# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001193125-26-071031
**Filing Date:** 2026-2
**Character Count:** 252484
**Document Hash:** 23642ff741227d3207431ece25725ff6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-071031.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0001193125-26-071031

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 26677592

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/PIMCO REAL RETURN FUND (Series ID: S000010711)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000029602 | JNL/PIMCO REAL RETURN FUND (A) |  |
| C000067998 | JNL/PIMCO REAL RETURN FUND (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/PIMCO Real Return Fund

- **b. EDGAR series identifier (if any):** S000010711

- **c. LEI of Series:** V4TXC5HR9FVHRRC3LU17

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $2826047073.94

**Total Liabilities:** $1714563998.97

**Net Assets:** $1111483074.97

**Delayed Delivery Securities:** $1501430822.70

**Cash Not Reported:** $9226801.81

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1004.393421240376 | **1-Year:** -448.513945191093 | **5-Year:** -2503.174113786783 | **10-Year:** -7989.519887333733 | **30-Year:** -89163.250980637624

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

- **3-Month:** -254.612938561956 | **1-Year:** -39.172767510448 | **5-Year:** -1674.105464816492 | **10-Year:** -9132.632593261694 | **30-Year:** -714.873263047385

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000029602 | 0.48%                | 0.16%                | -0.48%               |
| Class ID C000067998 | 0.47%                | 0.23%                | -0.47%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1314535.30              | $-757427.77                                |
| Month 2  | $-1935710.39             | $500679.05                                 |
| Month 3  | $-4695245.65             | $-5903736.30                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury US TIPS TR USD

- **Index Identifier:** LHMN1551

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BNP Paribas Securities                                                                 | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | IN        |   22585128 | PA      | $765.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | ZA        |    7334635 | PA      | $2236.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |    1638890 | PA      | $-100.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | MX        |   85435414 | PA      | $132683.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | TW        |    3603223 | PA      | $584.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | THAI BAHT                                                                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TH        |       9473 | PA      | $7.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     526333 | PA      | $6082.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |    2895316 | PA      | $10939.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     251095 | PA      | $-1809.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      90000 | PA      | $694.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | ZA        |    6891705 | PA      | $4958.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | PL        |    3232886 | PA      | $15577.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |   31358170 | PA      | $-5219.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   19316529 | PA      | $-4923.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |   71358378 | PA      | $-61246.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    1582906 | PA      | $54476.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | ZA        |    7046826 | PA      | $5848.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | MX        |    7767826 | PA      | $6604.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | THAI BAHT                                                                              | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | TH        |    6643038 | PA      | $2438.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      50000 | PA      | $85.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | PL        |     913751 | PA      | $4528.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |    4480691 | PA      | $3076.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |  136806447 | PA      | $-18293.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        |  428871862 | PA      | $75.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     560274 | PA      | $-16335.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       3458 | PA      | $-74.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |     831933 | PA      | $-1340.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | KR        | 3541796992 | PA      | $-9768.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     552895 | PA      | $19169.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   25147416 | PA      | $4309.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     135075 | PA      | $-2069.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |  169210530 | PA      | $5641.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |    1037947 | PA      | $29371.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | MX        |    6531140 | PA      | $5655.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | PL        |    2217625 | PA      | $12459.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      19310 | PA      | $-857.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |   20014000 | PA      | $26464.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |    4537302 | PA      | $-121253.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |    6622281 | PA      | $9139.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     687747 | PA      | $4724.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    2764344 | PA      | $13258.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      50000 | PA      | $242.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |    3812247 | PA      | $661.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |     471159 | PA      | $1734.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     140000 | PA      | $-378.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | TW        |    5557365 | PA      | $995.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |  108711392 | PA      | $-12603.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     422021 | PA      | $-3803.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | IN        |   22516970 | PA      | $-53.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 254900N8T2BRBQ9GMT85       | N/A              | DFE              | CORP              | US        |   48712049 | PA      | $-755582.37   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | MX        |    7273573 | PA      | $5800.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |     290247 | PA      | $-4238.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      30000 | PA      | $-462.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | TW        |    1092694 | PA      | $-64.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     210520 | PA      | $-6100.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |   14025734 | PA      | $-362456.44   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     767831 | PA      | $4251.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | PL        |    1163000 | PA      | $5414.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     260314 | PA      | $1248.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     200475 | PA      | $-459.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |      33575 | PA      | $-1632.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     298326 | PA      | $581.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |   15602000 | PA      | $10098.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      30660 | PA      | $-1062.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      36011 | PA      | $218.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     652662 | PA      | $21796.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | KR        | 1323018065 | PA      | $-3478.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | KR        | 1342568887 | PA      | $18118.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | BRITISH POUND STERLING                                                                 | CUSIP: N/A<br>LEI: 254900N8T2BRBQ9GMT85       | N/A              | DFE              | CORP              | GB        |    4575976 | PA      | $175210.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | PL        |    1569599 | PA      | $9036.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      20000 | PA      | $-291.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | ZA        |    2728000 | PA      | $4048.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     168382 | PA      | $-2445.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      34212 | PA      | $-1730.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |    2468340 | PA      | $9433.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      10000 | PA      | $23.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      50000 | PA      | $107.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | KR        | 2199228105 | PA      | $30270.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: 254900N8T2BRBQ9GMT85       | N/A              | DFE              | CORP              | MX        |       2063 | PA      | $3.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      22910 | PA      | $4.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |   40382888 | PA      | $-4821.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | MX        |    9334427 | PA      | $6854.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      50000 | PA      | $-414.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | THAI BAHT                                                                              | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | TH        |       2274 | PA      | $0.86         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | KR        | 2403616737 | PA      | $-6402.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | THAI BAHT                                                                              | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | TH        |    2846973 | PA      | $2567.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |        787 | PA      | $4.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |   23343394 | PA      | $2141.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | PL        |    4103907 | PA      | $26225.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |    1136639 | PA      | $-8686.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     260000 | PA      | $1182.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |   68975536 | PA      | $-7832.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |  134311644 | PA      | $-16223.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |    1105791 | PA      | $39113.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | MX        |    2863283 | PA      | $2093.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    1092720 | PA      | $-63.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | IN        |   14237252 | PA      | $421.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |     889998 | PA      | $-9905.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | CN        |    4857000 | PA      | $3887.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   21071694 | PA      | $1811.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | ISRAELI SHEKEL                                                                         | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IL        |    2654199 | PA      | $1502.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     550131 | PA      | $17583.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     453695 | PA      | $781.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    1066565 | PA      | $-24174.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     272488 | PA      | $-6394.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      21334 | PA      | $-645.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     400000 | PA      | $-1002.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | NEW TURKISH LIRA                                                                       | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |  268754422 | PA      | $49575.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     450419 | PA      | $4033.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |  132804918 | PA      | $-16300.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | PL        |    4264447 | PA      | $17148.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     589530 | PA      | $2029.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | TW        |     382426 | PA      | $-22.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     707098 | PA      | $3311.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     550829 | PA      | $-10232.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | IN        |   16026116 | PA      | $945.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |    1270365 | PA      | $16133.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     802744 | PA      | $19262.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     512390 | PA      | $-5193.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 254900N8T2BRBQ9GMT85       | N/A              | DFE              | CORP              | US        |   15421638 | PA      | $10964.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |    2263818 | PA      | $-20521.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | PL        |    1334000 | PA      | $7399.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | IN        |    4504888 | PA      | $5.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     510589 | PA      | $13846.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     195896 | PA      | $-1247.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |   98982256 | PA      | $-12348.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      17828 | PA      | $-703.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    2364787 | PA      | $-21392.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | PL        |    4013200 | PA      | $22551.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | MX        |    6561509 | PA      | $8929.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    2363779 | PA      | $-19284.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     150000 | PA      | $374.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     276463 | PA      | $-3375.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | PL        |    1168411 | PA      | $4395.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | PL        |    2804841 | PA      | $-158.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    1640425 | PA      | $-28295.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     289594 | PA      | $-3849.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |     366915 | PA      | $23.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |    5932000 | PA      | $7197.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | MX        |   11673000 | PA      | $15482.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     551562 | PA      | $-9267.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |    2277506 | PA      | $-20945.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     142608 | PA      | $973.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    1677334 | PA      | $6385.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   16435104 | PA      | $-2882.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | PL        |    2355525 | PA      | $18198.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | ID        |  713360520 | PA      | $112.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     793924 | PA      | $-43809.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      45995 | PA      | $412.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | PL        |    2762215 | PA      | $2080.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     923212 | PA      | $3474.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | IN        |    1825282 | PA      | $5.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PL        |     574000 | PA      | $127.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    1131707 | PA      | $35904.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | PL        |    6835885 | PA      | $47381.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ZA        |    7062288 | PA      | $3792.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     576694 | PA      | $-7528.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | CN        |    4777000 | PA      | $4349.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |  143648162 | PA      | $-20206.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | MX        |   29326000 | PA      | $34821.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     715009 | PA      | $-11555.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |    4535174 | PA      | $3508.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    1127918 | PA      | $31917.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |     404513 | PA      | $-4067.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | THAI BAHT                                                                              | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | TH        |    6454622 | PA      | $5807.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     410631 | PA      | $2260.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |    1559362 | PA      | $-49.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    1480055 | PA      | $-4373.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     561288 | PA      | $-15363.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |   13076098 | PA      | $-131545.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | CN        |    7845000 | PA      | $10617.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     752109 | PA      | $-16637.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     229509 | PA      | $-2785.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     502254 | PA      | $-12399.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     701382 | PA      | $6219.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     652027 | PA      | $4492.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    4194496 | PA      | $-89237.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |    4610251 | PA      | $-275.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    4168692 | PA      | $767.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | IN        |   98538251 | PA      | $-12417.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CN        |    4691000 | PA      | $-548.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     599708 | PA      | $1263.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     682752 | PA      | $26456.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   27679238 | PA      | $1856.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     584206 | PA      | $1898.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | SWISS FRANC                                                                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | CH        |     470225 | PA      | $7722.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    1211340 | PA      | $-13219.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |    3906366 | PA      | $25465.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | ISRAELI SHEKEL                                                                         | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | IL        |     417000 | PA      | $589.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | CHINESE YUAN RENMINBI                                                                  | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |     943762 | PA      | $51.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 254900N8T2BRBQ9GMT85       | N/A              | DFE              | CORP              | US        |     208556 | PA      | $-706.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |       4500 | PA      | $4.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     376250 | PA      | $-4639.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   20697172 | PA      | $9.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | MX        |   24807000 | PA      | $28251.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |    1707104 | PA      | $-23290.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |    1126302 | PA      | $32840.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | JAPANESE YEN                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | JP        |  169000000 | PA      | $-13774.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |   14157753 | PA      | $1063.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     199879 | PA      | $-1054.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     440000 | PA      | $3720.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     241420 | PA      | $-2807.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | MX        |    7148717 | PA      | $4927.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                           | SWAPTION INTEREST RATE                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | XX        |  -51900000 | PA      | $-211040.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                           | SWAPTION INTEREST RATE                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | XX        |  -51900000 | PA      | $-287211.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -147 | NC      | $-23074.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        139 | NC      | $-72491.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                                                              | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |         -5 | NC      | $27279.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -344 | NC      | $489676.10    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        227 | NC      | $-218596.21   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -339 | NC      | $669260.28    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   60000000 | PA      | $8244.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  792690000 | PA      | $169449.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      10000 | PA      | $118.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    4600000 | PA      | $2597342.15   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   13300000 | PA      | $7670384.45   | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   21700000 | PA      | $4305668.69   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        | 1400000000 | PA      | $184034.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        | 1021000000 | PA      | $390435.13    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   50860000 | PA      | $-1790607.67  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10490000 | PA      | $3867508.59   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                            | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    7700000 | PA      | $682484.42    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    7700000 | PA      | $-86014.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   29167000 | PA      | $-281012.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |   19500000 | PA      | $15265.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   84690000 | PA      | $-1759858.57  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   17000000 | PA      | $1241575.15   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |   42500000 | PA      | $477475.71    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   13700000 | PA      | $21897.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   20395100 | PA      | $77844.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8300000 | PA      | $124792.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   26711200 | PA      | $5880.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    7443000 | PA      | $81490.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    1100000 | PA      | $6685.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    8500000 | PA      | $-141101.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   11200000 | PA      | $72624.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    7900000 | PA      | $-816907.08   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    8920000 | PA      | $-1748879.55  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    6800000 | PA      | $38257.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     410000 | PA      | $-14561.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    5600000 | PA      | $5664.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2400000 | PA      | $104329.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    5100000 | PA      | $-69032.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    3700000 | PA      | $643617.96    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    4500000 | PA      | $750619.17    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2700000 | PA      | $37909.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     570000 | PA      | $12687.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1400000 | PA      | $172137.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8700000 | PA      | $1017242.71   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    6500000 | PA      | $618332.19    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     900000 | PA      | $87478.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     800000 | PA      | $61669.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1900000 | PA      | $130458.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   14500000 | PA      | $-2506233.74  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     800000 | PA      | $128494.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    3000000 | PA      | $277519.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    3300000 | PA      | $10041.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    5600000 | PA      | $29724.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    1700000 | PA      | $239133.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     900000 | PA      | $129267.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     800000 | PA      | $41982.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     300000 | PA      | $15514.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    5000000 | PA      | $-59586.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    1300000 | PA      | $194998.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   16800000 | PA      | $2022444.85   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    6100000 | PA      | $-898713.63   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    5800000 | PA      | $249708.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    9100000 | PA      | $-25028.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    5400000 | PA      | $4005.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2000000 | PA      | $211382.56    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10040000 | PA      | $-1141674.51  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8700000 | PA      | $-922621.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    1000000 | PA      | $82310.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    4850000 | PA      | $472639.73    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    2200000 | PA      | $-488416.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   50000000 | PA      | $-244404.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   25000000 | PA      | $16503.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   50000000 | PA      | $-67036.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -1044 | NC      | $-148551.55   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -79 | NC      | $59847.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         99 | NC      | $-263572.35   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -153 | NC      | $92139.84     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        202 | NC      | $-114096.24   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        254 | NC      | $-242924.32   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II                                                                          | Ginnie Mae II                                                                          | CUSIP: 36179Y5G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82004 | PA      | $75059.70     | 0.01%             | 2054-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Beignet Investments, LLC                                                               | Beignet Investments, LLC                                                               | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5700000 | PA      | $6034785.51   | 0.54%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      10028 | PA      | $10225.29     | 0.00%             | 2035-11-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                                 | Nissan Motor Co., Ltd.                                                                 | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |     300000 | PA      | $294846.00    | 0.03%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO XIX Ltd                                                                   | Trinitas CLO XIX Ltd                                                                   | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1367211 | PA      | $1367355.67   | 0.12%             | 2033-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15850000 | PA      | $18534251.91  | 1.67%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     129000 | PA      | $130093.48    | 0.01%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                  | Wells Fargo & Company                                                                  | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        500 | NS      | $606000.00    | 0.05%             | 2500-01-01      | Fixed         | 7.50%                 | No            |                  1 | On Loan: No      |
| Grifonas Finance No.1 PLC                                                              | Grifonas Finance No.1 PLC                                                              | CUSIP: N/A<br>LEI: 2138001BQMIKJQ4HNR60       | Long             | ABS-MBS          | CORP              | GR        |     214939 | PA      | $248352.33    | 0.02%             | 2039-08-28      | Floating      | 2.34%                 | Yes           |                  2 | On Loan: No      |
| Republique Francaise Presidence                                                        | Republique Francaise Presidence                                                        | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    2000000 | PA      | $2732588.44   | 0.25%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3940000 | PA      | $4150491.47   | 0.37%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13200000 | PA      | $12591813.13  | 1.13%             | 2054-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8550000 | PA      | $9631477.86   | 0.87%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47800000 | PA      | $49981234.99  | 4.50%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                               | Eurosail-UK 2007-3BL PLC                                                               | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      54612 | PA      | $73539.62     | 0.01%             | 2045-06-13      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      23000 | PA      | $22880.13     | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                                             | VMware LLC                                                                             | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200102.96    | 0.02%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     983812 | PA      | $895810.66    | 0.08%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Greenpoint M F T S 2006-AR4                                                            | Greenpoint M F T S 2006-AR4                                                            | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185913 | PA      | $173025.80    | 0.02%             | 2046-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4640000 | PA      | $4318372.04   | 0.39%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                | Home Equity Asset Trust                                                                | CUSIP: 437084QA7<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-CBDO         | CORP              | US        |     638560 | PA      | $624782.09    | 0.06%             | 2036-02-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A10                                        | Residential Asset Securitization Trust 2006-A10                                        | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185768 | PA      | $55131.98     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Shackleton 2019-XIV Clo Ltd                                                            | Shackleton 2019-XIV Clo Ltd                                                            | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $999210.00    | 0.09%             | 2034-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd                                                                 | Sound Point CLO IX Ltd                                                                 | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | US        |     719580 | PA      | $719714.08    | 0.06%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2019-1 AMR Ltd                                                                 | TCW CLO 2019-1 AMR Ltd                                                                 | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $600319.80    | 0.05%             | 2034-08-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO XI Ltd                                                                     | Vibrant CLO XI Ltd                                                                     | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     392832 | PA      | $392705.13    | 0.04%             | 2032-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Dryden 44 Euro CLO 2015 B.V.                                                           | Dryden 44 Euro CLO 2015 B.V.                                                           | CUSIP: N/A<br>LEI: 724500Y7W6D0XWW63V58       | Long             | ABS-CBDO         | CORP              | IE        |     477684 | PA      | $560056.72    | 0.05%             | 2034-04-17      | Floating      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4              | Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75973 | PA      | $44061.44     | 0.00%             | 2036-08-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18713000 | PA      | $39534684.12  | 3.56%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GCBSL 2020-50A A1R2 TSFR3                                                              | GCBSL 2020-50A A1R2 TSFR3                                                              | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3600000 | PA      | $3596299.20   | 0.32%             | 2035-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1403834 | PA      | $1411169.20   | 0.13%             | 2068-08-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140XJ4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     292841 | PA      | $287082.98    | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMRK 2021-5A AR 144A TSFR3M+119BP                                                      | RMRK 2021-5A AR 144A TSFR3M+119BP                                                      | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4100000 | PA      | $4103132.40   | 0.37%             | 2035-01-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| SYMP 2021-29A AR TSFR3M+1                                                              | SYMP 2021-29A AR TSFR3M+1                                                              | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1200186.00   | 0.11%             | 2035-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7830000 | PA      | $10574548.04  | 0.95%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                               | Eurosail-UK 2007-3BL PLC                                                               | CUSIP: 29880YAG4<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     158783 | PA      | $213813.86    | 0.02%             | 2045-06-13      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    3957739 | PA      | $3764810.64   | 0.34%             | 2057-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2007-A1                                                     | J.P. Morgan Mortgage Trust 2007-A1                                                     | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4606 | PA      | $4595.86      | 0.00%             | 2035-07-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| LCM 36 Ltd                                                                             | LCM 36 Ltd                                                                             | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1997518.00   | 0.18%             | 2034-01-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| U.S. Small Business Administration                                                     | U.S. Small Business Administration                                                     | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      27241 | PA      | $27416.46     | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                            | Washington Mutual Mortgage Securities Corp.                                            | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13083 | PA      | $12849.90     | 0.00%             | 2033-03-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9281 | PA      | $10714.37     | 0.00%             | 2035-11-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     260000 | PA      | $423168.81    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-HY11                                                       | Alternative Loan Trust 2006-HY11                                                       | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209398 | PA      | $195874.43    | 0.02%             | 2036-06-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 38384LA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10573887 | PA      | $10608106.44  | 0.95%             | 2075-10-20      | Floating      | 4.88%                 | No            |                  3 | On Loan: No      |
| Structured Asset Securities Corporation                                                | Structured Asset Securities Corporation                                                | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38678 | PA      | $37468.77     | 0.00%             | 2034-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29300000 | PA      | $31458441.73  | 2.83%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38600000 | PA      | $40512133.63  | 3.64%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                                      | BDS 2022-FL11 LLC                                                                      | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     790049 | PA      | $790399.23    | 0.07%             | 2039-03-21      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Arbour CLO VI Designated Activity Company                                              | Arbour CLO VI Designated Activity Company                                              | CUSIP: N/A<br>LEI: 635400HEJB8VLV1GBH66       | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1176885.23   | 0.11%             | 2037-11-15      | Variable      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2019-GS2                                                 | Mill City Mortgage Loan Trust 2019-GS2                                                 | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     133250 | PA      | $129819.29    | 0.01%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE1                                | Securitized Asset Backed Receivables LLC Trust 2006-HE1                                | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2453105 | PA      | $812062.60    | 0.07%             | 2036-07-25      | Floating      | 0.67%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     274000 | PA      | $271645.74    | 0.02%             | 2026-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Capital Four CLO X Designated Activity Company                                         | Capital Four CLO X Designated Activity Company                                         | CUSIP: N/A<br>LEI: 254900PXJCJG50SO9P20       | Long             | ABS-CBDO         | CORP              | IE        |    2400000 | PA      | $2821337.40   | 0.25%             | 2038-10-25      | Floating      | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit                                                                    | Bain Capital Credit                                                                    | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $600649.80    | 0.05%             | 2034-07-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC2                                                | Citigroup Mortgage Loan Trust 2007-AMC2                                                | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      39507 | PA      | $28681.95     | 0.00%             | 2037-01-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                             | FHLBanks Office of Finance                                                             | CUSIP: 313385RG3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |   26800000 | PA      | $26800000.00  | 2.41%             | 2026-01-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2018-3(A), Ltd.                                                        | 522 Funding CLO 2018-3(A), Ltd.                                                        | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      91856 | PA      | $91874.25     | 0.01%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund I Ltd.                                                            | LCM Loan Income Fund I Ltd.                                                            | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      81441 | PA      | $81444.80     | 0.01%             | 2031-04-21      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18960000 | PA      | $21258069.93  | 1.91%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| St. Paul's CLO X Designated Activity Company                                           | St. Paul's CLO X Designated Activity Company                                           | CUSIP: N/A<br>LEI: 635400814HPIBD5YSW07       | Long             | ABS-CBDO         | CORP              | IE        |     595407 | PA      | $696590.44    | 0.06%             | 2035-04-22      | Floating      | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 3136BWNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5142396 | PA      | $5170745.41   | 0.47%             | 2055-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36469392 | PA      | $33198674.62  | 2.99%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gallatin CLO VIII 2017-1 Ltd                                                           | Gallatin CLO VIII 2017-1 Ltd                                                           | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     505698 | PA      | $505991.25    | 0.05%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                         | HarborView Mortgage Loan Trust                                                         | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50750 | PA      | $48618.10     | 0.00%             | 2034-04-19      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE7 Issuer Ltd                                                          | LoanCore 2021-CRE7 Issuer Ltd                                                          | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     462543 | PA      | $461968.38    | 0.04%             | 2037-01-21      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust 2007-1                                                         | CIT Mortgage Loan Trust 2007-1                                                         | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1212023 | PA      | $1214045.48   | 0.11%             | 2037-10-26      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-8                                           | CWABS Asset-Backed Certificates Trust 2007-8                                           | CUSIP: 12669WAA4<br>LEI: 549300X70WTYWZ2HGN95 | Long             | ABS-CBDO         | CORP              | US        |    2783080 | PA      | $2650738.66   | 0.24%             | 2036-02-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust 2006-AM1                                           | MASTR Asset Backed Securities Trust 2006-AM1                                           | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      40018 | PA      | $38430.13     | 0.00%             | 2035-10-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                                         | Romark CLO Ltd                                                                         | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      22520 | PA      | $22521.80     | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Romark Credit Funding Ltd                                                              | Romark Credit Funding Ltd                                                              | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1004094.00   | 0.09%             | 2043-07-22      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19734000 | PA      | $19884040.28  | 1.79%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5800000 | PA      | $4952475.53   | 0.45%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33200000 | PA      | $43677108.15  | 3.93%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46100000 | PA      | $48192038.97  | 4.34%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Henley CLO VII Designated Activity Company                                             | Henley CLO VII Designated Activity Company                                             | CUSIP: N/A<br>LEI: 635400SRJSVJPTMR4D89       | Long             | ABS-CBDO         | CORP              | IE        |    1158011 | PA      | $1362055.15   | 0.12%             | 2034-04-25      | Floating      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2006-AMC1                                                | Citigroup Mortgage Loan Trust 2006-AMC1                                                | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1023127 | PA      | $1004973.95   | 0.09%             | 2036-09-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15400000 | PA      | $18469359.08  | 1.66%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2023-3 Designated Activity Company                 | Palmer Square European Loan Funding 2023-3 Designated Activity Company                 | CUSIP: N/A<br>LEI: 54930004WJL9ZPQZOM50       | Long             | ABS-CBDO         | CORP              | IE        |     387883 | PA      | $455903.52    | 0.04%             | 2033-05-15      | Floating      | 3.03%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1                         | ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1                         | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     314336 | PA      | $118889.67    | 0.01%             | 2037-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      55827 | PA      | $52495.60     | 0.00%             | 2045-02-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust, Series 2007-15N                                                       | Lehman XS Trust, Series 2007-15N                                                       | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274314 | PA      | $259859.69    | 0.02%             | 2047-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                                                  | Octagon Investment Partners 18-R Ltd.                                                  | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100659 | PA      | $100658.36    | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IV-R, Ltd.                                                             | Sound Point CLO IV-R, Ltd.                                                             | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |      92902 | PA      | $92986.76     | 0.01%             | 2031-04-18      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2                         | C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2                         | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     158207 | PA      | $153762.47    | 0.01%             | 2034-08-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GTK4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      15886 | PA      | $16861.20     | 0.00%             | 2035-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Dryden 64 CLO, Ltd.                                                                    | Dryden 64 CLO, Ltd.                                                                    | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     203030 | PA      | $203105.97    | 0.02%             | 2031-04-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7000000 | PA      | $6362890.80   | 0.57%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                                    | Sandstone Peak Ltd.                                                                    | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $600196.20    | 0.05%             | 2034-10-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   79400000 | PA      | $83543507.50  | 7.52%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28900000 | PA      | $29249373.41  | 2.63%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2012-4, Ltd.                                                                  | Voya CLO 2012-4, Ltd.                                                                  | CUSIP: 92916GBE3<br>LEI: 54930043I9VQ10YJ1Z07 | Long             | ABS-CBDO         | CORP              | US        |      32257 | PA      | $32257.37     | 0.00%             | 2030-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                 | Credit Suisse Group AG                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $137466.69    | 0.01%             | 2027-09-30      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      38115 | PA      | $38996.59     | 0.00%             | 2036-07-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                                     | J.P. Morgan Mortgage Trust 2005-A1                                                     | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3617 | PA      | $3408.70      | 0.00%             | 2035-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2005-6                                                          | Bear Stearns ARM Trust 2005-6                                                          | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54571 | PA      | $50727.04     | 0.00%             | 2035-03-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                                | Morgan Stanley ABS Capital Trust I Inc.                                                | CUSIP: 61744CFR2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |     233877 | PA      | $250467.65    | 0.02%             | 2034-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2006-HE8                                       | Morgan Stanley ABS Capital I Inc. Trust 2006-HE8                                       | CUSIP: 61750SAF9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |    1126402 | PA      | $483156.94    | 0.04%             | 2036-10-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7100000 | PA      | $10583405.73  | 0.95%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22447000 | PA      | $27541918.60  | 2.48%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HKKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1037048 | PA      | $1041440.89   | 0.09%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11697000 | PA      | $18315726.40  | 1.65%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -26300000 | PA      | $-31046681.49 | -2.79%            | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2019-2 Ltd                                                                    | Voya CLO 2019-2 Ltd                                                                    | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     345854 | PA      | $346062.48    | 0.03%             | 2032-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO V Designated Activity Company                                         | Man GLG Euro CLO V Designated Activity Company                                         | CUSIP: N/A<br>LEI: 635400WPMITSRLC5LX57       | Long             | ABS-CBDO         | CORP              | IE        |      49403 | PA      | $57952.24     | 0.01%             | 2031-12-15      | Floating      | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO 2019-1 Designated Activity Company                                   | Black Diamond CLO 2019-1 Designated Activity Company                                   | CUSIP: N/A<br>LEI: 549300I3ISWDFTMO5713       | Long             | ABS-CBDO         | CORP              | IE        |     125164 | PA      | $147156.74    | 0.01%             | 2032-05-15      | Floating      | 3.02%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF10                                           | First Franklin Mortgage Loan Trust 2006-FF10                                           | CUSIP: 32028HAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     973485 | PA      | $952026.49    | 0.09%             | 2036-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Inc.                                          | Structured Asset Mortgage Investments II Inc.                                          | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2976 | PA      | $2827.32      | 0.00%             | 2034-10-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42200000 | PA      | $44000070.25  | 3.96%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO IV Designated Activity Company                                           | Voya Euro CLO IV Designated Activity Company                                           | CUSIP: N/A<br>LEI: 549300H0DM0Z0GCEKC77       | Long             | ABS-CBDO         | CORP              | IE        |    1600000 | PA      | $1876410.80   | 0.17%             | 2034-10-15      | Floating      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128JRN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      13220 | PA      | $13580.64     | 0.00%             | 2036-10-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-Ch2                                        | J.P. Morgan Mortgage Acquisition Trust 2006-Ch2                                        | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       5774 | PA      | $5765.83      | 0.00%             | 2036-10-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR9 Trust            | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR9 Trust            | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605291 | PA      | $578464.03    | 0.05%             | 2046-08-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                                    | Credit-Based Asset Servicing and Securitization LLC                                    | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1793811 | PA      | $1204939.94   | 0.11%             | 2037-07-25      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-12                                          | CWABS Asset-Backed Certificates Trust 2007-12                                          | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-CBDO         | CORP              | US        |      53627 | PA      | $53071.83     | 0.00%             | 2037-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007-A1                                            | Chase Mortgage Finance Trust Series 2007-A1                                            | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6349 | PA      | $6167.75      | 0.00%             | 2037-02-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government of Canada                                                                   | Government of Canada                                                                   | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    3800000 | PA      | $5381628.29   | 0.48%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                                    | Merrill Lynch Mortgage Capital Inc.                                                    | CUSIP: 59020UAC9<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-MBS          | CORP              | US        |      29162 | PA      | $28089.17     | 0.00%             | 2034-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Mortgageit Trust 2004-2                                                                | Mortgageit Trust 2004-2                                                                | CUSIP: 61913PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87566 | PA      | $85577.52     | 0.01%             | 2034-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                     | New Century Home Equity Loan Trust                                                     | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     179024 | PA      | $175733.78    | 0.02%             | 2035-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| TRTX 2022-FL5 Issuer, Ltd.                                                             | TRTX 2022-FL5 Issuer, Ltd.                                                             | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     177677 | PA      | $177604.04    | 0.02%             | 2039-02-17      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Toro European CLO 7 Designated Activity Company                                        | Toro European CLO 7 Designated Activity Company                                        | CUSIP: N/A<br>LEI: 635400B4VLIGNRNR9O61       | Long             | ABS-CBDO         | CORP              | IE        |    1448592 | PA      | $1701065.71   | 0.15%             | 2034-02-15      | Floating      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       2799 | PA      | $2775.67      | 0.00%             | 2035-09-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                                     | J.P. Morgan Mortgage Trust 2005-A1                                                     | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24126 | PA      | $23856.29     | 0.00%             | 2035-08-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2007-3                                                    | Saxon Asset Securities Trust 2007-3                                                    | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     226586 | PA      | $219791.08    | 0.02%             | 2047-09-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30800000 | PA      | $34110677.97  | 3.07%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $21509416.86  | 1.94%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26409 | PA      | $25100.09     | 0.00%             | 2034-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2006-3                                                        | Bear Stearns ALT-A Trust 2006-3                                                        | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64773 | PA      | $61139.19     | 0.01%             | 2036-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5380000 | PA      | $7830153.72   | 0.70%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13400000 | PA      | $13122742.23  | 1.18%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40402000 | PA      | $52398147.70  | 4.71%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                    | Cabinet Office, Government of Japan                                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  130000000 | PA      | $855512.39    | 0.08%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   24223000 | PA      | $23641081.18  | 2.13%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXII Ltd                                                              | BlueMountain CLO XXII Ltd                                                              | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     272041 | PA      | $272159.89    | 0.02%             | 2031-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-10                                                  | Citigroup Mortgage Loan Trust 2007-10                                                  | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192166 | PA      | $179954.01    | 0.02%             | 2037-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                                          | Ginnie Mae II                                                                          | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4795802 | PA      | $4415901.99   | 0.40%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2007-HE6                                       | Morgan Stanley ABS Capital I Inc. Trust 2007-HE6                                       | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-CBDO         | CORP              | US        |      30508 | PA      | $27641.25     | 0.00%             | 2037-05-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| RALI Series 2007-QH8 Trust                                                             | RALI Series 2007-QH8 Trust                                                             | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     392340 | PA      | $333984.11    | 0.03%             | 2037-10-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26300000 | PA      | $31046682.11  | 2.79%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 3136BWUZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1743932 | PA      | $1755058.45   | 0.16%             | 2055-07-25      | Floating      | 5.07%                 | No            |                  3 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16900000 | PA      | $16763178.14  | 1.51%             | 2030-10-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company           | Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company           | CUSIP: N/A<br>LEI: 6354006SCMVW8LXU4P40       | Long             | ABS-CBDO         | CORP              | IE        |     159721 | PA      | $187611.86    | 0.02%             | 2031-11-15      | Floating      | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   39800000 | PA      | $40836977.06  | 3.67%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust 2011-RR5                                                                | BCAP LLC Trust 2011-RR5                                                                | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88565 | PA      | $86608.94     | 0.01%             | 2037-03-26      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Series 2007 AHL3                                         | Citigroup Mortgage Loan Trust Series 2007 AHL3                                         | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      80552 | PA      | $56016.46     | 0.01%             | 2045-07-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      12277 | PA      | $12566.60     | 0.00%             | 2036-09-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660NQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5718 | PA      | $5609.95      | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-RPL3                                          | New Residential Mortgage Loan Trust 2019-RPL3                                          | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     894594 | PA      | $868887.32    | 0.08%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2024-1 Designated Activity Company                 | Palmer Square European Loan Funding 2024-1 Designated Activity Company                 | CUSIP: N/A<br>LEI: 254900S9D49Z2X16W073       | Long             | ABS-CBDO         | CORP              | IE        |     908085 | PA      | $1067242.66   | 0.10%             | 2033-08-15      | Floating      | 3.03%                 | Yes           |                  2 | On Loan: No      |
| Atlas Senior Loan Fund XV Ltd                                                          | Atlas Senior Loan Fund XV Ltd                                                          | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     331998 | PA      | $332272.39    | 0.03%             | 2032-10-23      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GP85<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-CBDO         | CORP              | US        |    3422000 | PA      | $3185970.97   | 0.29%             | 2035-10-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2004-10                                          | MASTR Adjustable Rate Mortgages Trust 2004-10                                          | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29951 | PA      | $29032.22     | 0.00%             | 2033-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                    | Thornburg Mortgage Securities Trust                                                    | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29887 | PA      | $29414.25     | 0.00%             | 2045-04-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2019-HY3                                                     | Towd Point Mortgage Trust 2019-HY3                                                     | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     257004 | PA      | $257234.70    | 0.02%             | 2027-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| AG Trust 2024-NLP                                                                      | AG Trust 2024-NLP                                                                      | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427649 | PA      | $429796.18    | 0.04%             | 2029-08-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 20, Ltd.                                                         | Anchorage Capital CLO 20, Ltd.                                                         | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $900410.40    | 0.08%             | 2035-01-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Elevation CLO 2022-16 Ltd                                                              | Elevation CLO 2022-16 Ltd                                                              | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $600097.20    | 0.05%             | 2034-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                                       | GSR Mortgage Loan Trust 2005-AR1                                                       | CUSIP: 36242DUL5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |      12698 | PA      | $12475.28     | 0.00%             | 2035-01-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust             | Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust             | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19834 | PA      | $18625.97     | 0.00%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                    | Cabinet Office, Government of Japan                                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1501000000 | PA      | $11073424.06  | 1.00%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2022-Fl1, Ltd.                               | Arbor Realty Commercial Real Estate Notes 2022-Fl1, Ltd.                               | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     525127 | PA      | $525127.39    | 0.05%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      16156 | PA      | $15952.61     | 0.00%             | 2037-07-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF17                                           | First Franklin Mortgage Loan Trust 2006-FF17                                           | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4388844 | PA      | $3982200.94   | 0.36%             | 2036-12-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust, Series 2008-R2                                             | J.P. Morgan Mortgage Trust, Series 2008-R2                                             | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120036 | PA      | $111767.13    | 0.01%             | 2037-07-27      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXVII Ltd                                                                 | Sculptor CLO XXVII Ltd                                                                 | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $899599.50    | 0.08%             | 2034-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage-Backed Trust Series 2006-4                                                | TBW Mortgage-Backed Trust Series 2006-4                                                | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     473176 | PA      | $12702.79     | 0.00%             | 2036-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5300000 | PA      | $3275404.54   | 0.29%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Segretariato Generale Della Presidenza Della Repubblica                                | Segretariato Generale Della Presidenza Della Repubblica                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     800000 | PA      | $977428.43    | 0.09%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Gouvernement De France                                                                 | Gouvernement De France                                                                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     100000 | PA      | $114130.75    | 0.01%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Project Cashmere                                                                       | Project Cashmere                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AU        |   17200000 | PA      | $11478420.57  | 1.03%             | 2057-12-30      | Fixed         | 4.54%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     587022 | PA      | $593612.01    | 0.05%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8700000 | PA      | $6339819.92   | 0.57%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Providus CLO IV Designated Activity Company                                            | Providus CLO IV Designated Activity Company                                            | CUSIP: N/A<br>LEI: 635400JHNUBVSY8RBH70       | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $2231779.17   | 0.20%             | 2034-04-20      | Floating      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       3924 | PA      | $3882.63      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                               | Residential Asset Securities Corporation                                               | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      62924 | PA      | $62709.05     | 0.01%             | 2036-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| St. Paul's CLO II Designated Activity Company                                          | St. Paul's CLO II Designated Activity Company                                          | CUSIP: N/A<br>LEI: 549300HFD82A7GIR1V82       | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $702840.34    | 0.06%             | 2035-10-25      | Variable      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F062630<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   19000000 | PA      | $19736991.00  | 1.78%             | 2056-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-4CB                                                        | Alternative Loan Trust 2007-4CB                                                        | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187092 | PA      | $158279.89    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                       | Gobierno Federal de los Estados Unidos Mexicanos                                       | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | US        |     300000 | PA      | $313000.20    | 0.03%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                                        | Avolon Holdings Funding Limited                                                        | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38798.95     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AR4                                                 | Citigroup Mortgage Loan Trust 2007-AR4                                                 | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     773519 | PA      | $676381.75    | 0.06%             | 2037-03-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                                | Morgan Stanley ABS Capital Trust I Inc.                                                | CUSIP: 61744CUU8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |     943399 | PA      | $907256.64    | 0.08%             | 2035-09-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC4                                                | Citigroup Mortgage Loan Trust 2007-AMC4                                                | CUSIP: 17313BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1115089.44   | 0.10%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      91000 | PA      | $92066.41     | 0.01%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16850000 | PA      | $19661583.63  | 1.77%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO III Designated Activity Company                              | CIFC European Funding CLO III Designated Activity Company                              | CUSIP: N/A<br>LEI: 5493000EF0244RPYUG32       | Long             | ABS-CBDO         | CORP              | IE        |    4000000 | PA      | $4702844.81   | 0.42%             | 2034-01-15      | Floating      | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust             | Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust             | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13461 | PA      | $12827.78     | 0.00%             | 2033-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23250 | PA      | $20484.96     | 0.00%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     463963 | PA      | $458800.35    | 0.04%             | 2044-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54605 | PA      | $41736.10     | 0.00%             | 2045-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust 2004-1                                                          | SLM Student Loan Trust 2004-1                                                          | CUSIP: 78442GLL8<br>LEI: 549300UECCCKC4WVNL14 | Long             | ABS-CBDO         | CORP              | US        |    1096704 | PA      | $1080331.39   | 0.10%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43400000 | PA      | $45745183.12  | 4.12%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                 | Credit Suisse Group AG                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |     100000 | PA      | $116650.35    | 0.01%             | 2027-06-24      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding V CLO, Ltd.                                                              | Cedar Funding V CLO, Ltd.                                                              | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | US        |     316918 | PA      | $317077.06    | 0.03%             | 2031-07-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2233040 | PA      | $2245360.32   | 0.20%             | 2072-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                              | Residential Asset Mortgage Products, Inc.                                              | CUSIP: 760985R37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     113341 | PA      | $115921.78    | 0.01%             | 2034-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                            | Bank of America Corporation                                                            | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1172420.12   | 0.11%             | 2500-12-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20394 | PA      | $19704.41     | 0.00%             | 2034-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      73006 | PA      | $66010.93     | 0.01%             | 2044-10-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     541364 | PA      | $531101.11    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RASC Series 2006-EMX1 Trust                                                            | RASC Series 2006-EMX1 Trust                                                            | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1773268 | PA      | $1737245.54   | 0.16%             | 2036-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                    | Cabinet Office, Government of Japan                                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  710000000 | PA      | $4514035.42   | 0.41%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                                       | JNL Government Money Market Fund                                                       | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    1485409 | NS      | $1485408.70   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2006-7                                                  | Long Beach Mortgage Loan Trust 2006-7                                                  | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     366298 | PA      | $143759.06    | 0.01%             | 2036-08-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVIII, Ltd                                                            | Sound Point CLO XXVIII, Ltd                                                            | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     707951 | PA      | $708513.50    | 0.06%             | 2032-01-26      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Credicorp Capital Sociedad Titularizada S.A.                                           | Credicorp Capital Sociedad Titularizada S.A.                                           | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     700000 | PA      | $221619.53    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                    | Cabinet Office, Government of Japan                                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1628000000 | PA      | $11913376.19  | 1.07%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HMGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1134481 | PA      | $1140945.69   | 0.10%             | 2055-08-25      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Corp.                                                           | GS Mortgage Securities Corp.                                                           | CUSIP: 362334ND2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |     203029 | PA      | $107836.16    | 0.01%             | 2046-03-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV, Ltd.                                                                        | OZLM XXIV, Ltd.                                                                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     196096 | PA      | $196095.66    | 0.02%             | 2032-07-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7353000 | PA      | $15695742.20  | 1.41%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Harvest CLO XXI Designated Activity Company                                            | Harvest CLO XXI Designated Activity Company                                            | CUSIP: N/A<br>LEI: 635400UREZHY9PWJR290       | Long             | ABS-CBDO         | CORP              | IE        |     302058 | PA      | $354741.61    | 0.03%             | 2031-07-15      | Floating      | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   17100000 | PA      | $17322433.38  | 1.56%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       1824 | PA      | $1822.98      | 0.00%             | 2035-09-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC3                                                | Citigroup Mortgage Loan Trust 2007-AMC3                                                | CUSIP: 17312EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     895315 | PA      | $791954.86    | 0.07%             | 2037-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25500000 | PA      | $30619888.44  | 2.75%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37400000 | PA      | $40956637.03  | 3.68%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41100000 | PA      | $42269038.62  | 3.80%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                                    | Credit-Based Asset Servicing and Securitization LLC                                    | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      61186 | PA      | $41473.52     | 0.00%             | 2037-07-25      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 3136BWYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     867048 | PA      | $871640.43    | 0.08%             | 2055-08-25      | Floating      | 5.05%                 | No            |                  3 | On Loan: No      |
| MF1 2022-FL9 LLC                                                                       | MF1 2022-FL9 LLC                                                                       | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1241004 | PA      | $1241392.63   | 0.11%             | 2037-06-22      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17500000 | PA      | $18922569.80  | 1.70%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2                                | Securitized Asset Backed Receivables LLC Trust 2006-HE2                                | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     343925 | PA      | $126186.44    | 0.01%             | 2036-07-25      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                    | Thornburg Mortgage Securities Trust                                                    | CUSIP: 88522AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1476382 | PA      | $1219626.07   | 0.11%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                       | Gobierno Federal de los Estados Unidos Mexicanos                                       | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | US        |     300000 | PA      | $307801.50    | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16142000 | PA      | $15696335.78  | 1.41%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   20577000 | PA      | $20066593.69  | 1.81%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2007-5                                                  | HarborView Mortgage Loan Trust 2007-5                                                  | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13003 | PA      | $11394.98     | 0.00%             | 2037-09-19      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust, Series MLCC 2003-C                             | Merrill Lynch Mortgage Investors Trust, Series MLCC 2003-C                             | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15465 | PA      | $14747.09     | 0.00%             | 2033-02-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7200000 | PA      | $6942940.72   | 0.62%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc. Trust 2007-R6                                    | Bear Stearns Structured Products Inc. Trust 2007-R6                                    | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153195 | PA      | $120279.48    | 0.01%             | 2046-12-26      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20320000 | PA      | $26049002.02  | 2.34%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9700000 | PA      | $10982514.63  | 0.99%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Republique Francaise Presidence                                                        | Republique Francaise Presidence                                                        | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   10500000 | PA      | $15095035.11  | 1.36%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Capital Four US CLO II Ltd.                                                            | Capital Four US CLO II Ltd.                                                            | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $500240.50    | 0.05%             | 2037-01-21      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Segretariato Generale Della Presidenza Della Repubblica                                | Segretariato Generale Della Presidenza Della Repubblica                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1700000 | PA      | $2422817.44   | 0.22%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust 2007-1                                                      | CSMC Mortgage-Backed Trust 2007-1                                                      | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567959 | PA      | $122152.20    | 0.01%             | 2037-02-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-1T1                                                        | Alternative Loan Trust 2007-1T1                                                        | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2168108 | PA      | $727934.65    | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA4 Trust             | Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA4 Trust             | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128228 | PA      | $110929.26    | 0.01%             | 2047-05-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities, Inc.                                              | Banc of America Mortgage Securities, Inc.                                              | CUSIP: 05949A6C9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-MBS          | CORP              | US        |       8318 | PA      | $7666.69      | 0.00%             | 2035-06-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4171 | PA      | $3781.31      | 0.00%             | 2033-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    2676524 | PA      | $2685256.04   | 0.24%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     577225 | PA      | $599866.57    | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                                                                        | First NLC Trust                                                                        | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     180161 | PA      | $87093.79     | 0.01%             | 2037-08-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                                     | J.P. Morgan Mortgage Trust 2005-A1                                                     | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34617 | PA      | $33260.22     | 0.00%             | 2035-08-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1                 | Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1                 | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1477168 | PA      | $1453971.31   | 0.13%             | 2035-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     314000 | PA      | $310643.94    | 0.03%             | 2026-04-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11070000 | PA      | $7476557.33   | 0.67%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Bosphorus CLO VI Designated Activity Company                                           | Bosphorus CLO VI Designated Activity Company                                           | CUSIP: N/A<br>LEI: 6354003QOK8LLEWEMR90       | Long             | ABS-CBDO         | CORP              | IE        |    4959653 | PA      | $5821344.69   | 0.52%             | 2034-05-25      | Floating      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| CSMC Series 2015-12R                                                                   | CSMC Series 2015-12R                                                                   | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1626130 | PA      | $1500712.32   | 0.14%             | 2037-12-03      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     831926 | PA      | $821259.24    | 0.07%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                                | Morgan Stanley ABS Capital Trust I Inc.                                                | CUSIP: 61744CNC6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |     664102 | PA      | $647988.89    | 0.06%             | 2035-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9685000 | PA      | $15165515.36  | 1.36%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10805000 | PA      | $13723070.04  | 1.23%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17510000 | PA      | $23312757.78  | 2.10%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8800000 | PA      | $10829021.82  | 0.97%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR17 Trust            | Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR17 Trust            | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27656 | PA      | $26506.45     | 0.00%             | 2033-06-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     327033 | PA      | $327767.82    | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 11 Ltd                                                                         | KKR CLO 11 Ltd                                                                         | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     128006 | PA      | $128046.58    | 0.01%             | 2031-01-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 40 Ltd.                                                    | Octagon Investment Partners 40 Ltd.                                                    | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $699999.30    | 0.06%             | 2035-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2007-OPT1                                                    | Soundview Home Loan Trust 2007-OPT1                                                    | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1241823 | PA      | $865078.62    | 0.08%             | 2037-06-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14750000 | PA      | $15269958.45  | 1.37%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34600000 | PA      | $36359177.67  | 3.27%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31409BFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      22361 | PA      | $23164.24     | 0.00%             | 2036-03-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     438000 | PA      | $435401.21    | 0.04%             | 2026-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-1                                                 | CHL Mortgage Pass-Through Trust 2007-1                                                 | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698486 | PA      | $312019.32    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Saranac CLO VI Limited                                                                 | Saranac CLO VI Limited                                                                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | US        |     136058 | PA      | $136108.74    | 0.01%             | 2031-08-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                         | Alternative Loan Trust 2005-43                                                         | CUSIP: 12667GUG6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      59568 | PA      | $31104.20     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-3                                                    | Saxon Asset Securities Trust 2004-3                                                    | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1735487.80   | 0.16%             | 2037-11-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Dryden 52 Euro CLO 2017 B.V. In Liquidatie                                             | Dryden 52 Euro CLO 2017 B.V. In Liquidatie                                             | CUSIP: N/A<br>LEI: 7245003CHF6RJ8GWXX63       | Long             | ABS-CBDO         | CORP              | IE        |     212437 | PA      | $249683.66    | 0.02%             | 2034-05-15      | Floating      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2024-2 Designated Activity Company                 | Palmer Square European Loan Funding 2024-2 Designated Activity Company                 | CUSIP: N/A<br>LEI: 254900G4AVDGFB7U1712       | Long             | ABS-CBDO         | CORP              | IE        |    1146072 | PA      | $1346645.93   | 0.12%             | 2034-05-15      | Floating      | 3.05%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-25

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer