               | CORP              | GB        |     10033 | NS      | $392890.99    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LITE-ON TECHNOLOGY CORPORATION                                     | LITE ON TECHNOLOGY CORP COMMON STOCK TWD10.                | CUSIP: 651948903<br>LEI: 2549005GU1PQ73SZBT32 | Long             | EC               | CORP              | TW        |     55000 | NS      | $113666.35    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LKQ CORPORATION                                                    | LKQ CORP COMMON STOCK USD.01                               | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |      6942 | NS      | $370772.22    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| LOCKHEED MARTIN CORPORATION                                        | LOCKHEED MARTIN CORP COMMON STOCK USD1.0                   | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |      4290 | NS      | $2087042.10   | 1.26%             |  |  |  | No            |                  1 | On Loan: No      |
| ANNALY CAPITAL MANAGEMENT INC                                      | ANNALY CAPITAL MANAGEMENT IN REIT USD.01                   | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     11400 | NS      | $240312.00    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| LYONDELLBASELL INDUSTRIES NV                                       | LYONDELLBASELL INDU CL A COMMON STOCK EUR.04               | CUSIP: N53745100<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |      3256 | NS      | $270345.68    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| MACERICH CO/THE                                                    | MACERICH CO/THE REIT USD.01                                | CUSIP: 554382101<br>LEI: 529900PSWCB5KI0JYU46 | Long             | EC               | CORP              | US        |     16310 | NS      | $183650.60    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MANULIFE FINANCIAL CORPORATION                                     | MANULIFE FINANCIAL CORP COMMON STOCK                       | CUSIP: 56501R957<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |     17897 | NS      | $319211.63    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON OIL CORPORATION                                           | MARATHON OIL CORP COMMON STOCK USD1.0                      | CUSIP: 565849106<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | EC               | CORP              | US        |      6451 | NS      | $174628.57    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON PETROLEUM CORPORATION                                     | MARATHON PETROLEUM CORP COMMON STOCK USD.01                | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |     13279 | NS      | $1545542.81   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| MCDONALDS CORPORATION                                              | MCDONALD S CORP COMMON STOCK USD.01                        | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |      1722 | NS      | $453798.66    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| AP MOLLER - MAERSK A/S                                             | AP MOLLER MAERSK A/S A COMMON STOCK DKK1000.0              | CUSIP: 425305000<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |        82 | NS      | $180716.41    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MEDIATEK INC                                                       | MEDIATEK INC COMMON STOCK TWD10.                           | CUSIP: 637248907<br>LEI: 254900UEGBK1I4DM4E14 | Long             | EC               | CORP              | TW        |     29000 | NS      | $586348.81    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| MEIJI HOLDINGS CO LTD                                              | MEIJI HOLDINGS CO LTD COMMON STOCK                         | CUSIP: B60DQV902<br>LEI: 5299002D52YIP6DWMV49 | Long             | EC               | CORP              | JP        |      2900 | NS      | $148648.79    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| AP MOLLER - MAERSK A/S                                             | AP MOLLER MAERSK A/S B COMMON STOCK DKK1000.0              | CUSIP: 425304003<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |       131 | NS      | $293257.07    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                     | MERCK + CO. INC. COMMON STOCK USD.5                        | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     21824 | NS      | $2421372.80   | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| METLIFE INC                                                        | METLIFE INC COMMON STOCK USD.01                            | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |      3992 | NS      | $288901.04    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MICROSOFT CORPORATION                                              | MICROSOFT CORP COMMON STOCK USD.00000625                   | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |       462 | NS      | $110796.84    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI CORPORATION                                             | MITSUBISHI CORP COMMON STOCK                               | CUSIP: 659678007<br>LEI: KVIPTY4PULAPGC1VVD26 | Long             | EC               | CORP              | JP        |      5900 | NS      | $191542.17    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| APARTMENT INCOME REIT CORP                                         | APARTMENT INCOME REIT CO REIT USD.01                       | CUSIP: 03750L109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13269 | NS      | $455259.39    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| MTN GROUP LIMITED                                                  | MTN GROUP LTD COMMON STOCK ZAR.0001                        | CUSIP: 656320900<br>LEI: 2549009JD6Q6XHZS5E05 | Long             | EC               | CORP              | ZA        |     45276 | NS      | $338154.95    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| APPLE HOSPITALITY REIT INC                                         | APPLE HOSPITALITY REIT INC REIT NPV                        | CUSIP: 03784Y200<br>LEI: 549300EVZAR0FBZO4F16 | Long             | EC               | CORP              | US        |     24022 | NS      | $379067.16    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL STORAGE AFFILIATES TRUST                                  | NATIONAL STORAGE AFFILIATES REIT USD.01                    | CUSIP: 637870106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9460 | NS      | $341695.20    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                        | NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR        | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |      1130 | NS      | $171105.73    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                                          | APPLE INC COMMON STOCK USD.00001                           | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |      5487 | NS      | $712925.91    | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| NESTLE SA                                                          | NESTLE SA REG COMMON STOCK CHF.1                           | CUSIP: 712387901<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |      2004 | NS      | $231480.74    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| NETAPP INC                                                         | NETAPP INC COMMON STOCK USD.001                            | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |      1623 | NS      | $97477.38     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1           | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132380 | PA      | $105902.44    | 0.06%             | 2036-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| NIPPON TELEGRAPH & TELEPHONE CORP (NTT)                            | NIPPON TELEGRAPH + TELEPHONE COMMON STOCK                  | CUSIP: 664137007<br>LEI: 353800VHQU5VIXVUA841 | Long             | EC               | CORP              | JP        |      5700 | NS      | $162555.48    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| NIPPON YUSEN KABUSHIKI KAISHA                                      | NIPPON YUSEN KK COMMON STOCK                               | CUSIP: 664396009<br>LEI: 353800YPW4XM0ZN5I149 | Long             | EC               | CORP              | JP        |     12800 | NS      | $301832.24    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| NITTO DENKO CORPORATION                                            | NITTO DENKO CORP COMMON STOCK                              | CUSIP: 664180007<br>LEI: 3538009GX5P09USH2J25 | Long             | EC               | CORP              | JP        |      3600 | NS      | $207340.90    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| NMG PARENT                                                         | NEIMAN MARCUS USD COMMON STOCK EQUITY                      | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1124 | NS      | $197884.87    | 0.12%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NN GROUP NV                                                        | NN GROUP NV COMMON STOCK EUR.12                            | CUSIP: BNG8PQ901<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |      7438 | NS      | $304156.05    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| NOBLE CORPORATION PLC                                              | NOBLE CORP PLC COMMON STOCK                                | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |      1369 | NS      | $51624.99     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NOVARTIS AG                                                        | NOVARTIS AG REG COMMON STOCK CHF.5                         | CUSIP: 710306903<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |     26291 | NS      | $2379267.63   | 1.44%             |  |  |  | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                     | NRG ENERGY INC COMMON STOCK USD.01                         | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | EC               | CORP              | US        |      6239 | NS      | $198524.98    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| OCI NV                                                             | OCI NV COMMON STOCK EUR.02                                 | CUSIP: BD4TZK902<br>LEI: 549300NCMRGIBJYUOE57 | Long             | EC               | CORP              | NL        |      2881 | NS      | $103002.82    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| OPAP SA (AKA: GREEK ORGANISATION OF FOOTBALL PROGNOSTICS SA)       | OPAP SA COMMON STOCK EUR.3                                 | CUSIP: 710725904<br>LEI: 213800M4NRGFJCI34834 | Long             | EC               | CORP              | GR        |      8207 | NS      | $116110.52    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ORION OYJ                                                          | ORION OYJ CLASS B COMMON STOCK EUR.65                      | CUSIP: B17NY4905<br>LEI: 74370029VAHCXDR7B745 | Long             | EC               | CORP              | FI        |      2844 | NS      | $155916.64    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA GAS CO LTD                                                   | OSAKA GAS CO LTD COMMON STOCK                              | CUSIP: 666176003<br>LEI: 353800024KMNOPQRWZ02 | Long             | EC               | CORP              | JP        |      9800 | NS      | $157908.37    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                        | PEPSICO INC COMMON STOCK USD.017                           | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |      1027 | NS      | $185537.82    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROBRAS (PETROLEO BRASILEIRO SA)                                 | PETROBRAS  PETROLEO BRAS COMMON STOCK                      | CUSIP: 268236908<br>LEI: 5493000J801JZRCMFE49 | Long             | EC               | CORP              | BR        |     61100 | NS      | $323993.02    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROBRAS (PETROLEO BRASILEIRO SA)                                 | PETROBRAS  PETROLEO BRAS PR PREFERENCE                     | CUSIP: 268453008<br>LEI: 5493000J801JZRCMFE49 | Long             | EP               | CORP              | BR        |    125800 | NS      | $583671.14    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER INC                                                         | PFIZER INC COMMON STOCK USD.05                             | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |     49719 | NS      | $2547601.56   | 1.54%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                    | PHILIP MORRIS INTERNATIONAL COMMON STOCK                   | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     24614 | NS      | $2491182.94   | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| PHYSICIANS REALTY TRUST                                            | PHYSICIANS REALTY TRUST REIT USD.01                        | CUSIP: 71943U104<br>LEI: 549300ITOVH0OY7PZC34 | Long             | EC               | CORP              | US        |     16126 | NS      | $233343.22    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| PICC PROPERTY AND CASUALTY COMPANY LIMITED                         | PICC PROPERTY + CASUALTY H COMMON STOCK CNY1.0             | CUSIP: 670625904<br>LEI: 300300F1000311000017 | Long             | EC               | CORP              | CN        |    176000 | NS      | $166407.23    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PIEDMONT OFFICE REALTY TRUST INC                                   | PIEDMONT OFFICE REALTY TRU A REIT USD.01                   | CUSIP: 720190206<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     17471 | NS      | $160209.07    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ASTELLAS PHARMA INC                                                | ASTELLAS PHARMA INC COMMON STOCK                           | CUSIP: 698538006<br>LEI: 529900IB708DY2HBBB35 | Long             | EC               | CORP              | JP        |     29100 | NS      | $442483.78    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| ASTRA INTERNATIONAL TBK PT                                         | ASTRA INTERNATIONAL TBK PT COMMON STOCK IDR50.             | CUSIP: B800MQ901<br>LEI: 529900L49TRJOMG4DK47 | Long             | EC               | CORP              | ID        |    534400 | NS      | $195563.52    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                           | AT+T INC COMMON STOCK USD1.0                               | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |     34514 | NS      | $635402.74    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                                        | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   1534844 | PA      | $14912539.83  | 9.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                               | FNMA POOL AX8309 FN 11/29 FIXED 3                          | CUSIP: 3138YAGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7935 | PA      | $7619.15      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| POLSKI KONCERN NAFTOWY ORLEN SA                                    | POLSKI KONCERN NAFTOWY ORLEN COMMON STOCK PLN1.25          | CUSIP: 581006905<br>LEI: 259400VVMM70CQREJT74 | Long             | EC               | CORP              | PL        |     17032 | NS      | $250222.65    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| POSTAL SAVINGS BANK OF CHINA CO LTD                                | POSTAL SAVINGS BANK OF CHI H COMMON STOCK CNY1.0           | CUSIP: BD8GL1903<br>LEI: 300300C1040311005298 | Long             | EC               | CORP              | CN        |    209000 | NS      | $129332.45    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| AURIZON HOLDINGS LTD (AKA: QR NATIONAL LTD)                        | AURIZON HOLDINGS LTD COMMON STOCK                          | CUSIP: B87CVM907<br>LEI: 5299005PC1O6NOWL3H48 | Long             | EC               | CORP              | AU        |     47768 | NS      | $121017.26    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC                                      | PRINCIPAL FINANCIAL GROUP COMMON STOCK USD.01              | CUSIP: 74251V102<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | EC               | CORP              | US        |      6637 | NS      | $556977.04    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| PROCTER & GAMBLE COMPANY                                           | PROCTER + GAMBLE CO/THE COMMON STOCK                       | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |     11199 | NS      | $1697320.44   | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                               | FNMA POOL FM3241 FN 03/50 FIXED VAR                        | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44689 | PA      | $39671.22     | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                               | FNMA POOL FM3243 FN 02/50 FIXED VAR                        | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31645 | PA      | $29121.21     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REALTEK SEMICONDUCTOR CORPORATION                                  | REALTEK SEMICONDUCTOR CORP COMMON STOCK TWD10.             | CUSIP: 605142900<br>LEI: 5299002E7F36O00MYY75 | Long             | EC               | CORP              | TW        |     12000 | NS      | $109127.93    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RED ELECTRICA CORP SA                                              | RED ELECTRICA CORPORACION SA COMMON STOCK EUR.5            | CUSIP: BD6FXN906<br>LEI: 5493009HMD0C90GUV498 | Long             | EC               | CORP              | ES        |     10695 | NS      | $185966.31    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| REGIONS FINANCIAL CORPORATION                                      | REGIONS FINANCIAL CORP COMMON STOCK USD.01                 | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |     24784 | NS      | $534343.04    | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| RIO TINTO LIMITED                                                  | RIO TINTO LTD COMMON STOCK                                 | CUSIP: 622010007<br>LEI: 529900X2VMAQT2PE0V24 | Long             | EC               | CORP              | AU        |      9899 | NS      | $781284.46    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| RIO TINTO PLC                                                      | RIO TINTO PLC COMMON STOCK GBP.1                           | CUSIP: 071887004<br>LEI: 213800YOEO5OQ72G2R82 | Long             | EC               | CORP              | GB        |     24935 | NS      | $1755024.98   | 1.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCHE HOLDING AG                                                   | ROCHE HOLDING AG BR COMMON STOCK CHF1.0                    | CUSIP: 710891904<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |       705 | NS      | $273184.71    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCHE HOLDING AG                                                   | ROCHE HOLDING AG GENUSSCHEIN COMMON STOCK                  | CUSIP: 711038901<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |      7448 | NS      | $2340439.67   | 1.41%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMSUNG FIRE & MARINE INS                                          | SAMSUNG FIRE + MARINE INS COMMON STOCK KRW500.             | CUSIP: 615525904<br>LEI: 988400JMBDK47EW0Z936 | Long             | EC               | CORP              | KR        |       817 | NS      | $129282.16    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SANOFI                                                             | SANOFI COMMON STOCK EUR2.0                                 | CUSIP: 567173901<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |      7735 | NS      | $745859.21    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| AXA SA                                                             | AXA SA COMMON STOCK EUR2.29                                | CUSIP: 708842901<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | EC               | CORP              | FR        |     19148 | NS      | $533377.15    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP INC                                           | SIMON PROPERTY GROUP INC REIT USD.0001                     | CUSIP: 828806109<br>LEI: 529900GQL5X8H7AO3T64 | Long             | EC               | CORP              | US        |      6465 | NS      | $759508.20    | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| SITC INTERNATIONAL HOLDINGS COMPANY LIMITED                        | SITC INTERNATIONAL HOLDINGS COMMON STOCK HKD.1             | CUSIP: B61X7R907<br>LEI: 529900JUV4MOM9CE3V12 | Long             | EC               | CORP              | KY        |     35000 | NS      | $77575.34     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                              | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19000 | PA      | $18014.19     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP (AKA: DDR CORP)                                  | SITE CENTERS CORP REIT USD.1                               | CUSIP: 82981J109<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | EC               | CORP              | US        |     29888 | NS      | $408270.08    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                              | GLP CAPITAL LP / FIN II COMPANY GUAR 06/25 5.25            | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000 | PA      | $2953.93      | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                           | SNAM SPA COMMON STOCK                                      | CUSIP: 725147904<br>LEI: 8156002278562044AF79 | Long             | EC               | CORP              | IT        |     52586 | NS      | $254980.92    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT REALTY CAPITAL INC                                          | SPIRIT REALTY CAPITAL INC REIT USD.05                      | CUSIP: 84860W300<br>LEI: 549300LTU6LVPZSHMJ25 | Long             | EC               | CORP              | US        |      9875 | NS      | $394308.75    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| BAE SYSTEMS PLC                                                    | BAE SYSTEMS PLC COMMON STOCK GBP.025                       | CUSIP: 026349902<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |     77320 | NS      | $798592.01    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| STMICROELECTRONICS NV                                              | STMICROELECTRONICS NV COMMON STOCK EUR1.04                 | CUSIP: 596233908<br>LEI: 213800Z8NOHIKRI42W10 | Long             | EC               | CORP              | NL        |      3060 | NS      | $108740.23    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                               | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $91892.77     | 0.06%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                               | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $91963.09     | 0.06%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                               | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $291067.51    | 0.18%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                | SYNCHRONY FINANCIAL COMMON STOCK USD.001                   | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |     12829 | NS      | $421560.94    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| TELE2 AB                                                           | TELE2 AB B SHS COMMON STOCK SEK1.25                        | CUSIP: B97C73904<br>LEI: 213800EKD193RVI9HL76 | Long             | EC               | CORP              | SE        |     15203 | NS      | $124023.57    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                          | BANCO BILBAO VIZCAYA ARGENTA COMMON STOCK EUR.49           | CUSIP: 550190904<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | EC               | CORP              | ES        |    161757 | NS      | $974305.31    | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| TELEFONICA BRASIL SA                                               | TELEFONICA BRASIL S.A. COMMON STOCK                        | CUSIP: B6XFBX903<br>LEI: 529900MTGG2HSDBIWG79 | Long             | EC               | CORP              | BR        |     13200 | NS      | $95350.19     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| TELEKOMUNIKASI TBK PT                                              | TELKOM INDONESIA PERSERO TBK COMMON STOCK IDR50.0          | CUSIP: BD4T6W908<br>LEI: 529900M5SQZAOKV1PC81 | Long             | EC               | CORP              | ID        |   1158000 | NS      | $278860.33    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| TELENOR ASA                                                        | TELENOR ASA COMMON STOCK NOK6.                             | CUSIP: 473249902<br>LEI: 549300IM1QSBY4SLPM26 | Long             | EC               | CORP              | NO        |     18309 | NS      | $171060.44    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                        | TEXTRON INC COMMON STOCK USD.125                           | CUSIP: 883203101<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | EC               | CORP              | US        |      5633 | NS      | $398816.40    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| THALES SA                                                          | THALES SA COMMON STOCK EUR3.0                              | CUSIP: 416279008<br>LEI: 529900FNDVTQJOVVPZ19 | Long             | EC               | CORP              | FR        |      2833 | NS      | $361968.81    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL SA                                                 | BANCO DO BRASIL S.A. COMMON STOCK                          | CUSIP: 232859900<br>LEI: QE0Q0253K88YAGNPE356 | Long             | EC               | CORP              | BR        |     22000 | NS      | $142327.24    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TOKYO GAS                                                          | TOKYO GAS CO LTD COMMON STOCK                              | CUSIP: 689544005<br>LEI: 353800678EIJLOQSWZ83 | Long             | EC               | CORP              | JP        |     10400 | NS      | $203629.91    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                                   | TOTALENERGIES SE COMMON STOCK EUR2.5                       | CUSIP: B15C55900<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |      7049 | NS      | $442487.83    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                   | GRIFONAS FINANCE PLC GRIF 1 A REGS                         | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    195087 | PA      | $189815.22    | 0.11%             | 2039-08-28      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                    | TYSON FOODS INC CL A COMMON STOCK USD.1                    | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Long             | EC               | CORP              | US        |      3024 | NS      | $188244.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIMICRON TECHNOLOGY CORP                                          | UNIMICRON TECHNOLOGY CORP COMMON STOCK TWD10.              | CUSIP: 613772904<br>LEI: N/A                  | Long             | EC               | CORP              | TW        |     33000 | NS      | $128112.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MICROELECTRONICS CORPORATION                                | UNITED MICROELECTRONICS CORP COMMON STOCK TWD10.           | CUSIP: 691662902<br>LEI: 391200YJCAGH9LF96P73 | Long             | EC               | CORP              | TW        |    316000 | NS      | $415187.59    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)          | UNITI GROUP INC REIT USD.0001                              | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |        32 | NS      | $176.96       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK MANDIRI PERSERO TBK PT                                        | BANK MANDIRI PERSERO TBK PT COMMON STOCK IDR250.0          | CUSIP: 665104907<br>LEI: 549300RSKQN4Z5ZSGH94 | Long             | EC               | CORP              | ID        |    206700 | NS      | $131811.37    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                         | US BANCORP COMMON STOCK USD.01                             | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     11610 | NS      | $506312.10    | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| VALE SA                                                            | VALE SA COMMON STOCK                                       | CUSIP: 219628005<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |     28200 | NS      | $477765.44    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORPORATION                                          | VALERO ENERGY CORP COMMON STOCK USD.01                     | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |      2568 | NS      | $325776.48    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| VENTAS INC                                                         | VENTAS INC REIT USD.25                                     | CUSIP: 92276F100<br>LEI: ORQTRC074CWLT3DKHT41 | Long             | EC               | CORP              | US        |      3533 | NS      | $159161.65    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC                                       | HILTON DOMESTIC OPERATING CO 2019 TERM LOAN B              | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |    230046 | PA      | $229601.21    | 0.14%             | 2026-06-22      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-7                                 | HOME EQUITY ASSET TRUST HEAT 2005 7 M2                     | CUSIP: 437084PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130990 | PA      | $123375.27    | 0.07%             | 2036-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                | VICI PROPERTIES INC REIT USD.01                            | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     34484 | NS      | $1117281.60   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                   | HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1                  | CUSIP: 40431TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2356 | PA      | $2004.09      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VODACOM GROUP LTD                                                  | VODACOM GROUP LTD COMMON STOCK                             | CUSIP: B65B4D905<br>LEI: 37890012A8DC24B8D663 | Long             | EC               | CORP              | ZA        |     17155 | NS      | $123882.50    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                        | HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875         | CUSIP: ACI1GS152<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    265000 | PA      | $209674.30    | 0.13%             | 2029-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                           | HYATT HOTELS CORP SR UNSECURED 03/26 4.85                  | CUSIP: 448579AF9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    900000 | PA      | $885640.60    | 0.54%             | 2026-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                        | ILLINOIS ST ILS 02/35 FIXED 6.63                           | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     15000 | PA      | $15220.69     | 0.01%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                        | ILLINOIS ST ILS 07/35 FIXED 7.35                           | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      4643 | PA      | $4889.44      | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                   | WESTMORELAND MINING HOLDINGS L COMMON                      | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        53 | NS      | $397.50       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WEYERHAEUSER COMPANY                                               | WEYERHAEUSER CO REIT USD1.25                               | CUSIP: 962166104<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | EC               | CORP              | US        |      3925 | NS      | $121675.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                       | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5            | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    208000 | PA      | $186469.92    | 0.11%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                       | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B       | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |     54236 | PA      | $52473.02     | 0.03%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                       | WP CAREY INC REIT USD.001                                  | CUSIP: 92936U109<br>LEI: 54930042CRNE713E3Q67 | Long             | EC               | CORP              | US        |      5022 | NS      | $392469.30    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| YANKUANG ENERGY GROUP COMPANY LIMITED                              | YANKUANG ENERGY GROUP CO H COMMON STOCK CNY1.0             | CUSIP: 610989907<br>LEI: 3003005N7A6HYZ4Z0K39 | Long             | EC               | CORP              | CN        |     40000 | NS      | $121665.78    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| YARA INTERNATIONAL ASA                                             | YARA INTERNATIONAL ASA COMMON STOCK NOK1.7                 | CUSIP: 775125909<br>LEI: 213800WKOUWXWFJ5Z514 | Long             | EC               | CORP              | NO        |      2568 | NS      | $112778.74    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN (2 YEAR ISSUE) BONDS 03/23 0.1                       | CUSIP: BLPKBFII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  37000000 | PA      | $282010.82    | 0.17%             | 2023-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000               | CUSIP: ACI28TDC9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  20000000 | PA      | $152394.08    | 0.09%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000               | CUSIP: ACI28ZYN8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  21000000 | PA      | $160017.95    | 0.10%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000               | CUSIP: ACI2946L1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  20000000 | PA      | $152402.01    | 0.09%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000               | CUSIP: ACI298TG8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9000000 | PA      | $68583.37     | 0.04%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ZIM INTEGRATED SHIPPING SERVICES LTD                               | ZIM INTEGRATED SHIPPING SERV COMMON STOCK                  | CUSIP: M9T951109<br>LEI: 21380089EIJRELKAIL21 | Long             | EC               | CORP              | IL        |      2133 | NS      | $36666.27     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000               | CUSIP: ACI2B3GL9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 170000000 | PA      | $1295652.85   | 0.78%             | 2023-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000               | CUSIP: ACI2BFMF8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 139000000 | PA      | $1059446.05   | 0.64%             | 2023-03-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000               | CUSIP: ACI2BHRL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  50000000 | PA      | $381109.04    | 0.23%             | 2023-03-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                         | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000               | CUSIP: ACI2BP2X9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  64000000 | PA      | $487836.14    | 0.29%             | 2023-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A1 144A      | CUSIP: 466308AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40971 | PA      | $31838.43     | 0.02%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| ADARO ENERGY TBK                                                   | ADARO ENERGY INDONESIA TBK P COMMON STOCK IDR100.0         | CUSIP: B3BQFC902<br>LEI: 529900P2WAH7XA87OI24 | Long             | EC               | CORP              | ID        |    419500 | NS      | $103915.49    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 D 144A      | CUSIP: 46654PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967000 | PA      | $898194.66    | 0.54%             | 2038-11-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                   | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A10                | CUSIP: 46628YBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80929 | PA      | $36296.88     | 0.02%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KINBANE 2022-RPL 1 DAC  22-RPL1A                                   | KINBANE DAC KINBN 2022 RPL1A A 144A                        | CUSIP: ACI278GW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    645449 | PA      | $659645.35    | 0.40%             | 2062-09-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL3 TRUST                                                | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL3 A 144A        | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $960715.20    | 0.58%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                         | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL            | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       915 | PA      | $594.43       | 0.00%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                         | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL             | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2775 | PA      | $1489.35      | 0.00%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                              | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 A 144A          | CUSIP: 52472WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217111 | PA      | $216867.92    | 0.13%             | 2070-01-28      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MARSTONS ISSUER PLC                                                | MARSTONS ISSUER PLC SECURED REGS 07/35 VAR                 | CUSIP: B0GDY1II6<br>LEI: 213800HQB746UJ9UWM15 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $180218.69    | 0.11%             | 2035-07-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1            | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9336 | PA      | $5127.44      | 0.00%             | 2036-03-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                         | MGM CHINA HOLDINGS LTD SR UNSECURED 144A 02/27 4.75        | CUSIP: 55300RAG6<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |    253000 | PA      | $224143.39    | 0.14%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                    | MITCHELLS + BUTLERS FINA SR SECURED REGS 12/30 VAR         | CUSIP: B1FL5TII8<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |     83894 | PA      | $91588.67     | 0.06%             | 2030-12-15      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-SUN                            | MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN E 144A         | CUSIP: 61691MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977000 | PA      | $939712.31    | 0.57%             | 2035-07-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                               | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2             | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397030 | PA      | $708450.68    | 0.43%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                                  | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75          | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $86371.79     | 0.05%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BHP GROUP LIMITED                                                  | BHP GROUP LTD COMMON STOCK                                 | CUSIP: 614469005<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |     71090 | NS      | $2202150.73   | 1.33%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2017-2                                  | NAVIENT STUDENT LOAN TRUST NAVSL 2017 2A A 144A            | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411736 | PA      | $405012.14    | 0.24%             | 2066-12-27      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BIM BIRLESIK MAGAZALAR ANONIM SIRKETI                              | BIM BIRLESIK MAGAZALAR AS COMMON STOCK TRY1.               | CUSIP: B0D000905<br>LEI: 7890001GCDJQD8DJKE29 | Long             | EC               | CORP              | TR        |     17876 | NS      | $130635.05    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    868000 | PA      | $738550.55    | 0.45%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                              | NOBLE FINANCE CO SECURED 02/28 11                          | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      2960 | PA      | $3293.00      | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                              | NOBLE FINANCE CO SECURED 144A 02/28 11                     | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      2115 | PA      | $2352.94      | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| OBX TRUST 2018-EPX1                                                | ONSLOW BAY FINANCIAL LLC OBX 2018 EXP1 2A1 144A            | CUSIP: 67097VAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31066 | PA      | $30572.93     | 0.02%             | 2048-04-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                               | ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35         | CUSIP: 675757AC2<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    103333 | PA      | $57091.48     | 0.03%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000     | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     46000 | PA      | $112.70       | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                     | OMEGA HLTHCARE INVESTORS COMPANY GUAR 10/29 3.625          | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6579.30      | 0.00%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                              | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1            | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1968162 | PA      | $1438067.04   | 0.87%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75             | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    120000 | PA      | $92270.34     | 0.06%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     53000 | PA      | $48634.34     | 0.03%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3              | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17819.98     | 0.01%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2              | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $178991.56    | 0.11%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25             | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      4000 | PA      | $2797.57      | 0.00%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/23 3.25             | CUSIP: 694308HC4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22748.37     | 0.01%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6              | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    210000 | PA      | $159426.46    | 0.10%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/28 3.75             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    110000 | PA      | $97766.68     | 0.06%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95             | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    804500 | PA      | $626808.62    | 0.38%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/24 3.4              | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33607.38     | 0.02%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1348.72      | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5              | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1419.11      | 0.00%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1346.34      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                   | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25               | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    559000 | PA      | $455728.94    | 0.28%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                          | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                 | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     10000 | PA      | $2321.09      | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES INC                                              | BOSTON PROPERTIES INC REIT USD.01                          | CUSIP: 101121101<br>LEI: 549300OF70FSEUQBT254 | Long             | EC               | CORP              | US        |      5423 | NS      | $366486.34    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| PERU GOVT                                                          | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94              | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     95000 | PA      | $22970.40     | 0.01%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                          | REPUBLIC OF PERU SR UNSECURED 144A 08/26 8.2               | CUSIP: 715638AX0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    189000 | PA      | $52134.98     | 0.03%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                          | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35              | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    233000 | PA      | $58393.76     | 0.04%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                          | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95              | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      4000 | PA      | $995.31       | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                          | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95              | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      1000 | PA      | $248.83       | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                          | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9               | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      5000 | PA      | $1185.05      | 0.00%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                  | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/24 6         | CUSIP: P7807HAT2<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     20000 | PA      | $1025.00      | 0.00%             | 2024-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                  | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75      | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     20000 | PA      | $1025.00      | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                  | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6         | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    300000 | PA      | $14625.00     | 0.01%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOUYGUES SA                                                        | BOUYGUES SA COMMON STOCK EUR1.0                            | CUSIP: 400212908<br>LEI: 969500MOCLNQFNZN0D63 | Long             | EC               | CORP              | FR        |      5447 | NS      | $163365.07    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PRESS GANEY (AKA: AZALEA TOPCO INC)                                | EMERALD TOPCO INC TERM LOAN                                | CUSIP: 29102TAB8<br>LEI: 549300HC42NZULO53062 | Long             | LON              | CORP              | US        |      2902 | PA      | $2667.59      | 0.00%             | 2026-07-24      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                      | PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25        | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1208000 | PA      | $1022674.12   | 0.62%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                 | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR     | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     89000 | PA      | $290.94       | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                 | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR     | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    300000 | PA      | $980.68       | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| BRAMBLES LIMITED                                                   | BRAMBLES LTD COMMON STOCK                                  | CUSIP: B1FJ0C904<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |     24606 | NS      | $201784.05    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| PUERTO RICO ELECTRIC POWER AUTHORITY                               | PUERTO RICO ELEC PWR AUTH PWR PRCPWR 07/40 FIXED 6.125     | CUSIP: 74526QXT4<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | PR        |    100000 | PA      | $73000.00     | 0.04%             | 2040-07-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                   | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     41555 | PA      | $18232.04     | 0.01%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC / LIFEPOINT HEALTH INC | LIFEPT/LEGACY LIFEPT COMPANY GUAR 144A 12/26 9.75          | CUSIP: 53219LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $185577.80    | 0.11%             | 2026-12-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 1A4           | CUSIP: 74923HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18787 | PA      | $14215.03     | 0.01%             | 2037-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO3                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO3 A1            | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44818 | PA      | $36531.27     | 0.02%             | 2045-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS5                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS5 A1            | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222150 | PA      | $171957.92    | 0.10%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC1                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC1 M6           | CUSIP: 76112BRR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $935360.70    | 0.57%             | 2035-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS11                               | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS11 MII1         | CUSIP: 76110WVV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328591 | PA      | $325025.38    | 0.20%             | 2034-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST               | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35           | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7564 | PA      | $6548.47      | 0.00%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2021-1 CLASS A PASS THROUGH TRUST                | AMER AIRLINE 21 1A EETC PASS THRU CE 01/36 2.875           | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    482000 | PA      | $389316.36    | 0.24%             | 2036-01-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                 | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487        | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |    300000 | PA      | $195963.26    | 0.12%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                       | BRITISH AMERICAN TOBACCO PLC COMMON STOCK GBP.25           | CUSIP: 028758902<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |     11413 | NS      | $451477.24    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | BROADCOM INC COMMON STOCK                                  | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |      2329 | NS      | $1302213.77   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                      | SLM STUDENT LOAN TRUST SLMA 2005 B A4                      | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    936422 | PA      | $888829.26    | 0.54%             | 2039-06-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                            | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A         | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    816296 | PA      | $792257.32    | 0.48%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOFTBANK VISION FUND II                                            | SOFTBANK VISION FUND II FIXED TERM LOAN                    | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    374684 | PA      | $360439.80    | 0.22%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SOTERA HEALTH HOLDINGS LLC                                         | SOTERA HEALTH HOLDINGS LLC 2021 TERM LOAN                  | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |    525000 | PA      | $486937.50    | 0.29%             | 2026-12-11      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2            | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $966332.40    | 0.58%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                            | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 1A1          | CUSIP: 83613AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1910636 | PA      | $1336989.61   | 0.81%             | 2037-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                  | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5           | CUSIP: 614878II9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   9200000 | PA      | $572421.49    | 0.35%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                  | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5           | CUSIP: S69124FF7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1000000 | PA      | $62219.73     | 0.04%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                         | SPRINT LLC COMPANY GUAR 03/26 7.625                        | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      7000 | PA      | $7381.54      | 0.00%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                         | SPRINT LLC COMPANY GUAR 06/24 7.125                        | CUSIP: 85207UAH8<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    435000 | PA      | $444456.90    | 0.27%             | 2024-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 9 1A1             | CUSIP: 86361PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227690 | PA      | $725501.28    | 0.44%             | 2036-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                            | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3           | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534625 | PA      | $513160.64    | 0.31%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                  | PUG LLC USD TERM LOAN                                      | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3880 | PA      | $3230.10      | 0.00%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                        | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5          | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    550000 | PA      | $406859.75    | 0.25%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                             | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                     | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |      8062 | PA      | $7074.24      | 0.00%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                         | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN           | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    146241 | PA      | $119673.68    | 0.07%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                         | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     15385 | PA      | $15057.77     | 0.01%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                         | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN              | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     84615 | PA      | $82817.73     | 0.05%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                              | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875          | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9053 | PA      | $8056.63      | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                              | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75           | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     67421 | PA      | $64086.36     | 0.04%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A                       | TRUPS FINANCIALS NOTE SECURITI TFINS 2017 2A A1 144A       | CUSIP: 898203AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    273068 | PA      | $259414.13    | 0.16%             | 2039-09-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                        | REPUBLIC OF TURKEY SR UNSECURED 03/25 4.25                 | CUSIP: 900123CX6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $187480.00    | 0.11%             | 2025-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                        | REPUBLIC OF TURKEY SR UNSECURED 03/30 5.25                 | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $161500.00    | 0.10%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                              | UBER TECHNOLOGIES, INC. 2021 TERM LOAN B                   | CUSIP: 90351JAF1<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |    886651 | PA      | $886176.76    | 0.54%             | 2027-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $84698.31     | 0.05%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5400000 | PA      | $4744544.00   | 2.87%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-272584.57   | -0.16%            | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3727724.76   | 2.25%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $375188.98    | 0.23%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-750377.95   | -0.45%            | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8600000 | PA      | $8070594.32   | 4.88%             | 2053-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $4043281.12   | 2.44%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $591320.35    | 0.36%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $689764.36    | 0.42%             | 2053-02-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1002271.29   | 0.61%             | 2053-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1015068.56   | 0.61%             | 2053-01-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                               | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3651153.05   | 2.21%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                      | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83                 | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    370000 | PA      | $373916.00    | 0.23%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                | UNITED KINGDOM GILT BONDS REGS 01/44 3.25                  | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     20000 | PA      | $21498.00     | 0.01%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                | UNITED KINGDOM GILT BONDS REGS 01/45 3.5                   | CUSIP: BN65R3II8<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     20000 | PA      | $22283.72     | 0.01%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                | UNITED KINGDOM GILT BONDS REGS 01/49 1.75                  | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     20000 | PA      | $15489.98     | 0.01%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                | UNITED KINGDOM GILT BONDS REGS 07/47 1.5                   | CUSIP: BDCHBWII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     10000 | PA      | $7387.66      | 0.00%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                | UNITED KINGDOM GILT BONDS REGS 07/51 1.25                  | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     20000 | PA      | $13075.34     | 0.01%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 01/24 0.625                                | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    970649 | PA      | $950124.34    | 0.57%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 01/27 0.375                                | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     39477 | PA      | $37240.52     | 0.02%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 01/29 0.875                                | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    409529 | PA      | $390367.64    | 0.24%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 02/48 1                                    | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120846 | PA      | $101834.63    | 0.06%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 02/49 1                                    | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    118426 | PA      | $99107.63     | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 02/51 0.125                                | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    343386 | PA      | $221486.93    | 0.13%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 04/24 0.5                                  | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    957072 | PA      | $930805.70    | 0.56%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/23 0.375                                | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1165282 | PA      | $1151505.11   | 0.70%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/24 0.125                                | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    978923 | PA      | $947481.46    | 0.57%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/27 0.375                                | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     12182 | PA      | $11486.04     | 0.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/28 0.75                                 | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    249308 | PA      | $237603.76    | 0.14%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/29 0.25                                 | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    836477 | PA      | $766244.11    | 0.46%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/30 0.125                                | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    325444 | PA      | $291599.26    | 0.18%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/31 0.125                                | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2368262 | PA      | $2094271.29   | 1.27%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 07/32 0.625                                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    615390 | PA      | $564163.98    | 0.34%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | TSY INFL IX N/B 10/24 0.125                                | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    789827 | PA      | $760736.29    | 0.46%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 02/49 3                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1133000 | PA      | $933662.81    | 0.56%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 03/29 2.375                                | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2546414.05   | 1.54%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 04/23 0.125                                | CUSIP: 91282CBX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3945062.88   | 2.38%             | 2023-04-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 05/32 2.875                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $92187.50     | 0.06%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 08/32 2.75                                 | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1001859.38   | 0.61%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 10/29 4                                    | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $800437.50    | 0.48%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                 | US TREASURY N/B 11/46 2.875                                | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $481359.37    | 0.29%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2021-5                                | UPSTART SECURITIZATION TRUST UPST 2021 5 A 144A            | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455263 | PA      | $435934.65    | 0.26%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                  | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625           | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      6000 | PA      | $1320.00      | 0.00%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                    | VALARIS LTD SR SECURED 144A 04/28 8.25                     | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1000 | PA      | $1007.13      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                    | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25              | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     44000 | PA      | $4180.00      | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                    | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7            | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      2000 | PA      | $180.00       | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                    | REPUBLIC OF VENEZUELA SR UNSECURED REGS 04/25 7.65         | CUSIP: B07CTCII0<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      3000 | PA      | $262.50       | 0.00%             | 2025-04-21      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                              | VICI PROPERTIES / NOTE COMPANY GUAR 144A 06/25 4.625       | CUSIP: 92564RAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    237000 | PA      | $227531.85    | 0.14%             | 2025-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                                  | VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625       | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    300000 | PA      | $241890.00    | 0.15%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                              | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1          | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425243 | PA      | $372852.82    | 0.23%             | 2037-07-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                     | WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C30 ASB           | CUSIP: 94989NBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581522 | PA      | $564606.90    | 0.34%             | 2058-09-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING LP                                     | WESTERN MIDSTREAM OPERAT SR UNSECURED 01/23 VAR            | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3994.02      | 0.00%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                   | WESTMORELAND COAL CO PIK TERM LOAN                         | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4950 | PA      | $3848.48      | 0.00%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| AFLAC INCORPORATED                                                 | AFLAC INC COMMON STOCK USD.1                               | CUSIP: 001055102<br>LEI: 549300N0B7DOGLXWPP39 | Long             | EC               | CORP              | US        |     15987 | NS      | $1150104.78   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                    | CBL + ASSOCIATES PROPERTIES REIT USD.01                    | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |        39 | NS      | $900.12       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | FIXED INC CLEARING CORP.REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   1525000 | PA      | $1525000.00   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                  | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  12723274 | PA      | $38657.17     | 0.02%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                      | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    116909 | PA      | $27327.48     | 0.02%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                      | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    206000 | PA      | $48152.50     | 0.03%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                     | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1226000 | PA      | $1071.21      | 0.00%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR               | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    269175 | PA      | $85702.63     | 0.05%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     31091 | PA      | $8316.84      | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR               | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    182206 | PA      | $49742.24     | 0.03%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-391.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR               | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    167024 | PA      | $42507.61     | 0.03%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | AUST 10Y BOND FUT MAR23 XSFE 20230315                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -18 | NC      | $80273.07     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $5584.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT GBP SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-1015.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $781.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $995.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                     | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR               | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    196042 | PA      | $56215.04     | 0.03%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT NOK SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $2371.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230111                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-340.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230221                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-89673.97    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1124.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $937.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1351.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230313                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-5104.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD CNH BOUGHT USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-92.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5322.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230320                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-16097.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $93.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $563.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $14859.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $0.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $767.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $40.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $81.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $11546.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CEZ A S                                                            | CEZ AS COMMON STOCK CZK100.                                | CUSIP: 562403907<br>LEI: 529900S5R9YHJHYKKG94 | Long             | EC               | CORP              | CZ        |      4426 | NS      | $150804.69    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | BOUGHT MXN SOLD USD 20230321                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $11434.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CF INDUSTRIES HOLDINGS INC                                         | CF INDUSTRIES HOLDINGS INC COMMON STOCK USD.01             | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |      1127 | NS      | $96020.40     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230213                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4438.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $175.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $368.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BRAZIL LA SP CBK                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-855.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BRAZIL LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-570.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BRAZIL LA SP HUS                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-132.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX EM36 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-28483.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX EM38 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-23229.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX HY38 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $22389.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX HY39 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $69953.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX IG39 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $20066.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $546.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT BRL SOLD USD 20230104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6261.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $23506.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230221                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $10068.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $205.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $33.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $8.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $139.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT EUR SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $301.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT NZD SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-2447.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $54.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230125                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $905.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $5977.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD AUD BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-158.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD CAD BOUGHT USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-4982.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD CLP BOUGHT USD 20230112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-9859.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD PEN BOUGHT USD 20230106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-55.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AGEAS SA/NV                                                        | AGEAS COMMON STOCK                                         | CUSIP: B86S2N903<br>LEI: 5493005DJBML6LY3RV36 | Long             | EC               | CORP              | BE        |      5217 | NS      | $231487.92    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD PEN BOUGHT USD 20230125                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-426.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD PEN BOUGHT USD 20230201                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2042.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD PEN BOUGHT USD 20230302                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1937.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD PEN BOUGHT USD 20230427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4329.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CMBX.NA.AAA.10 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-8801.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CMBX.NA.AAA.13 SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-71561.66    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-7249.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5298.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230111                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-10664.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-10581.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | DEVON ENERGY CORPORATION SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1755.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $11169.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $38874.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2025.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT BRL SOLD USD 20230404                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $10022.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT MXN SOLD USD 20230321                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $11094.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230503                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $655.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD BRL BOUGHT USD 20230104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-9816.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD CNH BOUGHT USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-69.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1377.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230213                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $104.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $156.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $451.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CAD SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-11322.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1272.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $13434.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $19635.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $194.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD CNH BOUGHT USD 20230510                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $148.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD EUR BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-52659.03    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3121.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1039.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       296 | NC      | $2220.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                | INTELSAT JACKSON HOLDINGS S A RIGHTS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       348 | NC      | $2349.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                | INTELSAT EMERGENCE SA CALL EXP 17FEB27                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        25 | NC      | $50.00        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                | INTELSAT EMERGENCE SA CALL EXP17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       107 | NC      | $374.50       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                | HYG US TRS EQUITY FEDL01-20 BOA                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-2223.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | HYG US TRS EQUITY FEDL01-40 GST                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-1000.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | HYG US TRS EQUITY FEDL01-65 BPS                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-1468.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX ITRAXX EXJP IG38 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1384.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315                | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -100000 | NC      | $-19.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | CDX ITRAXX MAIN37 5Y ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $4399.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT ZAR SOLD USD 20230118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1391.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD GBP BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-2257.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1102.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2071.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD TWD BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $546.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP BPS                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $251.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $717.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $350.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1308.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP HUS                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1605.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $717.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-728.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3924.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $4401.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2112.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $32257.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVRON CORPORATION                                                | CHEVRON CORP COMMON STOCK USD.75                           | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1569 | NS      | $281619.81    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | SOLD TWD BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $462.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2742.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-7275.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD JPY BOUGHT USD 20230123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-2992.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                      | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 02/24 5.5        | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      3000 | PA      | $2962.22      | 0.00%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                      | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5        | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     21000 | PA      | $20949.73     | 0.01%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-5112.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-16035.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-9631.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $56.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT MXN SOLD USD 20230420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $17479.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT NOK SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $4891.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD MXN BOUGHT USD 20230207                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-4259.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD MXN BOUGHT USD 20230306                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-1368.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD MXN BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-23.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  DEC23 XCME 20240319                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $23414.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  DEC24 XCME 20250318                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $3017.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  DEC25 XCME 20260317                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2769.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  JUN24 XCME 20240917                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $7060.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  JUN25 XCME 20250916                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $5492.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA CONSTRUCTION BANK CORPORATION                                | CHINA CONSTRUCTION BANK H COMMON STOCK CNY1.0              | CUSIP: B0LMTQ900<br>LEI: 5493001KQW6DM7KEDR62 | Long             | EC               | CORP              | CN        |   1580000 | NS      | $988114.50    | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  MAR24 XCME 20240618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $12386.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  MAR25 XCME 20250617                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2942.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  MAR26 XCME 20260616                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2756.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  SEP24 XCME 20241217                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $6212.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR FUT  SEP25 XCME 20251216                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2804.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $-172.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $-6066.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3867.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3867.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $228.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT IDR SOLD USD 20230223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1096.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $46.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                     | AVOLON TLB BORROWER 1 US LLC TERM LOAN B4                  | CUSIP: 05400KAF7<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |      6825 | PA      | $6745.18      | 0.00%             | 2027-02-12      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $64.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $57.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230109                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $78.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $122.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $89.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $44.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $27.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $9.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230127                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $4.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT PEN SOLD USD 20230306                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $33.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | SOLD ZAR BOUGHT USD 20230919                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-847.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $3534.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U00CA7 PIMCO SWAPTION 2.1 PUT EUR 20230411              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-3117.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U00DA6 PIMCO SWAPTION 0.55 CALL EUR 2023041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U00EA5 PIMCO SWAPTION 2.1 PUT EUR 20230411              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |   -100000 | NC      | $-1558.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U00KA8 PIMCO FPPSWAPTION 2.9925 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U00LA7 PIMCO FPPSWAPTION 2.9925 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1328.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U00OA4 PIMCO SWAPTION 0.55 CALL EUR 2023041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U02JA6 PIMCO SWAPTION 2.92 PUT USD 20231013             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2745.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U02KA4 PIMCO SWAPTION 2.92 CALL USD 2023101             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-202.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U02PA9 PIMCO SWAPTION 2.92 PUT USD 20231013             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1372.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U02QA8 PIMCO SWAPTION 2.92 CALL USD 2023101             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-101.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U04EA7 PIMCO SWAPTION 3.0175 PUT USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1277.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U04FA6 PIMCO SWAPTION 3.0175 CALL USD 20231             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-122.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05HA1 PIMCO SWAPTION 2.25 PUT EUR 20230424             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4243.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05LA6 PIMCO SWAPTION 0.7 CALL EUR 20230424             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1115.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-157.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1141.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-151.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1180.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-143.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-121.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1309.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U06OA1 PIMCO SWAPTION 2.25 PUT EUR 20230426             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4262.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U06PA0 PIMCO SWAPTION 0.7 CALL EUR 20230426             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1403.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4268.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U09MA7 PIMCO SWAPTION 3.0875 CALL USD 20231             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-152.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U09NA6 PIMCO SWAPTION 3.0875 PUT USD 202311             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1192.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0ATA7 PIMCO SWAPTION 3.02 PUT USD 20231106             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2485.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0AUA5 PIMCO SWAPTION 3.02 CALL USD 2023110             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-285.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0BIA7 PIMCO SWAPTION 2.91 PUT USD 20231110             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1315.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0BJA6 PIMCO SWAPTION 2.91 CALL USD 2023111             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-133.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-6366.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-0.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0D9A3 PIMCO SWAPTION 2.1 PUT EUR 20230515              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4777.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0DAA1 PIMCO SWAPTION 0.55 CALL EUR 2023051             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-251.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0DJA2 PIMCO SWAPTION 2.845 PUT USD 2023111             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2729.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0E3A7 PIMCO SWAPTION 3.75 PUT USD 20231117             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1429.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0E4A6 PIMCO SWAPTION 2.25 CALL USD 2023111             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-138.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1549.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-125.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1513.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-142.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1381.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-167.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Equity Series

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer